CROSS CORRELATIONS BETWEEN MSCI EMERGING MARKETS INDICES AND US STOCK MARKET INDEX: EVIDENCE FROM MODWT

Yıl 2023, , 93 - 112, 22.01.2023

Buket Taştan , Ayşegül İşcanoğlu Çekiç

https://doi.org/10.31671/doujournal.1070247

Öz

MSCI Emerging Market Indices are developed for international investors to evaluate investment opportunities in developing countries and provide the investor with an opportunity for foresight. Due to the rapid globalization and contagion effects in financial markets, studies on MSCI Emerging Market Indices have attracted great interest in recent years. This study aims to investigate the long-memory characteristics of emerging market volatility and to show the existence of cross-correlations between Emerging Markets and the US stock market. For this purpose, Maximum Overlapping Discrete Wavelet Transform (MODWT), which is widely used in estimations in the field of finance, has been applied. MODWT, which can be used with all the features in the time series, is used in all scale dimensions. In addition, MODWT enables to produce asymptotically more efficient wavelet variance estimators. In the study, MSCI indices of seven emerging markets are used by considering the period between 2 May 2014 and 25 October 2018. The findings show that volatility in all emerging markets is stable and short-memory. There is also evidence of high and time-bound correlations between the US and Emerging Markets.

Anahtar Kelimeler

MSCI index, Emerging Markets, MODWT, Cross Correlation, Long Memory

MSCI GELİŞMEKTE OLAN PİYASALAR VE ABD PİYASA ENDEKSİ ARASINDAKİ ÇAPRAZ KORELASYONLARIN MODWT İLE İNCELENMESİ

Öz

MSCI Gelişmekte Olan Piyasa Endeksleri, uluslararası yatırımcıların gelişmekte olan ülkelerdeki yatırım fırsatlarını değerlendirmeleri ve yatırımcıya öngörü fırsatı sunması için geliştirilmiştir. Finansal piyasalardaki hızlı küreselleşme ve bulaşma etkileri nedeniyle son yıllarda MSCI Gelişen Piyasa Endeksleri üzerine yapılan çalışmalar büyük ilgi görmektedir. Bu çalışma, yükselen piyasa oynaklığının uzun hafıza özelliklerini araştırmayı ve Gelişmekte Olan Piyasalar ile ABD hisse senedi piyasası arasında çapraz korelasyonların varlığını göstermeyi amaçlamaktadır. Bu amaçla finans alanında tahminlerde yaygın olarak kullanılan Maksimum Örtüşmeli Ayrık Dalgacık Dönüşümü (MODWT) uygulanmıştır. Zaman serisindeki tüm özellikler ile kullanılabilen MODWT, tüm ölçek boyutlarında kullanılmakta ve asimptotik olarak daha verimli dalgacık varyans tahmin edicilerinin üretilmesini sağlamaktadır. Çalışmada 2 Mayıs 2014 ile 25 Ekim 2018 arasındaki dönem dikkate alınarak yedi gelişmekte olan piyasanın MSCI endeksleri kullanılmıştır. Elde edilen bulgular tüm gelişmekte olan piyasalarda oynaklığın istikrarlı ve kısa hafızalı olduğunu göstermektedir. Ek olarak, ABD ve Gelişmekte Olan Piyasalar arasında yüksek ve zamana bağlı korelasyonun olduğu gözlemlenmektedir.

Anahtar Kelimeler

MSCI Endeksi, Gelişen Piyasa Endeksleri, MODWT, Çapraz Korelasyon, Uzun Hafıza

Kaynakça

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