RETURN AND VOLATILITY SPILLOVERS BETWEEN BİST100 AND EQUITY MARKETS OF COUNTRIES HAVING HIGH FOREIGN TRADE VOLUME

Year 2022, Volume: 12 Issue: 23, 263 - 283, 28.05.2022

Samet Gürsoy

https://doi.org/10.53092/duiibfd.1034218

Abstract

Over the past ten years, Turkey has actualized most intensive foreign trade with Germany, the UK, Russia and China. This study is also wonder that whether the same financial relations perform among the Turkey and trade partners in the equity markets. Therefore, five equity markets was determined for each country consist of the BIST100, FTSE100, DAX, RTS and SSEC as representative of the Capital markets. In this study, the VAR-EGARCH model was used that allow to examine interrelations among equity markets in terms of mutual returns and volatility spillover and in directions of asimetric spillover. The model was run by using daily closing price of the equity markets covered period of January 2, 2009 and December 29, 2017 thats not to coincided with the 2008 financial Crisis. According the results of the study, It was seen that only two countries; Germany and the UK, make a return spillovers to Turkey`s equity market already actualized most intensive export volume.

Keywords

Return and Volatility, Var egarch, Foreign Trade Partners

DIŞ TİCARET HACMİ YÜKSEK OLAN ÜLKELERİN HİSSE SENEDİ PİYASALARI İLE BİST100 ARASINDAKİ GETİRİ VE VOLATİLİTE YAYILIMI

Abstract

Son on yılda, Türkiye en yoğun dış ticaretini Almanya, Birleşik Krallık, Rusya ve Çin ile gerçekleştirmiştir. Bu çalışma ise Türkiye ile dış ticaret ortakları finansal piyasaları arasında aynı ilişkinin gerçekleşip gerçekleşmeyeceğini merak etmektedir. Buna nedenle bu ülkelerin sermaye piyasalarını temsilen BIST100, FTSE100, DAX, RTS ve SSEC endekslerinden oluşan beş pay piyasası belirlenmiştir. Bu çalışmada pay piyasaları arasında ilişkilerin çift yönlü ve asimetrik getiri ve volatilite yayılımının ölçülmesine imkân veren VAR-EGARCH modeli kullanılmıştır. Model, 2008 mali krizine rastlamayan 2 Ocak 2009 ve 29 Aralık 2017 tarihlerinde kapsayan pay piyasalarının günlük kapanış fiyatı kullanılarak yapılmıştır. Çalışmanın sonuçlarına göre; Türkiye pay piyasası üzerinde yanlızca en yoğun ihracat yaptığı 2 ülke olan Almanya ve Rusyanın bir getiri yayılımı gerçekleştirdiği görülmüştür.

Keywords

Getiri ve Volatilite, VAR-EGARCH, Dış Ticaret Ortakları

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