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FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ

Year 2006, Volume: 61 Issue: 4, 5 - 36, 05.02.2015

Hülya Kanalıcı Akay Mehmet Nargeleçekenler

Abstract

Son yıllarda finansal piyasaların önemi artmış ve bu piyasalarda meydana gelen değişiklikler daha yakından izlenir hale gelmiştir. Bu nedenle finansal değişkenlerin volatilitesinin neden belirli düzeylerin üzerine çıktığı akademik çevreler için önemli bir araştırma konusu olmuştur. Yüksek volatilite, kısa süre içinde değişkenlerin değerlerinin belirli bir ortalamadan uzaklaşması anlamına gelmektedir. Yatırımcı için olumsuz nokta, bu ani iniş ve çıkışların belirli bir temel nedene bağlı olmamasıdır. Bu ise özellikle küçük yatırımcı üzerinde olumsuz etkiler doğurarak piyasadan uzaklaşmalarına neden olur. Bu bağlamda volatilitenin kaynaklarının araştırılması ve bunun ekonomideki temel gelişmelerden ne denli etkilendiğinin irdelenmesi, diğer gelişmekte olan finansal piyasalarda olduğu gibi ülkemiz için de önemlidir. Bu çalışmada finansal volatilite, hisse senetleri ve döviz kuru dikkate alınarak incelenmektedir. Ayrıca çalışmada, İMKB Ulusal 100 kapanış fiyatları ve TL/Dolar satış fiyatı kullanılarak Türkiye'deki finansal volatilite tahmin edilmeye çalışılmıştır. Dolar kuru için uygun volatilite denklemi ARCH(2) modeli ve İMKB100 için uygun volatilite denklemi ise GARCH(1,2) modeli bulunmuştur.

Keywords

Volatilite hisse senedi volatilitesi döviz kuru volatilitesi ARCH-GARCH birim kök

