Testing Safe Haven Assets for Türkiye in the Covid-19 Period

Authors : Erhan Daştan, Hüseyin Dagli

Pages : 181-198

Doi:10.17153/oguiibf.1336982

View : 106 | Download : 176

Publication Date : 2024-04-01

Article Type : Research Paper

Abstract :The aim of this study is to examine whether the assets known as safe-haven assets during crises fulfill these qualities for equity investors in Turkey during the Covid-19 pandemic. According to the results obtained under the assumption of GJR-GARCH (1,1) error terms, no asset has shown safe-haven characteristics against the stock market. However, when the BIST100 index depreciates by 5%, Ethereum, silver and Government Bonds show strong safe-haven characteristics, US dollar and Euro show weak safe-haven characteristics. When the BIST100 index depreciates by 2.5%, Bitcoin, gold and DJIMTR show weak safe haven asset characteristics. If BIST100 depreciates by 1%, gold and Government Bonds show strong safe-haven characteristics, and Bitcoin, Ethereum, Silver, the US dollar and Euro show weak safe-haven characteristics.
Keywords : Güvenli Liman Varlıklar, Covid 19, BİST100 Endeksi, GARCH Analizi