Hisse Senedi Piyasalarında Frekans Bağlantılılığı ve Ağ Analizi: G-7 Ülkeleri Üzerine Bir Uygulama

Year 2020, Volume: 20 Issue: 2, 221 - 226, 20.11.2020

Onur Polat

https://doi.org/10.25294/auiibfd.827498

Cited By: 1

Abstract

Bu çalışmada, G-7 ülkelerinin hisse senedi piyasaları arasındaki piyasa oynaklık aktarımlarını incelemek için frekans bağlantılılığı yöntemini uygulamaktayız. Bu yaklaşımla, yüksek bağlantılılığa sahip finansal piyasalar arasındaki sistemik riskin dinamik aktarım mekanizması finansal durgunluk ve karışıklık dönemlerinde incelenmektedir. Ek olarak; G-7 ülkelerinin finansal bağlantılılığını yakalamak için, yönlü yayılmaların ağ topolojisini sunmaktayız. Çalışmanın bulguları G-7 ülkeleri arasındaki sistemik risk bulaşıcılığının finansal türbulans dönemlerinde şiddetlendiğini göstermekte ve finansal stresin izlenmesi için etkili bir denetim mekanizmasının önemini vurgulamaktadır.

Keywords

Sistemik Risk, Finansal Bulaşıcılık, Spektral Analiz

Frequency Connectedness and Network Analysis in Equity Markets: Evidence from G-7 Countries

Abstract

In this study, we explore the cross-market volatility transmissions between equity markets in G-7 countries by employing the frequency connectedness method. By implementing this approach, we estimate the dynamic interaction mechanism of systemic risk among strongly interconnected financial markets during financial calm and distress periods. Additionally, we exhibit network topologies of directional spillovers to capture the financial connectedness of G-7 countries. The findings of the study propose that systemic risk contagion between G7 countries intensifies during financial turmoils and underlines the importance of an effective regulatory framework to monitor financial stress.

