Sistemik Riskin Kompozit Göstergesi CISS Endeksi ile BIST Banka Endeksi Arasındaki Volatilite Etkileşimi Üzerine Eşbütünleşme ve Nedensellik Analizi

Year 2020, Volume: 22 Issue: 3, 786 - 801, 29.09.2020

Emre Esat Topaloğlu

https://doi.org/10.32709/akusosbil.554247

Abstract

Bu çalışmada, Sistemik Riskin Kompozit Göstergesi (CISS) endeks volatilitesi ile Borsa İstanbul Banka endeks getiri volatilitesi arasındaki uzun dönemli ilişkiyi ortaya çıkarmak amaçlanmıştır. Her iki endekse ilişkin 18.01.1999 ile 31.12.2018 dönemindeki haftalık veriler, eşbütünleşme ve nedensellik analizleri ile incelenmiştir. CISS endeksi serisi için ARCH(2) ve BIST Banka endeksi için ise ARCH(1) modelleri ile volatilite modellemesi gerçekleştirilmiştir. CISS ve Banka endeksleri için geçmiş dönemli şokların cari dönemdeki volatiliteyi etkilediği ve volatiliteye yol açan şokların uzun hafıza özelliği göstermeyerek kısa vadeli etki gösterdiği belirlenmiştir. Ayrıca çalışmada, endeksler arasında pozitif yönlü eşbütünleşme ilişkisinin varlığı ortaya çıkarılırken; CISS endeks volatilitesinden, Banka endeks getiri volatilitesine doğru tek yönlü nedensellik ilişkisinin varlığı da tespit edilmiştir.

Keywords

Volatilite, Borsa İstanbul, banka, sistemik risk, CISS endeksi

Cointegration and Causality Analysis on Volatility Interaction between Composite Indicator of Systemic Risk CISS Index and BIST Bank Index

Abstract

In this study, it is aimed to determine the long-term relationship between composite indicator of systemic risk (CISS) Index volatility and Borsa Istanbul Bank Index return volatility. The weekly data of both indexes for the period between 18.01.1999 and 31.12.2018 analyzed with cointegration and causality. The volatility models of the series are analyzed by ARCH (2) model for CISS Index series and ARCH (1) model for BIST Bank Index series. It is found that the impacts on the volatility of the CISS and Bank Indices series don’t have a lasting impact and showed a long memory characteristic. Furthermore, while the positive cointegration relationship between the indices is determined; One-way causality relationship is determined from CISS index volatility to Bank index return volatility.

Keywords

Volatility, Borsa Istanbul, bank, systemic risk, CISS index

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