Gelişmekte Olan Ülkelerde Getiri ve Volatilite Yayılımı: NIMPT Ülkelerinde VAR-EGARCH Uygulaması

Year 2018, Issue: 636, 9 - 24, 01.02.2018

İsmail Çelik , Arife Özdemir , Semra Demir Gülbahar

Abstract

Bu çalışmada yatırımcılara yeni bir ufuk açmak için Euromonitor International tarafından NIMPT olarak adlandırılan beş ülkenin (Nijerya, Endonezya, Meksika, Filipinler ve Türkiye) piyasaları arasındaki getiri ve volatilite yayılımları çok değişkenli VAR-EGARCH modeli ile incelenmiştir. Çalışma da 28.01.2013-26.01.2017 periyodu içerisindeki gün sonu verilerden faydalanılmıştır. Çalışmanın sonucunda NIMPT ülkeleri arasında korelasyon seviyesinin uluslararası portföy çeşitlendirmesine uygun olarak düşük olduğu gözlenmiştir. Endonezya, Meksika, Nijerya, Filipinler ve Türkiye hisse senedi piyasalarının kullanışlı bilgi ve piyasa etkinliği konusunda diğerlerine karşı üstünlüğe sahip olmadığı sonucuna ulaşılmıştır. Getiri yayılımıyla benzer şekilde bilgi şoklarının da ülkeler arasında çok yönlü olacak şekilde asimetrik olarak yayıldığı ve istatistiki olarak büyük kısmının anlamlı olduğu anlaşılmıştır. Son olarak, Nijerya borsası haricindeki tüm ülke borsalarında negatif bilgi şoklarının daha baskın olduğu yani piyasaya ulaşan olumsuz bilginin piyasalarda olumlu bilgilere nazaran daha fazla oynaklığa sebep olduğu ve kaldıraç etkisi en yüksek iki ülkenin Türkiye ve Meksika olduğu tespit edilmiştir.

Keywords

Getiri ve Volatilite Yayılımı, NIMPT, VAR-EGARCH

Return and Volatility Spillover in Developing Countries: VAR-EGARCH Application to NIMPT Countries

Abstract

In this study, the returns and volatility spreads between the markets of Nigeria, Indonesia, Mexico, Philippines and Turkey referred to as NIMPT by Euromonitor International, are examined by VAR-EGARCH model. We have used the day-end data in the period of 28.01.2013- 26.01.2017. As a result, we have observed that the level of correlation between NIMPT countries was low and this is in line with international portfolio diversification. Indonesia, Mexico, Nigeria, the Philippines and Turkey have not achieved superiority over the other in terms of useful information and market activity. Similar to the spread of returns, we have understood that information shocks spread asymmetrically across countries, and statistically significant parts of them. Finally, we have determined that negative information shocks are more prevalent in all stock markets except the Nigerian stock exchange, that the negative information reaching the market leads to more volatility than positive information on the market, and that the two countries with the highest leverage effect are Turkey and Mexico.

Keywords

Return and Volatility Spillover, NIMPT, VAR-EGARCH

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