References

  • ARESTIS, P./DEMETRIADES, P./LUINTEL, K. (2001), "Financial Development and Economic Growth: The Role of Stock Markets," Journal of Money, (redit and Banking, 33: 16- 41.
  • BALABAN, Ercan (1999), "Forecasting Stock Market Yolatility: Evidence From Turkey," The ISE Finance Award Series, YoL.1.
  • BARRET, David (2005), "Stock Market Yolatility- A Psychological Phenomenon?," EMP\Stock Market Yolatility- A Psychological Phenomenon.htm
  • BAUM, C./ÇAGLA YAN M./ BARKOULAS M. (2001), "Exchange Rate Uncertainty and Firm Profitability," Journal of Macroeconomics, 23: 565-576.
  • BECKETTI, S./SELLON G. (1989), "Has Financial Market Volatilıty Increased?," Federal Reserve Bank of Kansas City Economic Review, 2: 3-16.
  • BERNDT, E. K./HALL, B. H./HALL, R. E./HAUSMAN, J. A. (1974), "Estimation and Inference in Nonlinear Structural Models," Annals of Ecanomic and Social Measurment, 4: 653-665.
  • BHARGAVA, A. (1986), "On The Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, 53: 369-384.
  • BOLLERSLEV, Tim (1986), "Generalized Autoregressive Conditional Heteroscedasticity," Journal af Econometrics, 31: 307-327.
  • BOLLERSLEV, Tim (1990), "Modelıng the Coherence in Short.Run Nominal Exchange Rates: A Multivariate Generalized ARCH Models," The Review of Econamics and Statistics:542- 5
  • CAMPA, J./GOLDBERG, L. (1999), "Investment, Pass.Through and Exchange Rates: A CrossCountry Comparison," International Eeonomic Review, 40: 287-314.
  • CAMPBELL, J. (1996), "Consumption and the Stock Market: Interpreting International Experience," NBER Working Paper, 5610.
  • CAMPBELL, J. (1999), "Asset Prices, Consumption, and the Business Cycle," Handbook of Maeroeconomics, 1: 1231-1303.
  • CAMPBELL, J./LETIAU, M./MALKIEL, B./XU, Y. (2001), "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, 56: 1-43.
  • DALY, Kevin James (1999), Financial Volatility and Real Eeonomic Activity (Aldershot: England).
  • DICKEY, D. A. /FULLER, W. A. (1979), "Distribution of the Estimator for Autoregressive Time Series with a Unit Root," Journal of the American Satatictical Assocation, 74: 427- 431.
  • DICKEY, D. A. /FULLER, W. A. (1981), "likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, 49: 1057-1072.
  • EIZAGUIRRE, J.C./BISCARRI, J.G./HIDALGO, F.P.G. (2004), "Structural Changes In Volatility and Stock Market Development: Evidence for Spain," Journal of Banking and Fınance, 28: 1745-1773.
  • ELLIOT, G./ROTHENBERG, T. J./STOCK, J. H. (1996), "Efficient Tests for an Autoregressive Unit Root," Econometrica, 64: 813-836.
  • ENDERS,W. (1995), Applied Econometric Time Series (New York: John Wiley and Sons Inc.).
  • ENGLE, Robert F. (1982), "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, 50: 987-1007.
  • ENGLE, R.F. (1993), "Statistical Models for Financiat Volatility," Financial Analysts Journal, 49/1: 72-78.
  • FLOOD, R. P./ROSE, A. K. (1999), "Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics," The Eeonomic Journal, 109 (459): 660-672.
  • GARNER, C. Alan (1988), "Has The Stock Market Crash Reduced Consumer Spending.1," Federal Reserve Bank of Kansas City, 3-16.
  • GLlCK, R. (1998), "Capital Flows and Exchange Rates In The Pasific Basin," Federal Reserve Bank of San Francisco Economic Letter, July.
  • GERLACH, J.R. (2005), "Imperfect Information and Stock Market Volatility," The Financial Review, 40: 173-194.
  • GOLDBERG, L. (1993), "Exchange Rates and Investment in United States Industry," Review of Economies and Statisties, 75: 575.588.
  • GÖKÇE, Atilla (2001), "istanbul Menkul Kıymetler Borsası Getirilerindeki Volatilitenin ARCH Teknikleri ile Ölçülmesi," Gazi Üniversitesi /lBF Dergisi, 311.
  • GÜNEŞ, HurşitlSAL TOGLU, Burak (1998), IMKB Getiri Volatilitesinin Makroekonomik Konjontür Bağlamında irdelenmesi (istanbul Menkul Kıymetler Borsası: istanbul).
  • HAKKIO, Craig S. (1990), "Exchange Rate Volatility and Federal Reserve Policy," in Thomas E Davis (ed), Financial Market Volatility and the Economy (Federal Reserve Bank of Kansas City: 51-65.
  • HERRERA, Helios (2005), "Sorting in Risk-Aversion and Asset Price Volatility," Journal of Mathematical Eeonomics, 4: 557.570.
  • KWIATKOWSKI, D./PHILLlPS, P. C. B.lSCHMIDT, P./SHIN, Y. (1992), "Testing the Null Hypothesis of 5tationarity Against the Alternative of A Unit Root," Journal of Econometrics, 54: 159-178
  • LUDVIG50N, 5./5TEINDEL, C. (1999), "How Important Is the Stock Market Effect On Consumption?," Federal Reserve Bank of New York Economic Policy Review, 5: 29-51.
  • NARGELEÇEKENLER, M. (2004), "Euro Kuru Satış Değerindeki Volatilitenin ARCH ve GARCH Modelleri ile Tahmini," Istanbul Üniversitesi Iktisat Fakültesi Mecmuası, 5412: 156. 179.
  • NELSON, D.B. (1996), "Modelling Stock Market Volatility Changes," 3-15. IN P. Rossi (ed) Modelling Stock Market Volatility, (London: Academic Press).
  • NG, Serena/PERRON, P. (1995), "Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag," Journal of the American Statistical Assaciation, 90: 268-281
  • NG, Serena/PERRON, P. (2001), "Lag Lenght Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, 69: 1519-1554
  • PERRON, P. ING, Serena. (1996), "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," The Review of Economic Studies, July 1996, 63: 435-463
  • PHILLIPS, P. C. B./PERRON, P. (1988), "Testing for Unit Roots in Time Series Regression," Biometrika, 75: 335-346.
  • POTERBA, J. (2000), "Stock Market Wealth and Consumption," Journalaf Economic Perspectives, 14: 99-118.
  • SAID, E. S./DICKEY, D. A. (1984), "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order," Biometrika, 71: 599-607.
  • SCHWERT, G. William (1989a), "Business Cycles, Financial Crises and Stock Volatility," Carnegie. Rochester Conference Series on Public Policy, 31, 83.125.
  • SCHWERT, G. William (1989b), 'Why Does Stock Market Volatility Change Over Time?"' Journalaf Finance, 44/5: 1115-1153.
  • SCHWERT, G. William (1989c), "Tests for Unit Roots: A Monte Carlo Investigation," Journalaf Business and Economic Statistics, 7: 147-160.
  • SCHWERT, G. William (1990), "Stock Market Volatility," Finandal Analyst Journal, 46: 23-34.
  • SCHWERT, G. William (2002), "Stock Volatility In the New Millennium: How Wacky is Nasdaq?," Journalaf Monetary Economics, 49: 3-26,
  • SEVÜKTEKiN, M. INARGELEÇEKENLER, M. (2005), Zaman Serileri Analizi (Ankara: Nobel Yayın Dağıtım).
  • SHILLER, Robert J. (1989), Market Volatility (Cambridge: The MIT Press).

