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BIST 100 Endeksi Hisse Senedi Fiyat Volatilitesinin Heterojen Otoregresif Gerçekleşen Volatilite Modeliyle Yeniden İncelenmesi

Yıl 2021, Cilt: 25 Sayı: 2, 457 - 476, 24.05.2021

Öz

Bu çalışmada, BIST 100 Endeksi'nin 2016-2019 yılları arasındaki üç yıllık dönem için günlük getirilerinin volatilitesi, getirilerin volatilite dinamikleri üzerindeki kısa, orta ve uzun vadeli etkilerini anlamak için heterojen otoregregresive modelleme kullanılarak analiz edilmektedir. Özellikle, kaldıraç etkisinin ve getirideki sıçramaların BIST 100 Endeksi'nin volatilite dinamiklerini nasıl etkilediği araştırılmaktadır. Analiz için, on altı farklı modeli veri setine uygulanmaktadır ve bu modellerin sonuçları küçük de olsa bir kaldıraç etkisi olduğunu göstermektedir. Sonuçlara göre sıçrama etkisi, analiz için kullanılan model türüne bağlı olarak kısa veya uzun vadede istatistiki olarak anlamlı çıkmaktadır. Ayrıca, BIST 100 Endeksinin sabah seansında gerçekleşen oynaklığın daha düşük olduğunu işaret edilerek, seans seviyesinde mevsimsel bir etki olduğu da gösterilmektedir.

Kaynakça

  • Andersen, T. G., & Bollerslev, T. (1998). Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies. The Journal of Finance, 53(1), 219-265.
  • Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2010). Parametric and nonparametric volatility measurement. In Handbook of Financial Econometrics: Tools and Techniques (pp. 67-137). North-Holland.
  • Fischer, B. (1976). Studies of stock price volatility changes. In Proceedings of the Business and Economic Statistics Section (pp. 177-181).
  • Bajgrowicz, P., Scaillet, O., & Treccani, A. (2016). Jumps in high-frequency data: Spurious detections, dynamics, and news. Management Science, 62(8), 2198-2217.
  • Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43(1), 29-77. Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
  • Barndorff‐Nielsen, O. E., & Shephard, N. (2002). Estimating quadratic variation using realized variance. Journal of Applied econometrics, 17(5), 457-477.
  • Barndorff-Nielsen O. E., Shephard N., (2006). Econometrics of Testing for Jumps in Financial Economics Using Bi-power Variation, Journal of Financial Econometrics, 1(4), 1-30.
  • Bildik, R. (2001). Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market. Emerging Markets Review, 2(4), 387-417.
  • Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7(2), 174-196.
  • Corsi, F., and Reno, R. (2009). HAR volatility modeling with heterogeneous leverage and jumps. Working paper, SSRN.
  • Corsi, F., & Reno, R. (2012). Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling. Journal of Business & Economic Statistics, 30(3), 368-380.
  • Corsi, F., Pirino, D., & Renò, R. (2009). Volatility forecasting: The jumps do matter. Working paper.
  • Corsi, F., Pirino, D., & Reno, R. (2010). Threshold bi-power variation and the impact of jumps on volatility forecasting. Journal of Econometrics, 159(2), 276-288.
  • Christoffersen, P. F., & Diebold, F. X. (2000). How relevant is volatility forecasting for financial risk management?. Review of Economics and Statistics, 82(1), 12-22.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
  • Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801.
  • Hyndman, R.J. and Koehler, A.B. (2006) “Another look at measures of forecast accuracy”. International Journal of Forecasting, 22(4), 679-688.
  • Inci, A. C., & Ozenbas, D. (2017). Intraday volatility and the implementation of a closing call auction at Borsa Istanbul. Emerging Markets Review, 33, 79-89.
  • Jiang, G. J., & Oomen, R. C. (2008). Testing for jumps when asset prices are observed with noise–a “swap variance” approach. Journal of Econometrics, 144(2), 352-370.
  • Karanasos, M., Psaradakis, Z., & Sola, M. (2004). On the Autocorrelation Properties of Long‐Memory GARCH Processes. Journal of Time Series Analysis, 25(2), 265-282.
  • Köksal, B. (2012). An analysis of intraday patterns and liquidity on the Istanbul stock exchange.
  • Lagoarde-Segot, T., & Lucey, B. M. (2007). Capital market integration in the Middle East and North Africa. Emerging Markets Finance and Trade, 43(3), 34-57.
  • Lee, S. S., & Mykland, P. A. (2008). Jumps in financial markets: A new nonparametric test and jump dynamics. The Review of Financial Studies, 21(6), 2535-2563.
  • Levine, R., & Zervos, S. (1998). Stock markets, banks, and economic growth. American Economic Review, 88(3), 537-558.
  • Mandelbrot, B. (1963). The variation of certain speculative prices. The Journal of Business, 45(4), 542-543.
  • Merton, R. C. (1975). Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3(4), 621-661.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society 59(2), 347-370.
  • Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation. Econometrica, 55(3), 703-708.
  • Temizel, F. (2008). İstanbul Menkul Kıymetler Borsasında Hisse Senedi Fiyatlarında Gün İçi Yapılar. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 22(1), 475-495.

