Abstract
This study aims to investigate the safe haven property of gold against Turkish stocks, namely, the BIST tourism, BIST construction, BIST food-beverage, and BIST chem petrol plastic during the Russia-Ukraine war. In the study, the dynamic conditional correlation-GARCH (DCC-GARCH) model is preferred to investigate the dynamic correlation between gold and Turkish stocks. To check the robustness of the DCC-GARCH empirical findings, the corrected dynamic conditional correlation-GARCH (cDCC-GARCH) model is applied to investigate the dynamic correlation between gold and Turkish stocks. Empirical results show that the correlations between the gold and BIST tourism, BIST construction, and BIST food-beverage returns are negative from February 24, 2022, to February 28, 2022. Gold could act as a safe haven during war periods for BIST tourism, BIST construction, and BIST food-beverage. The gold and BIST chem petrol plastic are positive from February 24, 2022, to February 28, 2022. For BIST chem petrol plastic, gold could not act as a safe haven during war periods. Besides, the empirical findings of the cDCC-GARCH support the empirical results of the DCC-GARCH. This study finds that gold exhibits safe haven properties during the Russia-Ukraine war.
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