Year 2006, Volume: 61 Issue: 4, 5 - 36, 05.02.2015

Hülya Kanalıcı Akay Mehmet Nargeleçekenler

Abstract

References

  • ARESTIS, P./DEMETRIADES, P./LUINTEL, K. (2001), "Financial Development and Economic Growth: The Role of Stock Markets," Journal of Money, (redit and Banking, 33: 16- 41.
  • BALABAN, Ercan (1999), "Forecasting Stock Market Yolatility: Evidence From Turkey," The ISE Finance Award Series, YoL.1.
  • BARRET, David (2005), "Stock Market Yolatility- A Psychological Phenomenon?," EMP\Stock Market Yolatility- A Psychological Phenomenon.htm
  • BAUM, C./ÇAGLA YAN M./ BARKOULAS M. (2001), "Exchange Rate Uncertainty and Firm Profitability," Journal of Macroeconomics, 23: 565-576.
  • BECKETTI, S./SELLON G. (1989), "Has Financial Market Volatilıty Increased?," Federal Reserve Bank of Kansas City Economic Review, 2: 3-16.
  • BERNDT, E. K./HALL, B. H./HALL, R. E./HAUSMAN, J. A. (1974), "Estimation and Inference in Nonlinear Structural Models," Annals of Ecanomic and Social Measurment, 4: 653-665.
  • BHARGAVA, A. (1986), "On The Theory of Testing for Unit Roots in Observed Time Series," Review of Economic Studies, 53: 369-384.
  • BOLLERSLEV, Tim (1986), "Generalized Autoregressive Conditional Heteroscedasticity," Journal af Econometrics, 31: 307-327.
  • BOLLERSLEV, Tim (1990), "Modelıng the Coherence in Short.Run Nominal Exchange Rates: A Multivariate Generalized ARCH Models," The Review of Econamics and Statistics:542- 5
  • CAMPA, J./GOLDBERG, L. (1999), "Investment, Pass.Through and Exchange Rates: A CrossCountry Comparison," International Eeonomic Review, 40: 287-314.
  • CAMPBELL, J. (1996), "Consumption and the Stock Market: Interpreting International Experience," NBER Working Paper, 5610.
  • CAMPBELL, J. (1999), "Asset Prices, Consumption, and the Business Cycle," Handbook of Maeroeconomics, 1: 1231-1303.
  • CAMPBELL, J./LETIAU, M./MALKIEL, B./XU, Y. (2001), "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, 56: 1-43.
  • DALY, Kevin James (1999), Financial Volatility and Real Eeonomic Activity (Aldershot: England).
  • DICKEY, D. A. /FULLER, W. A. (1979), "Distribution of the Estimator for Autoregressive Time Series with a Unit Root," Journal of the American Satatictical Assocation, 74: 427- 431.
  • DICKEY, D. A. /FULLER, W. A. (1981), "likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, 49: 1057-1072.
  • EIZAGUIRRE, J.C./BISCARRI, J.G./HIDALGO, F.P.G. (2004), "Structural Changes In Volatility and Stock Market Development: Evidence for Spain," Journal of Banking and Fınance, 28: 1745-1773.
  • ELLIOT, G./ROTHENBERG, T. J./STOCK, J. H. (1996), "Efficient Tests for an Autoregressive Unit Root," Econometrica, 64: 813-836.
  • ENDERS,W. (1995), Applied Econometric Time Series (New York: John Wiley and Sons Inc.).
  • ENGLE, Robert F. (1982), "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, 50: 987-1007.
  • ENGLE, R.F. (1993), "Statistical Models for Financiat Volatility," Financial Analysts Journal, 49/1: 72-78.
  • FLOOD, R. P./ROSE, A. K. (1999), "Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics," The Eeonomic Journal, 109 (459): 660-672.
  • GARNER, C. Alan (1988), "Has The Stock Market Crash Reduced Consumer Spending.1," Federal Reserve Bank of Kansas City, 3-16.
  • GLlCK, R. (1998), "Capital Flows and Exchange Rates In The Pasific Basin," Federal Reserve Bank of San Francisco Economic Letter, July.
