Abstract
Through a structural analysis of the causes of the high price premium between the two organized and unorganized markets for a good with identical quality gold the study will investigate short-term determinants and non-linear regime-transition dynamics. These markets are Borsa Istanbul ALTIN.S1 Mint Certificate (Organized Market) and spot gram gold (Unorganized Market). Using a daily comprehensive data set covering January 1, 2023, to December 31, 2025, the study first establishes, on the basis of joint ADF and KPSS testing, that the premium series is integrated of order one and that the two markets are not tied by a stable long-run cointegrating relationship, so that the short-run model is specified in first differences. The short run dynamics that were explored using an OLS model with Newey-West corrections show the premium is significantly driven by changes in the sovereign risk premium, by behavioural liquidity constraints before the market closes (from weekends and holidays), and by domestic equity returns. The results also show that local MPC decisions and geopolitical risk do not have significant effects on the premium. In the second phase, the three-regime Markov Regime Switching Model (MSM) is used to model the nonlinear structure of the premium. The MSM outputs indicate that the premium is clustered into three structural states which are low, medium and high. The results of the study reveal considerable variance in the arbitrage mechanism where its persistence is strong. The high-premium stage shows the most pronounced impact of this phenomenon. Regime-level evidence indicates that the high-premium state coincides with rising international gold prices and a depreciating lira rather than with elevated sovereign or global risk. This suggests that persistent divergences arise when domestic retail demand meets a binding conversion constraint, rather than from market stress as such.
Keywords
Business and Management; general; Economics; Finance
Topics
Financial markets / Finansal piyasalar Gold / Altın Regime Shifts
JEL classification / JEL sınıflaması
- C22 Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes
Zaman Serisi Modelleri • Dinamik Kantil Regresyonlar • Dinamik Müdahale Etkisi Modelleri • Difüzyon Süreçleri - C58 Financial Econometrics
Finansal Ekonometri - G12 Asset Pricing • Trading Volume • Bond Interest Rates
Varlık Fiyatlaması • İşlem Hacmi • Tahvil Faiz Oranları - G14 Information and Market Efficiency • Event Studies • Insider Trading
Bilgi ve Piyasa Etkinliği • Olay Çalışmaları • İçeriden Öğrenenlerin Ticareti - G41 Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
Finansal Piyasalarda Karar Vermede Psikolojik, Duygusal, Sosyal ve Bilişsel Faktörlerin Rolü ve Etkileri
JEL codes: American Economic Association classification. Turkish descriptions are an unofficial translation. Türkçe açıklamalar gayriresmî çeviridir.
Cite this work
- APA 7
Saldanlı, A., Sırma, İ., & Medetoğlu, B. (2026). Regime Shifts in Gold Certificate Premiums: Evidence from Türkiye’s Dual Gold Market. SN Business & Economics, 6(11), 455. https://doi.org/10.1007/s43546-026-01418-9
- MLA 9
Saldanlı, A., et al. "Regime Shifts in Gold Certificate Premiums: Evidence from Türkiye’s Dual Gold Market." SN Business & Economics, vol. 6, no. 11, 2026, pp. 455. https://doi.org/10.1007/s43546-026-01418-9.
- Chicago 17 (author-date)
Saldanlı, A., İ. Sırma, and B. Medetoğlu. 2026. "Regime Shifts in Gold Certificate Premiums: Evidence from Türkiye’s Dual Gold Market." SN Business & Economics 6 (11): 455. https://doi.org/10.1007/s43546-026-01418-9.
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@article{saldanli2026regime,
title = {Regime Shifts in Gold Certificate Premiums: Evidence from Türkiye’s Dual Gold Market},
author = {Saldanlı A. and Sırma İ. and Medetoğlu B.},
year = {2026},
journal = {SN Business & Economics},
volume = {6},
number = {11},
pages = {455},
doi = {10.1007/s43546-026-01418-9}
}