Covid-19 Döneminde Türkiye’de Finansal Varlıklar Arasındaki Volatilite Yayılımı: TVP-VAR Uygulaması

Year 2023, Volume: 8 Issue: 21, 339 - 357, 30.06.2023

Arife Özdemir Höl

https://doi.org/10.25204/iktisad.1204527

Cited By: 2

Abstract

Tüm dünyayı etkisi altına alan Covid-19 pandemisi finansal piyasalar da dahil olmak üzere yaşamın her alanını olumsuz etkilemiştir. Bu çalışmanın amacı Covid-19 döneminde Türkiye’de küresel ve yerel finansal varlıklar arasındaki dinamik bağlantılılık ilişkisini araştırmaktır. Dinamik bağlantılılık ilişkisini araştırabilmek için 11.03.2020-01.02.2022 dönemine ait veriler TVP-VAR yöntemi kullanılarak analiz edilmiştir. Analiz sonucunda elde edilen bulgulara göre Bitcoin fiyatı ve ons altın fiyatının volatiliteyi yayan değişkenler olduğu; BIST 100 endeksi, dolar kuru ve WTI ham petrol fiyatının ise volatiliteyi alan değişkenler olduğu belirlenmiştir. Volatiliteyi en çok alan değişken BIST 100 endeksi olurken ikinci sırada dolar kuru üçüncü sırada ise WTI ham petrol fiyatı yer almaktadır. BIST 100 endeksinin ons altın, Bitcoin ve dolar kurunda meydana gelen değişmelerden etkilendiği görülürken, BIST 100 endeksini en fazla etkileyen değişkenin ons altın olduğu belirlenmiştir. Ulaşılan bu sonuçların portföy yöneticileri, riskten korunmak isteyenler, politika yapıcılar, yatırım stratejisi oluşturmak isteyenler açısından faydalı olacağı düşünülmektedir.

Keywords

Covid-19 pandemisi, TVP-VAR, Finansal Varlıklar

Spread of Volatility Among Financial Assets in Türkiye During Covid-19 Period: TVP-VAR Application

Abstract

The Covid-19 pandemic, which has affected the whole world, has adversely affected all areas of life, including financial markets. The aim of this study is to investigate the dynamic connectedness between global and local financial assets in Türkiye during the Covid-19 period. Data for the period 11.03.2020-01.02.2022 were analyzed using the TVP-VAR method in order to investigate the dynamic connectivity relationship. According to the findings obtained as a result of the analysis, Bitcoin price and ounce gold price are variables that volatility transmitters; it has been determined that BIST 100 index, dollar rate and WTI crude oil price are volatility receivers. The variable with the highest volatility is the BIST 100 index, while the dollar rate is in the second place and the WTI crude oil price is in the third place. While BIST 100 index is the variable that receives the most this volatility, the dollar rate is in second place and the WTI crude oil price is in third place. While it was observed that the BIST 100 index was affected by the changes in the ounce gold, Bitcoin and dollar rates, it was determined that the variable that most affected the BIST 100 index was ounce gold. It is thought that these results will be beneficial for portfolio managers, hedgers, policymakers, and those who want to create an investment strategy.

Keywords

Covid-19 pandemic, Financial Assets, TVP-VAR

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