  • GERLACH, J.R. (2005), "Imperfect Information and Stock Market Volatility," The Financial Review, 40: 173-194.
  • GOLDBERG, L. (1993), "Exchange Rates and Investment in United States Industry," Review of Economies and Statisties, 75: 575.588.
  • GÖKÇE, Atilla (2001), "istanbul Menkul Kıymetler Borsası Getirilerindeki Volatilitenin ARCH Teknikleri ile Ölçülmesi," Gazi Üniversitesi /lBF Dergisi, 311.
  • GÜNEŞ, HurşitlSAL TOGLU, Burak (1998), IMKB Getiri Volatilitesinin Makroekonomik Konjontür Bağlamında irdelenmesi (istanbul Menkul Kıymetler Borsası: istanbul).
  • HAKKIO, Craig S. (1990), "Exchange Rate Volatility and Federal Reserve Policy," in Thomas E Davis (ed), Financial Market Volatility and the Economy (Federal Reserve Bank of Kansas City: 51-65.
  • HERRERA, Helios (2005), "Sorting in Risk-Aversion and Asset Price Volatility," Journal of Mathematical Eeonomics, 4: 557.570.
  • KWIATKOWSKI, D./PHILLlPS, P. C. B.lSCHMIDT, P./SHIN, Y. (1992), "Testing the Null Hypothesis of 5tationarity Against the Alternative of A Unit Root," Journal of Econometrics, 54: 159-178
  • LUDVIG50N, 5./5TEINDEL, C. (1999), "How Important Is the Stock Market Effect On Consumption?," Federal Reserve Bank of New York Economic Policy Review, 5: 29-51.
  • NARGELEÇEKENLER, M. (2004), "Euro Kuru Satış Değerindeki Volatilitenin ARCH ve GARCH Modelleri ile Tahmini," Istanbul Üniversitesi Iktisat Fakültesi Mecmuası, 5412: 156. 179.
  • NELSON, D.B. (1996), "Modelling Stock Market Volatility Changes," 3-15. IN P. Rossi (ed) Modelling Stock Market Volatility, (London: Academic Press).
  • NG, Serena/PERRON, P. (1995), "Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag," Journal of the American Statistical Assaciation, 90: 268-281
  • NG, Serena/PERRON, P. (2001), "Lag Lenght Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, 69: 1519-1554
  • PERRON, P. ING, Serena. (1996), "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," The Review of Economic Studies, July 1996, 63: 435-463
  • PHILLIPS, P. C. B./PERRON, P. (1988), "Testing for Unit Roots in Time Series Regression," Biometrika, 75: 335-346.
  • POTERBA, J. (2000), "Stock Market Wealth and Consumption," Journalaf Economic Perspectives, 14: 99-118.
  • SAID, E. S./DICKEY, D. A. (1984), "Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order," Biometrika, 71: 599-607.
  • SCHWERT, G. William (1989a), "Business Cycles, Financial Crises and Stock Volatility," Carnegie. Rochester Conference Series on Public Policy, 31, 83.125.
  • SCHWERT, G. William (1989b), 'Why Does Stock Market Volatility Change Over Time?"' Journalaf Finance, 44/5: 1115-1153.
  • SCHWERT, G. William (1989c), "Tests for Unit Roots: A Monte Carlo Investigation," Journalaf Business and Economic Statistics, 7: 147-160.
  • SCHWERT, G. William (1990), "Stock Market Volatility," Finandal Analyst Journal, 46: 23-34.
  • SCHWERT, G. William (2002), "Stock Volatility In the New Millennium: How Wacky is Nasdaq?," Journalaf Monetary Economics, 49: 3-26,
  • SEVÜKTEKiN, M. INARGELEÇEKENLER, M. (2005), Zaman Serileri Analizi (Ankara: Nobel Yayın Dağıtım).
  • SHILLER, Robert J. (1989), Market Volatility (Cambridge: The MIT Press).
There are 47 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Hülya Kanalıcı Akay This is me

