FİNANSAL PİYASALAR ARASI OYNAKLIK YAYILIMININ ANALİZİ: TÜRKİYE ÖRNEĞİ

Yıl 2024, Sayı: 47, 631 - 660, 28.08.2024

İrem Keskin Ayşegül İşcanoğlu Çekiç

https://doi.org/10.14520/adyusbd.1418647

Öz

Çalışmada, hisse senedi, döviz, ham petrol, değerli madenler piyasaları arasındaki oynaklık yayılımının varlığı Türkiye örneğinde araştırılmıştır. 01 Ocak 2013- 01 Ocak 2023 dönemini kapsayan bu çalışmada, BIST100 endeksi, USD/TL ve EUR/TL kuru, dolar cinsinden Brent ham petrol fiyatları, dolar cinsinden spot altın ve spot gümüş fiyatları günlük olarak ele alınmış ve piyasalar arası oynaklık yayılımı Diebold ve Yılmaz Bağlantılılık Analizi yardımı ile analiz edilmiştir. Çalışma sonucunda, yönsel yayılım bulgularına göre, diğer piyasalardan en az etkilen değişkenin Brent, en fazla etkilenen değişkenin ise EUR olduğu gözlemlenmiştir. Diğer taraftan, diğer piyasalar üzerine en fazla oynaklık yayan değişkenin USD, en az oynaklık yayan değişkenin ise Brent olduğu gözlemlenmektedir. Ayrıca, net yayılım bulgularına göre ise en fazla net yayılıma sahip olan değişken USD iken, net yayılımın en düşük olduğu değişken BIST100 olarak tespit edilmiştir.

Anahtar Kelimeler

Ranj- Tabanlı Oynaklık Modelleri, GARCH Oynaklık Modelleri, Oynaklık Yayılımı, Diebold- Yılmaz Bağlantılılık Analizi

Destekleyen Kurum

2023/84 numaralı Lisansüstü Tez Projesi kapsamında Trakya Üniversitesi Bilimsel Araştırma Projeleri (TÜBAP) tarafından desteklenmiştir.

Proje Numarası

TUBAP 2023/84

Teşekkür

2023/84 numaralı proje kapsamında destek sunan TÜBAP birimine ayrıca teşekkürlerimi sunarım.

VOLATILITY SPILLOVERS BETWEEN FINANCIAL MARKETS: THE CASE OF TÜRKİYE

Öz

In the study, the existence of volatility spillovers between stock, foreign exchange, crude oil, and precious metals markets is investigated for Turkiye. Daily data covering the period January 1, 2013–January 1, 2023 are analyzed using Diebold and Yılmaz Connectivity Analysis. In the study, the BIST100 index, USD/TL and EUR/TL exchange rate, Brent crude oil price in dollar terms, and spot gold and spot silver prices in dollar terms are analyzed. Findings of the study show that the directional volatility spillovers from others to Brent are the smallest, and the directional volatility spillovers from others to EUR are the largest. On the other hand, the directional volatility spillovers from USD to others are the largest spillovers, and the directional volatility spillovers from Brent to others are the smallest. Moreover, the net volatility spillovers from USD to others are the largest, and the net volatility spillovers from BIST100 to others are the smallest.

Anahtar Kelimeler

Range- Based Volatility Models, GARCH Volatility Models, Volatility Spillovers, Diebold- Yılmaz Connectivity Analysis

Proje Numarası

TUBAP 2023/84

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