VOLATILITY SPILLOVERS BETWEEN FINANCIAL MARKETS: THE CASE OF TÜRKİYE

Abstract

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.

Keywords

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

FİNANSAL PİYASALAR ARASI OYNAKLIK YAYILIMININ ANALİZİ: TÜRKİYE ÖRNEĞİ

Abstract

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.

Keywords

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

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