ALMANYA, FRANSA VE AMERIKA’ DAN TÜRK HISSE SENEDI PIYASALARINA STOK GETIRI VOLATILITE YAYILIMLARI

Year 2018, Volume: 20 Issue: 2, 171 - 187, 17.08.2018

Sibel Karğın , Koray Kayalıdere , Tuna Can Güleç Deniz Erer

https://doi.org/10.16953/deusosbil.335534

Cited By: 4

Abstract

Bu çalışmanın amacı Almanya, Fransa ve Amerika hisse
senedi piyasalarının Türkiye hisse senedi piyasası üzerindeki oynaklık yayılımı
etkisini incelemektir. 02.01.2004 - 06.02.2017 dönemi için günlük frekansda DAX
30, CAC 40, S&P 500 ve BİST 100 endekslerine ilişkin kapanış verileri
kullanılmıştır. Koşullu varyans değerlerini elde etmek amacıyla E-GARCH(1,1)
modelinden yaralanılmıştır. Volatilitenin normal bir ekonomik konjonktürde nispeten
daha dar bir bant içinde olması olağandır. Buna karşın küresel riskin yüksek
olduğu kriz dönemlerinde ise daha büyük bir aralıkta seyretmesi beklenen bir
durumdur. Dolayısıyla risk açısından farklılık gösteren ekonomik koşullarda,
piyasalar arası oynaklık yayılımı davranışlarının da farklılaşması rasyonel bir
beklentidir. Bu açıdan araştırmada söz konusu durumu dikkate alan Threshold VAR
(TVAR) modellemesi kullanılmıştır. Çalışma sonucunda küresel riskin düşük
olduğu rejimde BİST 100 endeksi üzerindeki yayılım etkisinin göreli olarak
düşük olduğu, buna karşın küresel riskin yüksek olduğu rejimde ise söz konusu
etkinin nispeten yüksek olduğu gözlemlenmiştir. 
Buna ek olarak BİST 100 endeksinin bu gelişmiş ülkelere ait 3 endeks
içerisinden en yoğun olarak S&P endeksinden etkilendiği bulgulanmıştır.

Keywords

Volatilite Yayılımı, E-GARCH, TVAR, BIST100, DAX30

SPILLOVERS OF STOCK RETURN VOLATILITY TO TURKISH EQUITY MARKETS FROM GERMANY, FRANCE, AND AMERICA

Abstract

The aim of this study is to examine the volatility spillover
effects of German, French and American stock market indices on BIST 100 Turkish
stock market index. Dataset consists of daily closing price observations
starting from January 2, 2004, until
February 6, 2017, for indices DAX 30, CAC
40, S&P 500 and BIST 100. E-GARCH(1,1) method has been used to model the
conditional variance. Volatility is in a relatively narrow band under a
non-crisis economic conjuncture. On the other hand, it is expected that the
global risk will be higher during crisis periods. Therefore, the
differentiation in the volatility spillover behavior among the markets while under
different economic conditions is a
rational expectation. In this regard, the Threshold VAR (TVAR) model was used in
the study. In the result of the study, it has been observed that the volatility
spillover effect on the BIST 100 index is relatively low in the regimes where
the global risk is low, whereas the effect is relatively higher in the regime
where the global risk is high. Furthermore, results of analysis also indicate
that S&P is the most influential index to affect BIST 100 both in high and low-risk regimes.

Keywords

Volatility, Spillover, E-GARCH, TVAR, BIST100, DAX30

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