Connections between gold, main agricultural commodities, and Turkish stock markets

Abstract

This study investigates the relationship between gold prices, agricultural commodity prices (rice, flour, bean, chickpea, lentil, and sugar), and Turkish stock markets. Using the Fourier Toda-Yamamoto causality test and wavelet coherency approach, we find that gold prices significantly influence agricultural commodity prices, emphasizing gold's pivotal role in agricultural market dynamics. Portfolio diversification incorporating gold and agricultural commodities mitigates risks, enhancing portfolio resilience. The BIST100 index and agricultural spot commodity prices exhibit differential impacts depending on specific products. Wavelet coherence analysis reveals time-varying dependencies, suggesting investors leverage their investments in BIST100 and gold for diversification with agricultural commodities. Our findings present agricultural commodities as alternative investment instruments, subject to favorable market conditions. The portfolio analysis uncovers nuanced relationships between commodities and indices, guiding investors in diversification and real asset investments. This research contributes novel perspectives, emphasizing the viability of agricultural commodities in diversified portfolios.