TÜRKİYE'DE FAİZ, DÖVİZ VE BORSA:FİYAT VE OYNAKLIK YAYILMA ETKİLERİ

Year 2010, Volume: 65 Issue: 02, 1 - 28, 01.02.2010

Macide Çiçek

https://doi.org/10.1501/SBFder_0000002170

Cited By: 14

Abstract

Keywords

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TÜRKİYE'DE FAİZ, DÖVİZ VE BORSA: FİYAT VE OYNAKLIK YAYILMA ETKİLERİ

Abstract

Bu çalışmada Türkiye’de devlet iç borçlanma senetleri, döviz ve hisse senedi piyasaları arasındaki fiyat ve oynaklık yayılma etkileri Çok Değişkenli EGARCH Modeline dayanarak incelenmiştir. Ulaşılan ampirik sonuçlar şöyledir: (i) Devlet iç borçlanma senetleri ve hisse senedi piyasalarından döviz piyasasına doğru anlamlı fiyat yayılma etkisi mevcuttur, fakat döviz piyasasından diğer iki piyasaya doğru fiyat yayılma etkisinin bulunduğuna dair bir kanıt bulunamamıştır, (ii) Devlet iç borçlanma senetleri ve hisse senedi piyasaları arasında çift yönlü fiyat yayılma etkisi bulunmaktadır, (iii) Sonuçlar hisse senedi ve döviz piyasalarından devlet iç borçlanma senetleri piyasasına doğru anlamlı oynaklık yayılması ve asimetrik etkiler bulunduğunu göstermektedir, fakat devlet iç borçlanma senetleri piyasasından diğer ikisine doğru anlamlı bir oynaklık yayılması bulunmamaktadır, (iv) Hisse senedi ve döviz piyasaları arasındaki oynaklık yayılması etkisi çift yönlüdür, (v) Kaldıraç etkisi tüm piyasalar için yüksek derecede anlamlıdır, (vi) Oynaklık şokları hisse senedi ve döviz piyasalarında son derece kalıcı, fakat devlet iç borçlanma senetleri piyasasında kalıcı değildir, (vi) Bu çalışmanın sonuçları, ayrıca, üç piyasa arasında uzun dönemde bir ilişki olmadığını da göstermiştir.

Keywords

Finansal piyasalar, fiyat ve oynaklık (volatilite) yayılma/ taşma etkileri

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