Keywords

Systemic Risk, Financial Contagion, Spectral Analysis

References

• Ang A., & Longstaff, FA (2013). “Systemic sovereign credit risk: Lessons from the U.S. and Europe”, Journal of Monetary Economics 60(5): 493-510.
• Antonakakis, N. (2012). “Exchange return co-movements and volatility spillovers before and after the introduction of euro”, Journal of International Financial Markets, Institutions and Money, 22(5): 1091-1109.
• Antonakakis, N., & Vergos, K. (2013). “Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis”, Journal of International Financial Markets, Institutions and Money, 26:258-272.
• Bae, K. H., Karolyi, G. A., & Stulz, R. M. (2003). “A new approach to measuring financial contagion”, The Review of Financial Studies, 16(3), 717-763.
• Baruník, J., Kočenda, E., & Vácha, L. (2016). “Asymmetric connectedness on the US stock market: Bad and good volatility spillovers”, Journal of Financial Markets (27), 55-78.
• Baruník, J., & Křehlík, T. (2018). “Measuring the frequency dynamics of financial connectedness and systemic risk”, Journal of Financial Econometrics, 16(2): 271-296.
• Boubaker S., Jouini, J., & Lahiani, A. (2016). “Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis”, The Quarterly Review of Economics and Finance 61(C): 14-28.
• Berben, R. P., & Jansen, W. J. (2005). “Comovement in international equity markets: A sectoral view”, Journal of International Money and Finance, 24(5): 832-857.
• Billio, M., & Pelizzon, L. (2003). “Contagion and interdependence in stock markets: Have they been misdiagnosed?”, Journal of Economics and Business, 55(5-6): 405-426.
• Bostanci, G., & Yilmaz, K. (2020) “How connected is the global sovereign credit risk network?”, Journal of Banking & Finance, 113: 1-19.
• Bubák, V., Kočenda, E., & Žikeš, F. (2011). “Volatility transmission in emerging European foreign exchange markets”, Journal of Banking & Finance, 35(11): 2829-2841.
• Calvo, S., Reinhart, C.M. (1996). “Capital flows to Latin America: is there evidence of contagion effects” in G. G. Calvo (Ed.), Private Capital Flows to Emerging Markets, Institute for International Economics. Washington DC.
• Calvo, G., & Mendoza, E. (2000). “Rational contagion and the globalization of securities markets”, Journal of international economics 51(1), 79-113.
• Corsetti, G., Pericoli, M., & Sbracia, M. (2001). “Correlation analysis of financial contagion: what one should know before running a test”, Yale Economic Growth Center Discussion Paper (822).
• Celik, S. (2012). “The more contagion effect on emerging markets: The evidence of DCC-GARCH model”, Economic Modelling, 29(5): 1946-1959.
• Chiang, T. C., Jeon, B. N., & Li, H. (2007). “Dynamic correlation analysis of financial contagion: Evidence from Asian markets”, Journal of International Money and finance, 26(7): 1206-1228.
• Claessens, S., & Dornbusch, P. Y. (2001). “International Financial Contagion: How It Spreads and How It Can Be Stopped” in: Claessens S, Forbes JK (ed) International Financial Contagion, Kluwer Academic Publishers, Boston
• De Gregorio, J., & Valdes, R. O. (2001). “Crisis transmission: Evidence from the debt, tequila, and Asian flu crises”, in International financial contagion (pp. 99-127), Boston, MA: Springer.
• Diebold, F. X., & Yilmaz, K. (2009). “Measuring financial asset return and volatility spillovers, with application to global equity markets”, The Economic Journal, 119(534): 158-171.
• Diebold, F. X., & Yilmaz, K. (2012). “Better to give than to receive: Predictive directional measurement of volatility spillovers”, International Journal of Forecasting, 28(1): 57-66.
• Diebold, F. X., & Yılmaz, K. (2014). “On the network topology of variance decompositions: Measuring the connectedness of financial firms”, Journal of Econometrics, 182(1): 119-134.
• Diebold, F. X., & Yilmaz, K. (2015). “Trans-Atlantic equity volatility connectedness: US and European financial institutions 2004–2014”, Journal of Financial Econometrics, 14(1): 81-127.
• Drazen, A. (2000). “Political contagion in currency crises”, in P. Krugman (Ed..) Currency Crises (s. 47-67). Chicago: University of Chicago Press.
• Dungey, M., Fry, R., González-Hermosillo, B., & Martin, V. L. (2005). “Empirical modelling of contagion: a review of methodologies”, Quantitative finance, 5(1), 9-24.
• Dungey, M. & Gajurel, D., (2015). “Contagion and banking crisis- International evidence for 2007–2009”, Journal of Banking & Finance, 60(C): 271-283.
• Engle, R., Jondeau, E., & Rockinger, M. (2014). “Systemic risk in Europe”, Review of Finance, 19(1): 145-190.
• Forbes, K. J., & Rigobon, R. (2002). “No contagion, only interdependence: measuring stock market comovements,” The journal of Finance, 57(5): 2223-2261.
• Gardini, A., & De Angelis, L. (2012). “A statistical procedure for testing financial contagion”, Statistica, 72(1), 37-61.
