A Nonlinear Causality Analysis of the Relationship Between Gold Prices, Exchange Rates and Stock Market in Türkiye

With globalisation and rapidly developing technology, financial investment instruments have diversified, and investors have begun to look for ways to make the most of their investments. Consequently, the relationships between financial instruments have gained more and more importance. This study aims to determine the direction of the causality relationship between exchange rates, gold prices, and the BIST100 index by using monthly data covering the period of 2003:01-2022:06 in the Turkish economy. Diks & Panchenko’s (2006) non-linear causality test was used to determine the direction of causality, and the test shows a unidirectional causality relationship from BIST100 to exchange rates.