Dynamic Relationships between the Stock Exchange, Gold, and Foreign Exchange Returns in Turkey

The aim of this study is to investigate the relationships between the stock exchange, gold, and foreign exchange returns in Turkey. The monthly data of the Istanbul Stock Exchange (ISE), foreign exchange and gold prices for the period 1990-2010, are used for the analysis by means of the dynamic conditional correlations GARCH (DCC-GARCH) model. The results show that the conditional correlations between investments are time varying, and the 2001 crisis was a significant turning point in the dynamic relationships between various investments