Research Article
Finansal Piyasalar Arasındaki Uzun Dönem Çapraz Korelasyon İlişkisi: Türkiye ile BRICS Ülkeleri Örneği
Abstract
Çalışma, Türkiye ile BRICS ülkelerinin oynaklıkları (volatiliteleri) arasında çapraz korelasyonların varlığını, diğer bir deyişle oynaklıkların yayılma etkisini 3 Şubat 2012-1 Haziran 2018 döneminde araştırmayı amaçlamaktadır. Çalışma, literatüre BRICS ülkelerinin oynaklıklarının Türkiye finansal piyasalarındaki oynaklıklar üzerindeki etkisini MF-X-DMA yöntemi kullanarak tespit etmeye çalışması açısından katkıda bulunmaktadır. Amprik sonuçlar, Türkiye-Brezilya oynaklıkları, Türkiye-Rusya oynaklıkları, Türkiye-Hindistan oynaklıkları, Türkiye-Çin oynaklıkları ve Türkiye-Güney Afrika oynaklıkları arasındaki çapraz korelasyonların güçlü çoklu fraktal yapıda olduğunu ve piyasalardaki küçük ve büyük şokların etkisinin çapraz korelasyonlarda uzun dönem kalıcılık gösterdiğini ortaya çıkarmıştır.
References
- Ağır, H. ve Yıldırım, S. (2015). Türkiye ile BRICS Ekonomilerinin Makroekonomik Performans Karşılaştırması: Betimsel Bir Analiz. KSÜ Sosyal Bilimler Dergisi /KSU Journal of Social Sciences, 12(2), 39-66. Akal, M. (2013). BIST-100 Endeksi ile GSPTSE ve Yükselen Borsalar Arası Etkileşim. Akademik Bakış Dergisi, 38, 1-18. Akel, V. (2015). Kırılgan Beşli Ülkelerinin Hisse Senedi Piyasaları Arasındaki Eşbütünleşme Analizi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 11(24), 75-96. Arianos, S. ve Carbone, A. (2007). Detrending Moving Average Algorithm: A Closed-Form Approximation of The Scaling Law. Physica A: Statistical Mechanics and its Applications, 382(1), 9-15. Benli, Y K. (2014). Türkiye Borsasının Gelişmekte Olan Ülkeler Borsaları ile Eşbütünleşme Analizi. Yönetim ve Ekonomi Araştırmaları Dergisi, 23, 18-32. Boubaker, H. ve Raza, S. A. (2017). A Wavelet Analysis of Mean and Volatility Spillovers Between Oil and BRICS Stock Markets. Energy Economics, 64, 105-11. Bozoklu, Ş. ve Saydam, İ.M. (2010). BRIC Ülkeleri ve Türkiye Arasındaki Sermaye Piyasaları Entegrasyonunun Parametrik ve Parametrik Olmayan Eşbütünleşme Testleri ile Analizi. Maliye Dergisi, 159, 416-431. Cao, G., Han, Y., Chen, Y. ve Yang, C. (2014). Multifractal Detrended Cross-Correlation Between The Chinese Domestic and International Gold Markets Based on DCCA and DMCA Methods. Modern Physics Letters, 28-11, 1450090. Chkili, W. ve Nguyen, D.K. (2014). Exchange Rate Movements and Stock Market Returns in A Regime-Switching Environment: Evidence for BRICS Countries. Res. Int. Bus. Financ. 31, 46–56 Dickey, D. A. ve Fuller, W. A. (1979). Distribution of The Estimators for Autoregressive Time Series with Unit Root. Journal of the American Statistical Association, 74, 427–431. Dickey, D. A. ve Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057–1072. Evlimoğlu, U. ve Çondur, F. (2012). İMKB ile Bazı Gelişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Karşılıklı Bağlantıların Küresel Kriz Öncesi ve Sonrası Dönem İçin İncelenmesi. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 31(1), 31- 58. Gilmore, C. G. ve McManus, G. M. (2002). International Portfolio Diversification: US and Central European Equity Markets. Emerging Markets Review, 3(1), 69-83. Goldman Sachs. (2001). Building Better Global Economic BRICs, written by Jim O’Neill. Global Economics Paper No: 66, http://www.goldmansachs.com/our-thinking/archive/archive-pdfs/build-better-brics.pdf. Gu, G.