TY  - JOUR
T1  - Finansal Türbülans Dönemlerinde Gelişmekte Olan Hisse Senedi Piyasaları Arasında Dinamik Getiri Bağlantılılığı
TT  - Dynamic Return Connectedness Among Emerging Equity Markets in Times of Financial Turbulence
AU  - Doğru, Ercüment
PY  - 2024
DA  - May
Y2  - 2024
DO  - 10.29023/alanyaakademik.1314233
JF  - Alanya Akademik Bakış
PB  - Alanya Alaaddin Keykubat Üniversitesi
WT  - DergiPark
SN  - 2651-4192
SP  - 441
EP  - 457
VL  - 8
IS  - 2
LA  - tr
AB  - Çalışmada; küresel finans krizi, COVID-19 pandemisi ve Rusya-Ukrayna savaşı gibi belirsizliğin arttığı dönemlerde gelişmekte olan ülke hisse senedi piyasaları arasındaki dinamik bağlantılılık ilişkileri araştırılmıştır. Gelişmekte olan yedi ülkenin (E7 ülkeleri: Çin, Hindistan, Brezilya, Meksika, Endonezya, Rusya ve Türkiye) finansal piyasalarını temsilen ülkelerin gösterge niteliğindeki hisse senedi piyasa endekslerinin 02.01.2006 ile 31.12.2022 dönemi günlük kapanış verileri kullanılarak Zamanla Değişen Parametreli VAR (TVP-VAR) modeli ile analiz gerçekleştirilmiştir. Analiz sonucunda Brezilya ve Meksika piyasalarının net şok yayıcısı; Çin, Hindistan, Endonezya, Rusya ve Türkiye piyasalarının ise net şok alıcısı olduğu belirlenmiştir. Ayrıca, küresel finans krizi, ABD’nin kredi notunun düşürülmesi, Çin borsa çöküşü ve COVID-19 pandemisi gibi küresel ekonomik faaliyetleri etkileyen olayların E7 ülkeleri arasındaki ortalama dinamik bağlantılılığı arttırdığı; yerel ölçekli ekonomik, siyasi ve sosyal olayların ise toplam risk düzeyi üzerinde anlamlı bir etkisinin olmadığı tespit edilmiştir. Bu durum, küresel ekonomide ve finansal piyasalarda ortaya çıkabilecek türbülans dönemlerinde E7 ülkeleri hisse senedi piyasası varlıklarından oluşan bir portföyün uluslararası portföy çeşitlendirmesinin sağlayacağı faydayı azaltacağını ortaya koymuştur.
KW  - Dinamik Bağlantılılık
KW  - TVP-VAR
KW  - Gelişmekte Olan Piyasalar
KW  - COVID-19
KW  - E7
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UR  - https://doi.org/10.29023/alanyaakademik.1314233
L1  - https://dergipark.org.tr/en/download/article-file/3208266
ER  -