Reexamination of the BIST 100 Stock Price Volatility with Heterogeneous Autoregressive Realized Volatility Models

Yıl 2021, Cilt: 25 Sayı: 2, 457 - 476, 24.05.2021

Öz

In this study, we employ the heterogeneous autoregressive model framework on the (half) daily returns of the BIST 100 index between the years 2016 and 2019. This framework helps us understand the short, medium, and long-term patterns of the volatility dynamics for the return series. Notably, we analyze how leverage effect and jumps in the return series affect the realized volatility of the BIST 100 index. For the analysis, we employ sixteen models, and the results from these models show that there is a leverage effect, albeit small. The effect of jumps is significant and is present either in the short-term or long-term, depending on the type of model utilized for the analysis. We also detect a diurnal effect at the session level, implying that the realized volatility of the BIST 100 index is lower in the morning sessions.

Kaynakça

  • Andersen, T. G., & Bollerslev, T. (1998). Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies. The Journal of Finance, 53(1), 219-265.
  • Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2010). Parametric and nonparametric volatility measurement. In Handbook of Financial Econometrics: Tools and Techniques (pp. 67-137). North-Holland.
  • Fischer, B. (1976). Studies of stock price volatility changes. In Proceedings of the Business and Economic Statistics Section (pp. 177-181).
  • Bajgrowicz, P., Scaillet, O., & Treccani, A. (2016). Jumps in high-frequency data: Spurious detections, dynamics, and news. Management Science, 62(8), 2198-2217.
  • Bekaert, G., & Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43(1), 29-77. Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
  • Barndorff‐Nielsen, O. E., & Shephard, N. (2002). Estimating quadratic variation using realized variance. Journal of Applied econometrics, 17(5), 457-477.
  • Barndorff-Nielsen O. E., Shephard N., (2006). Econometrics of Testing for Jumps in Financial Economics Using Bi-power Variation, Journal of Financial Econometrics, 1(4), 1-30.
  • Bildik, R. (2001). Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market. Emerging Markets Review, 2(4), 387-417.
  • Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7(2), 174-196.
  • Corsi, F., and Reno, R. (2009). HAR volatility modeling with heterogeneous leverage and jumps. Working paper, SSRN.
  • Corsi, F., & Reno, R. (2012). Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling. Journal of Business & Economic Statistics, 30(3), 368-380.
  • Corsi, F., Pirino, D., & Renò, R. (2009). Volatility forecasting: The jumps do matter. Working paper.
  • Corsi, F., Pirino, D., & Reno, R. (2010). Threshold bi-power variation and the impact of jumps on volatility forecasting. Journal of Econometrics, 159(2), 276-288.
  • Christoffersen, P. F., & Diebold, F. X. (2000). How relevant is volatility forecasting for financial risk management?. Review of Economics and Statistics, 82(1), 12-22.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
  • Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779-1801.
  • Hyndman, R.J. and Koehler, A.B. (2006) “Another look at measures of forecast accuracy”. International Journal of Forecasting, 22(4), 679-688.
  • Inci, A. C., & Ozenbas, D. (2017). Intraday volatility and the implementation of a closing call auction at Borsa Istanbul. Emerging Markets Review, 33, 79-89.
  • Jiang, G. J., & Oomen, R. C. (2008). Testing for jumps when asset prices are observed with noise–a “swap variance” approach. Journal of Econometrics, 144(2), 352-370.
  • Karanasos, M., Psaradakis, Z., & Sola, M. (2004). On the Autocorrelation Properties of Long‐Memory GARCH Processes. Journal of Time Series Analysis, 25(2), 265-282.
  • Köksal, B. (2012). An analysis of intraday patterns and liquidity on the Istanbul stock exchange.
  • Lagoarde-Segot, T., & Lucey, B. M. (2007). Capital market integration in the Middle East and North Africa. Emerging Markets Finance and Trade, 43(3), 34-57.
  • Lee, S. S., & Mykland, P. A. (2008). Jumps in financial markets: A new nonparametric test and jump dynamics. The Review of Financial Studies, 21(6), 2535-2563.
  • Levine, R., & Zervos, S. (1998). Stock markets, banks, and economic growth. American Economic Review, 88(3), 537-558.
  • Mandelbrot, B. (1963). The variation of certain speculative prices. The Journal of Business, 45(4), 542-543.
  • Merton, R. C. (1975). Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3(4), 621-661.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society 59(2), 347-370.
  • Newey, W. K., & West, K. D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation. Econometrica, 55(3), 703-708.
  • Temizel, F. (2008). İstanbul Menkul Kıymetler Borsasında Hisse Senedi Fiyatlarında Gün İçi Yapılar. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 22(1), 475-495.
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

Burak Alparslan Eroğlu 0000-0001-6814-747X

Deniz İkizlerli Bu kişi benim 0000-0002-3443-8073

Haluk Yener Bu kişi benim 0000-0003-2654-5810

Yayımlanma Tarihi 24 Mayıs 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 25 Sayı: 2

Kaynak Göster

APA Eroğlu, B. A., İkizlerli, D., & Yener, H. (2021). Reexamination of the BIST 100 Stock Price Volatility with Heterogeneous Autoregressive Realized Volatility Models. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25(2), 457-476.

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