• Ghosh, A., Saidi, R., & Johnson, K. H. (1999). “Who moves the Asia‐Pacific stock markets—US or Japan? Empirical evidence based on the theory of cointegration”, Financial review, 34(1): 159-169.
• Girardi, G., & Ergün, A. T. (2013). “Systemic risk measurement: Multivariate GARCH estimation of CoVaR”, Journal of Banking & Finance, 37(8): 3169-3180.
• Guimarães-Filho, R., & Hong, G. H. (2016). “Dynamic connectedness of Asian equity markets”, IMF Working Papers, (16/57).
• Haque, M., & Kouki, I. (2010). “Comovements among the Developed and the Emerging Markets”, International Journal of Finance, 22(4): 6612.
• He F., & Chen X. (2016). “Credit networks and systemic risk of Chinese local financing platforms: Too central or too big to fail?: –based on different credit correlations using hierarchical methods”, Physica A: Statistical Mechanics and its Applications 461(1): 158-170.
• Hemche, O., Jawadi, F., Maliki, S. B., & Cheffou, A. I. (2016). “On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach”, Economic Modelling, 52: 292-299.
• Huyghebaert N., & Wang L (2010). “The co-movement of stock markets in East Asia: Did the 1997–1998 financial crisis really strengthen stock market integration?”, China Economic Review, 21(1): 98-112.
• Jeon, B. N., & Von Furstenberg, G. M. (1990). “Growing international co-movement in stock price indexes”, Quarterly Review of Economics and Business, 30(3) 15-31.
• Johnson R., & Soenen L (2002). “Asian Economic Integration and Stock Market Comovements”, The Journal of Finance, 25(1): 141-157.
• Kaminsky, G. L., Reinhart, C. M., & Vegh, C. A. (2003). “The unholy trinity of financial contagion”, Journal of economic perspectives, 17(4), 51-74. doi:https://doi.org/10.3386/w10061.
• Khan S., & Park KWK (2009). “Contagion in the stock markets: The Asian financial crisis revisited”, Journal of Asian Economics 20(5): 561-569.
• Kodres, L. E., & Pritsker, M. (2002). “A rational expectations model of financial contagion”, The journal of finance, 57(2), 769-799.
• Lin, C. H. (2012). “The comovement between exchange rates and stock prices in the Asian emerging markets”, International Review of Economics & Finance, 22(1): 161-172.
• Luchtenberg, K. F., & Vu, Q. V. (2015). “The 2008 financial crisis: Stock market contagion and its determinants”, Research in International Business and Finance, 33: 178-203.
• Maghyereh, A. I., Abdoh, H. and Awartani, B. (2019). “Connectedness and hedging between gold and Islamic securities: A new evidence from time-frequency domain approaches”. Pacific-Basin Finance Journal, 54, 13-28.
• Masih, A. M., & Masih, R. (1999). “Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets”, Pacific-Basin Finance Journal, 7(3-4): 251-282.
• Masson, P. (1999). “Contagion: macroeconomic models with multiple equilibria”, Journal of International Money and Finance, 18(4): 587-602.
• Mensi, W., Boubaker, F. Z., Al-Yahyaee, K. H. and Kang, S. H. (2018) “Dynamic volatility spillovers and connectedness between global, regional and GIPSI stock markets”, Finance Research Letters, 25: 230-238.
• Polat, O. (2019). “Systemic risk contagion in FX market: A frequency connectedness and network analysis”, Bulletin of Economic Research, 71(4), 585-598.
• Roll, R. (1989). “Price volatility, international market links, and their implications for regulatory policies” in Regulatory Reform of Stock and Futures Markets (pp. 113-148). Springer, Dordrecht.
• Rua, A., & Nunes, L. C. (2009). “International comovement of stock market returns: A wavelet analysis”, Journal of Empirical Finance, 16(4), 632-639.
• Salgado, M. R., Ricci, M. L. A., & Caramazza, M. F. (2000). “Trade and financial contagion in currency crises” (No. 0-55). International Monetary Fund.
• Samarakoon, L. P. (2011). “Stock market interdependence, contagion, and the US financial crisis: The case of emerging and frontier markets”, Journal of International Financial Markets, Institutions and Money, 21(5), 724-742.
• Schinasi, G. J., & Smith, R. T. (2001). “Portfolio diversification, leverage, and financial contagion” in International financial contagion (pp. 187-221). Springer, Boston.
• Schröder, M., & Schüler, M. (2003). “Systemic Risk in European Banking-Evidence from Bivariate GARCH Models”.
• Shen, P. L., Li, W., Wang, X. T., & Su, C. W. (2015). “Contagion effect of the European financial crisis on China's stock markets: Interdependence and pure contagion”, Economic Modelling, 50: 193-199.
• Syllignakis, M. N., & Kouretas, G. P. (2011). “Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets”, International Review of Economics & Finance, 20(4): 717-732.
• Tsai, I. C. (2014). “Spillover of fear: Evidence from the stock markets of five developed countries”, International Review of Financial Analysis, 33, 281-288.