Price Transmission Between Gold, Silver, Copper Prices and Mining Index in Turkey

Abstract

Mining industry has a substantial role for countries development and economies. A fluctuation in the prices of precious metals affects the mining sector companies. The determination of this relationship is important for the development of countries. In order to fill in this gap, we studied on the relation between gold, silver, copper prices and Mining Index (XMADN) in Borsa İstanbul Stock Exchange (BIST). 1477 daily observations for the time period between 4 February 2013 to 13 December 2018 were used. To detect the cointegrationon between gold, silver, copper and Mining Index, we use Fourier Autoregressive Distributive Lag FADL which was developed by Banerje et al (2017). We find no evidence of a long run relation but strong significant feedback in the short run. Gold and copper price have positive relation with mining index. On the other hand, silver price has negative relation with mining index. This study provides practical implication to investors, portfolio managers, policy makers and academicians in terms of portfolio diversifications and risk management.