FİNANSAL PİYASA VOLATİLİTESİ VE EKONOMİ

Abstract

Son yıllarda finansal piyasaların önemi artmış ve bu piyasalarda meydana gelen değişiklikler daha yakından izlenir hale gelmiştir. Bu nedenle finansal değişkenlerin volatilitesinin neden belirli düzeylerin üzerine çıktığı akademik çevreler için önemli bir araştırma konusu olmuştur. Yüksek volatilite, kısa süre içinde değişkenlerin değerlerinin belirli bir ortalamadan uzaklaşması anlamına gelmektedir. Yatırımcı için olumsuz nokta, bu ani iniş ve çıkışların belirli bir temel nedene bağlı olmamasıdır. Bu ise özellikle küçük yatırımcı üzerinde olumsuz etkiler doğurarak piyasadan uzaklaşmalarına neden olur. Bu bağlamda volatilitenin kaynaklarının araştırılması ve bunun ekonomideki temel gelişmelerden ne denli etkilendiğinin irdelenmesi, diğer gelişmekte olan finansal piyasalarda olduğu gibi ülkemiz için de önemlidir. Bu çalışmada finansal volatilite, hisse senetleri ve döviz kuru dikkate alınarak incelenmektedir. Ayrıca çalışmada, İMKB Ulusal 100 kapanış fiyatları ve TL/Dolar satış fiyatı kullanılarak Türkiye'deki finansal volatilite tahmin edilmeye çalışılmıştır. Dolar kuru için uygun volatilite denklemi ARCH(2) modeli ve İMKB100 için uygun volatilite denklemi ise GARCH(1,2) modeli bulunmuştur.

Keywords

• Volatilite, hisse senedi volatilitesi, döviz kuru volatilitesi, ARCH-GARCH, birim kök

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