BORSA İSTANBUL (BIST) VE BRICS ÜLKELERİNİN HİSSE SENEDİ PİYASALARININ İLİŞKİSİ ÜZERİNE BİR İNCELEME

Yıl 2016, Cilt: 5 Sayı: 3, 520 - 536, 08.04.2016

Mehmet Şimşek

https://doi.org/10.15869/itobiad.87712

Cited By: 12

Öz

Bu çalışmanın amacı Borsa İstanbul (BİST)’in BRICS ülkelerinin hisse senedi piyasaları ile etkileşiminin uzun dönemde incelenmesidir.   3 Ocak 2008 - 21 Ocak 2015 dönemi hisse senedi piyasalarının günlük verileri yardımıyla BİST ve BRICS ülkelerinin ilişki durumu; doğrusal olmayan koşullu değişen varyans modellerinden ARCH ve GARCH modelleri ile incelenmiştir.

Çalışmanın sonucunda; Borsa İstanbul (BİST) in  BRICS ülkeleriyle gösterge endeksleriyle ilişki içerisinde olduğu ve son dönemde en fazla Hindistan ve Güney Afrika ülkeleriyle ilişkisi bulunduğu görülmüştür. Ayrıca yine son dönem verilerine göre Türkiye, Hindistan hariç diğer borsalardan pozitif ayrışmaktadır.

Anahtar Kelimeler

BIST, Hisse Senedi Piyasaları, BRICS, GARCH-BEKK, Şartlı Korelasyon

Kaynakça

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