Finansal Türbülans Dönemlerinde Gelişmekte Olan Hisse Senedi Piyasaları Arasında Dinamik Getiri Bağlantılılığı

Year 2024, Volume: 8 Issue: 2, 441 - 457, 31.05.2024

Ercüment Doğru

https://doi.org/10.29023/alanyaakademik.1314233

Abstract

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.

Keywords

Dinamik Bağlantılılık, TVP-VAR, Gelişmekte Olan Piyasalar, COVID-19, E7

Dynamic Return Connectedness Among Emerging Equity Markets in Times of Financial Turbulence

Abstract

In the study, the dynamic connectedness relations between the stock markets of developing countries were investigated during periods of increased uncertainty such as the global financial crisis, the COVID-19 pandemic, and the Russia-Ukraine war. Analysis was carried out with the Time Varying Parameter VAR (TVP-VAR) model, using the daily closing data of the indicative stock market indices of the countries representing the financial markets of seven emerging countries (E7 countries: China, India, Brazil, Mexico, Indonesia, Russia and Türkiye) for the period 02.01.2006 and 31.12.2022. As a result of the analysis, the net shock transmitter of the Brazil and Mexico markets; It was determined that the markets of China, India, Indonesia, Russia and Turkey were net shock receiver. In addition, events affecting global economic activities such as the global financial crisis, the downgrade of the US credit rating, the Chinese stock market crash and the COVID-19 pandemic increased the average dynamic connectedness among E7 countries; it has been determined that local scale economic, political and social events do not have a significant effect on the total risk level. This situation revealed that during periods of turbulence in the global economy and financial markets, a portfolio of E7 countries' equity market assets would reduce the benefits of international portfolio diversification.

Keywords

Dynamic Connectedness, TVP-VAR, Emerging Markets, COVID-19, E7

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