COVID-19 DÖNEMİNDE HİSSE SENEDİ PİYASASINDA BULAŞMA ETKİSİ

Year 2023, Volume: 11 Issue: Özel Sayı, 112 - 126, 20.10.2023

Osman Emre Arlı , Berkan Ataş

https://doi.org/10.52122/nisantasisbd.1347687

Abstract

Bulaşma etkisi (contagion effect) bir piyasada meydana gelen fiyat hareketliliğinin yayılarak başka bir piyasaya sirayetini ifade etmektedir. Varlık piyasası dalgalanma geçişkenliği, finansal kriz dönemlerinde, volatilite ve korelasyonlardaki değişikliklerle ilişkili risklerin ötesinde önemli bulaşma risklerine yol açabilir. Bu kanallar, varlık getirilerinin yüksek dereceli anlamsız değişikliklerinde meydana gelen şokların iletimini içerir ve varlık piyasaları arasındaki volatilite ve ortalama getiriler arasındaki etkileşimdeki değişikliklerden kaynaklanan eşçarpıklıklarda oynamalar meydana getirmektedir. Bu çalışmada Covid-19 pandemisi döneminde BIST hisse senetleri piyasası ve altın, döviz, ham petrol volatilitesi üzerindeki bulaşma etkisi araştırılmıştır. Çalışmada volatilite bulaşma etkisini ölçmek için korelasyon, eşçarpıklık, eşbasıklık ve eşvolatilite testleri uygulanmıştır. Çalışmanın sonuçları bahsi geçen piyasalar arasında yüksek momentler üzerinden bulaşma etkisi olduğunu göstermektedir. Sonuçlarımız, varlık yönetimi, bulaşma olaylarının daha iyi anlaşılması ve finansal istikrar gözetimi için ihtiyati önlem araçların geliştirilmesi açısından önem arz etmektedir.

Keywords

Bulaşma etkisi, Eşçarpıklık, Covid-19

CONTAGION EFFECT IN THE BIST STOCK MARKET

Abstract

The contagion effect refers to the transfer of price fluctuations from one market to others. In periods of turmoil, the relationship between various asset markets can result in substantial risks of contagion that go further the typical risks connected with changes in volatility and correlation. This can occur through various channels, such as the spread of shocks caused by transformations in the statistical relationships on asset returns, including changes in the relationship between average yields and volatility across different markets. This paper analyses the contagion of the BIST stock market on the volatility of gold, foreign exchange, and crude oil markets during the Covid-19 period. The correlation, coskewness, cocurtosis, covolatility test applied to measure the volatility contagion. The result shows contagions among the mentioned markets through higher moments. Our results are essential for asset management and developing preventive measures for financial stability.

Keywords

Contagion effect, Coskewness, Covid-19

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