-F. ve Zhou, W.-X.(2010). Detrending Moving Average Algorithm for Multifractals. Phys. Rev., 82(1), 011136. Jarque, C. ve Bera, A. (1980). Efficient Tests for Normality Homoscedasticity and Serial Independence of Regression Residuals. Econometric Letters, 6, 255–259. Jiang, Z.Q. ve Zhou, W.X. (2011). Multifractal Detrending Moving Average Cross-Correlation Analysis. Phys. Rev., 84, 016106. Kang, S.H. ve McIver, R. ve Yoon, S.M. (2016). Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets. Emerging Markets Finance and Trade, 52:7, 1698-1723. Kılıç, R. ve Dilber C. (2017). Türkiye ve BRİCS Ülkelerinin Finansal Piyasaları Arasındaki İlişkinin Kantil Regresyon Yöntemi ile İncelenmesi. Akademik Sosyal Araştırmalar Dergisi, 5(48), 331-342. Ma, F., Wei, Y., Huang D. ve Zhao L. (2013). Cross-Correlations Between West Texas Intermediate Crude Oil and the Stock Markets of the BRIC. Physica A: Statistical Mechanics and its Applications. 392(21), 5356-5368. Mandelbrot, B. B. (1972). Possible Refinements of the Lognormal Hypothesis Concerning the Distribution of Energy Dissipation in Intermitent Turbulence. Statistical Models and Turbulence, New York: Springer Verlag. 333-351. Mandelbrot, B. B. (1974). Intermittent Turbulence in Self Similar Cascades; Divergence of High Moments and Dimension of the Carrier. Journal of Fluid Mechanics, 62, 331-358. Mandelbrot, B. B. (1977). Fractals: Form, Chance and Dimension, San Francisco: Freeman. Mensi, W., Hammoudeh, S., Nguyen, D.K. ve Kang, S.H. (2016). Global Financial Crisis and Spillover Effects Among The U.S. and BRICS Stock Markets. International Review of Economics and Finance, 42, 257–276. Mensi, W., Hammoudeh, S. ve Kang, S.H. (2017). Dynamic Linkages Between Developed and BRICS Stock Markets: Portfolio Risk Analysis. Finance Research Letters, 21, 26–33. Mun, K.C. (2012). The Joint Response of Stock and Foreign Exchange Markets to Macroeconomic Surprises: Using US and Japanese Data. J. Bank. Finance, 36, 383–394. Nashier, T. (2015). Financial Integration Between BRICS and Developed Stock Markets. International Journal of Business and Management Invention, 4(1), 65-7. Ono, S. (2011). Oil Price Shocks and Stock Markets in BRICs. European Journal of Comparative Economics, 8(1), 29-45. Özşahin, Ş. (2017). Yükselen Piyasa Ekonomilerinde Menkul Kıymetler Borsalarının Entegrasyonu: Türkiye ve BRICS Ülkeleri Üzerine Çoklu Yapısal Kırılmalı Eş-bütünleşme Analizi. Yönetim ve Ekonomi, 24(2), 601-619. Pal, M., Rao, P.M. ve Manimaran, P. (2014) . Multifractal Detrended Cross-Correlation Analysis on Gold, Crude Oil And Foreign Exchange Rate Time Series. Physica A, 416, 452–460. Podobnik, B. ve Stanley, H. E. (2008). Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series. Phys. Rev. Lett., 100, 084102. Podobnik B., Grosse I., Horvatic D., Ilic S., Ivanov P.C. ve Stanley H.E. (2009). Quantifying Cross-Correlations Using Local and Global Detrending Approaches. Eur. Phys.J., 71, 243-250. Polat, M., ve Gemici E. (2017). Analysıs of The Relatıonshıp Between Bıst and BRICS Stock Markets ın Terms of Portfolio Diversification: Cointegration Analysis with Ardl Boundary Test. Journal of Economics Finance and Accounting, 4(4), 393-403. Sosa, M. ve Cabello A. (2015). Stock Market Behaviour in the Emerging G-9 (BRICS+4). Revista Latinoamericana de Economia, 46 (181). Sui, L. ve Sun, L. (2016). Spillover Effects Between Exchange Rates and Stock Prices: Evidence from BRICS Around The Recent Global Financial Crisis. Research in International Business and Finance, 36, 459-471. Syriopoulos, T., Makram B. ve Boubaker, A. (2015). Stock Market Volatility Spillovers and Portfolio Hedging: BRICS and The Financial Crisis. International Review of Financial Analysis, 39, 7-18. Şimşek M. (2016). Borsa İstanbul (BIST) ve BRICS Ülkelerinin Hisse Senedi Piyasalarının İlişkisi Üzerine Bir İnceleme. İnsan ve Toplum Bilimleri Araştırma Dergisi, 5(3),520-536. Vuran, B. ve Türkay, K. (2017). Emerging Markets Stock Exchange Linkages: Evidence from BRICS and MIST Countrıes. International Research Journal of Applied Finance, 8(1), 1-11. Xu, L., Ivanov, P.Ch., Hu, K., Chen, Z., Carbone, A. ve Stanley, H.E. (2005). Quantifying Signals with Power-Law Correlations: A Comparative Study of Detrended Fluctuation Analysis and Detrended Moving Average Techniques. Phys. Rev., 71, 051101. Yahoo Finance, http://finance.yahoo.com/. Yarovaya, L., Chi, M. ve Lau, K. (2016). Stock Market Comovements Around The Global Financial Crisis: Evidence from the UK, BRICS and MIST Markets. Research in International Business and Finance, 37, 605–619. Yıldız, A. ve Aksoy, E. (2014). Morgan Stanley Gelişmekte Olan Borsa Endeksi ile BIST Endeksi Arasındaki Eşbütünleşme İlişkisinin Analiz Edilmesi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 28(2), 1-23. Zhang, B., Li, X. ve Yu, H. (2013). Finance Has Recent Financial Crisis Changed Permanently The Correlations Between BRICS and Developed Stock Markets?. North American Journal of Economics and Finance, 26, 725– 738. Zhang, J., Zhang, D., Wang, J. ve Zhang, Y. (2013). Volatilite Spillovers Between Equity and Bond Markets: Evidence From G7 and BRICS, Romanian Journal Of Economic Forecasting – XVI(4). Zhao, H. (2010). Dynamic Relationship Between Exchange Rate and Stock Price: Evidence From China. Res. Int. Bus. Financ., 24(2), 103–112.
Long Term Cross Correlations Between Financial Markets: An Application to Turkey and BRICS Countries
Abstract
In the study the cross correlations between Turkey
stock market volatility and the stock market volatilities of BRICS countries
are investigated in the period from February 3, 2012 to June 1, 2018. This
study contributes to the literature by employing the MF-X-DMA method to analyse
the effect of stock market volatilities of the BRICS countries to the Turkish
stock market. Emprical results show that
cross correlations between volatilities of Turkey-Brazil, volatilities of
Turkey-Russia, volatilities of Turkey-India, volatilities of Turkey-China and
volatilities of Turkey-South Africa have strong multifractal features.
Moreover, the effects of small and large shocks in cross correlations are
persistant in the long run.