Mehmet Nargeleçekenler

Publication Date February 5, 2015
Submission Date February 5, 2015
Published in Issue Year 2006 Volume: 61 Issue: 4

Cite

APA Kanalıcı Akay, H., & Nargeleçekenler, M. (2015). FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ. Ankara Üniversitesi SBF Dergisi, 61(4), 5-36.
AMA Kanalıcı Akay H, Nargeleçekenler M. FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ. SBF Dergisi. February 2015;61(4):5-36.
Chicago Kanalıcı Akay, Hülya, and Mehmet Nargeleçekenler. “FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ”. Ankara Üniversitesi SBF Dergisi 61, no. 4 (February 2015): 5-36.
EndNote Kanalıcı Akay H, Nargeleçekenler M (February 1, 2015) FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ. Ankara Üniversitesi SBF Dergisi 61 4 5–36.
IEEE H. Kanalıcı Akay and M. Nargeleçekenler, “FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ”, SBF Dergisi, vol. 61, no. 4, pp. 5–36, 2015.
ISNAD Kanalıcı Akay, Hülya - Nargeleçekenler, Mehmet. “FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ”. Ankara Üniversitesi SBF Dergisi 61/4 (February 2015), 5-36.
JAMA Kanalıcı Akay H, Nargeleçekenler M. FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ. SBF Dergisi. 2015;61:5–36.
MLA Kanalıcı Akay, Hülya and Mehmet Nargeleçekenler. “FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ”. Ankara Üniversitesi SBF Dergisi, vol. 61, no. 4, 2015, pp. 5-36.
Vancouver Kanalıcı Akay H, Nargeleçekenler M. FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ. SBF Dergisi. 2015;61(4):5-36.