References
- Ağır, H. ve Yıldırım, S. (2015). Türkiye ile BRICS Ekonomilerinin Makroekonomik Performans Karşılaştırması: Betimsel Bir Analiz. KSÜ Sosyal Bilimler Dergisi /KSU Journal of Social Sciences, 12(2), 39-66. Akal, M. (2013). BIST-100 Endeksi ile GSPTSE ve Yükselen Borsalar Arası Etkileşim. Akademik Bakış Dergisi, 38, 1-18. Akel, V. (2015). Kırılgan Beşli Ülkelerinin Hisse Senedi Piyasaları Arasındaki Eşbütünleşme Analizi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 11(24), 75-96. Arianos, S. ve Carbone, A. (2007). Detrending Moving Average Algorithm: A Closed-Form Approximation of The Scaling Law. Physica A: Statistical Mechanics and its Applications, 382(1), 9-15. Benli, Y K. (2014). Türkiye Borsasının Gelişmekte Olan Ülkeler Borsaları ile Eşbütünleşme Analizi. Yönetim ve Ekonomi Araştırmaları Dergisi, 23, 18-32. Boubaker, H. ve Raza, S. A. (2017). A Wavelet Analysis of Mean and Volatility Spillovers Between Oil and BRICS Stock Markets. Energy Economics, 64, 105-11. Bozoklu, Ş. ve Saydam, İ.M. (2010). BRIC Ülkeleri ve Türkiye Arasındaki Sermaye Piyasaları Entegrasyonunun Parametrik ve Parametrik Olmayan Eşbütünleşme Testleri ile Analizi. Maliye Dergisi, 159, 416-431. Cao, G., Han, Y., Chen, Y. ve Yang, C. (2014). Multifractal Detrended Cross-Correlation Between The Chinese Domestic and International Gold Markets Based on DCCA and DMCA Methods. Modern Physics Letters, 28-11, 1450090. Chkili, W. ve Nguyen, D.K. (2014). Exchange Rate Movements and Stock Market Returns in A Regime-Switching Environment: Evidence for BRICS Countries. Res. Int. Bus. Financ. 31, 46–56 Dickey, D. A. ve Fuller, W. A. (1979). Distribution of The Estimators for Autoregressive Time Series with Unit Root. Journal of the American Statistical Association, 74, 427–431. Dickey, D. A. ve Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057–1072. Evlimoğlu, U. ve Çondur, F. (2012). İMKB ile Bazı Gelişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Karşılıklı Bağlantıların Küresel Kriz Öncesi ve Sonrası Dönem İçin İncelenmesi. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 31(1), 31- 58. Gilmore, C. G. ve McManus, G. M. (2002). International Portfolio Diversification: US and Central European Equity Markets. Emerging Markets Review, 3(1), 69-83. Goldman Sachs. (2001). Building Better Global Economic BRICs, written by Jim O’Neill. Global Economics Paper No: 66, http://www.goldmansachs.com/our-thinking/archive/archive-pdfs/build-better-brics.pdf. Gu, G.-F. ve Zhou, W.-X.(2010). Detrending Moving Average Algorithm for Multifractals. Phys. Rev., 82(1), 011136. Jarque, C. ve Bera, A. (1980). Efficient Tests for Normality Homoscedasticity and Serial Independence of Regression Residuals. Econometric Letters, 6, 255–259. Jiang, Z.Q. ve Zhou, W.X. (2011). Multifractal Detrending Moving Average Cross-Correlation Analysis. Phys. Rev., 84, 016106. Kang, S.H. ve McIver, R. ve Yoon, S.M. (2016). Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets. Emerging Markets Finance and Trade, 52:7, 1698-1723. Kılıç, R. ve Dilber C. (2017). Türkiye ve BRİCS Ülkelerinin Finansal Piyasaları Arasındaki İlişkinin Kantil Regresyon Yöntemi ile İncelenmesi. Akademik Sosyal Araştırmalar Dergisi, 5(48), 331-342. Ma, F., Wei, Y., Huang D. ve Zhao L. (2013). Cross-Correlations Between West Texas Intermediate Crude Oil and the Stock Markets of the BRIC. Physica A: Statistical Mechanics and its Applications. 392(21), 5356-5368. Mandelbrot, B. B. (1972). Possible Refinements of the Lognormal Hypothesis Concerning the Distribution of Energy Dissipation in Intermitent Turbulence. Statistical Models and Turbulence, New York: Springer Verlag. 333-351. Mandelbrot, B. B. (1974). Intermittent Turbulence in Self Similar Cascades; Divergence of High Moments and Dimension of the Carrier. Journal of Fluid Mechanics, 62, 331-358. Mandelbrot, B. B. (1977). Fractals: Form, Chance and Dimension, San Francisco: Freeman. Mensi, W., Hammoudeh, S., Nguyen, D.K. ve Kang, S.H. (2016). Global Financial Crisis and Spillover Effects Among The U.S. and BRICS Stock Markets. International Review of Economics and Finance, 42, 257–276. Mensi, W., Hammoudeh, S. ve Kang, S.H. (2017). Dynamic Linkages Between Developed and BRICS Stock Markets: Portfolio Risk Analysis. Finance Research Letters, 21, 26–33. Mun, K.C. (2012). The Joint Response of Stock and Foreign Exchange Markets to Macroeconomic Surprises: Using US and Japanese Data. J. Bank. Finance, 36, 383–394. Nashier, T. (2015). Financial Integration Between BRICS and Developed Stock Markets. International Journal of Business and Management Invention, 4(1), 65-7. Ono, S. (2011). Oil Price Shocks and Stock Markets in BRICs. European Journal of Comparative Economics, 8(1), 29-45. Özşahin, Ş. (2017). Yükselen Piyasa Ekonomilerinde Menkul Kıymetler Borsalarının Entegrasyonu: Türkiye ve BRICS Ülkeleri Üzerine Çoklu Yapısal Kırılmalı Eş-bütünleşme Analizi. Yönetim ve Ekonomi, 24(2), 601-619. Pal, M., Rao, P.M. ve Manimaran, P. (2014) . Multifractal Detrended Cross-Correlation Analysis on Gold, Crude Oil And Foreign Exchange Rate Time Series. Physica A, 416, 452–460. Podobnik, B. ve Stanley, H. E. (2008). Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series. Phys. Rev. Lett., 100, 084102. Podobnik B., Grosse I., Horvatic D., Ilic S., Ivanov P.C. ve Stanley H.E. (2009). Quantifying Cross-Correlations Using Local and Global Detrending Approaches. Eur. Phys.J., 71, 243-250. Polat, M., ve Gemici E. (2017). Analysıs of The Relatıonshıp Between Bıst and BRICS Stock Markets ın Terms of Portfolio Diversification: Cointegration Analysis with Ardl Boundary Test. Journal of Economics Finance and Accounting, 4(4), 393-403. Sosa, M. ve Cabello A. (2015). Stock Market Behaviour in the Emerging G-9 (BRICS+4). Revista Latinoamericana de Economia, 46 (181). Sui, L. ve Sun, L. (2016). Spillover Effects Between Exchange Rates and Stock Prices: Evidence from BRICS Around The Recent Global Financial Crisis. Research in International Business and Finance, 36, 459-471. Syriopoulos, T., Makram B. ve Boubaker, A. (2015). Stock Market Volatility Spillovers and Portfolio Hedging: BRICS and The Financial Crisis. International Review of Financial Analysis, 39, 7-18. Şimşek M. (2016). Borsa İstanbul (BIST) ve BRICS Ülkelerinin Hisse Senedi Piyasalarının İlişkisi Üzerine Bir İnceleme. İnsan ve Toplum Bilimleri Araştırma Dergisi, 5(3),520-536. Vuran, B. ve Türkay, K. (2017). Emerging Markets Stock Exchange Linkages: Evidence from BRICS and MIST Countrıes. International Research Journal of Applied Finance, 8(1), 1-11. Xu, L., Ivanov, P.Ch., Hu, K., Chen, Z., Carbone, A. ve Stanley, H.E. (2005). Quantifying Signals with Power-Law Correlations: A Comparative Study of Detrended Fluctuation Analysis and Detrended Moving Average Techniques. Phys. Rev., 71, 051101. Yahoo Finance, http://finance.yahoo.com/. Yarovaya, L., Chi, M. ve Lau, K. (2016). Stock Market Comovements Around The Global Financial Crisis: Evidence from the UK, BRICS and MIST Markets. Research in International Business and Finance, 37, 605–619. Yıldız, A. ve Aksoy, E. (2014). Morgan Stanley Gelişmekte Olan Borsa Endeksi ile BIST Endeksi Arasındaki Eşbütünleşme İlişkisinin Analiz Edilmesi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 28(2), 1-23. Zhang, B., Li, X. ve Yu, H. (2013). Finance Has Recent Financial Crisis Changed Permanently The Correlations Between BRICS and Developed Stock Markets?. North American Journal of Economics and Finance, 26, 725– 738. Zhang, J., Zhang, D., Wang, J. ve Zhang, Y. (2013). Volatilite Spillovers Between Equity and Bond Markets: Evidence From G7 and BRICS, Romanian Journal Of Economic Forecasting – XVI(4). Zhao, H. (2010). Dynamic Relationship Between Exchange Rate and Stock Price: Evidence From China. Res. Int. Bus. Financ., 24(2), 103–112.
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Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | December 27, 2019 |
| Published in Issue | Year 2019 Volume: 17 Issue: 4 |
