The Impact of Globalization on Stock Market Volatility: The Case of BRICS-T Countries

Abstract

Globalization is a process in which economic, financial, trade, political, and social relations intensify, significantly impacting the global economy and financial markets. Since the 1980s, many countries have pursued economic globalization, increased stock market activity, and led to price volatility. This study aims to examine the effects of globalization on stock market volatility in the BRICS-T countries (Brazil, Russia, India, South Africa, China, and Turkey). In the study, stock market volatility is used as the dependent variable, while economic, trade, political, financial, social, and cultural globalization, along with economic freedom indices, are used as independent variables. Data for the variables were collected from the KOF Swiss Economic Institute, the Heritage Foundation, and the World Bank/Bloomberg Database for the period 1996-2020. The data analysis employed panel data analysis methods. The findings indicate that globalization has a negative, volatility-reducing effect on stock markets, with political globalization having the most significant impact on stock market volatility. Another finding of the study suggests that an increase in globalization indices affects Russia's stock market volatility the most, while South Africa's stock market volatility is impacted the least.

Keywords

• Globalization
• Stock Market
• Volatility
• BRICS

Küreselleşmenin Hisse Senedi Piyasası Oynaklığı Üzerindeki Etkisi: BRICS-T Ülkeleri Örneği

Abstract

Küreselleşme, ekonomik, finansal, ticari, politik ve sosyal ilişkilerin yoğunlaştığı bir süreç olup, dünya ekonomisi ve finans piyasaları üzerinde önemli etkilere sahiptir. 1980’lerden itibaren birçok ülke ekonomilerini küreselleştirmeye yönelmiş ve bu süreç hisse senedi piyasalarının hareketliliğini artırarak fiyat oynaklığına (volatilite) neden olmuştur. Bu araştırmada, BRICS-T (Brezilya, Rusya, Hindistan, Güney Afrika, Çin ve Türkiye) ülkelerinde küreselleşmenin hisse senedi piyasası oynaklığı üzerindeki etkilerinin incelenmesi amaçlanmıştır. Araştırmada, hisse senedi piyasası oynaklığı bağımlı değişken, ekonomik, ticari, politik, finansal, sosyal ve kültürel küreselleşme ile ekonomik özgürlük endeksleri bağımsız değişkenler olarak kullanılmıştır. Değişkenlere ait veriler KOF İsviçre Ekonomi Enstitüsü, The Heritage Foundation ve World Bank/Bloomberg veri tabanından 1996-2020 dönemi için derlenmiştir. Verilerin analizinde panel veri analizlerinden yararlanılmıştır. Araştırmanın elde edilen sonuçlarına göre, küreselleşmenin hisse senedi piyasası üzerinde negatif yönlü azaltıcı bir etkisi olduğu, politik küreselleşmenin ise en fazla hisse senedi piyasası volatilitesi üzerinde etkisi olduğu bulunmuştur. Araştırmanın diğer bir sonucunda küreselleşme endekslerinde meydana gelen bir artış en fazla Rusya, en az ise Güney Afrika ülkesinin hisse senedi volatilitesi etkilediği sonucuna ulaşılmıştır.

Keywords

• Küreselleşme
• Hisse Senedi
• Oynaklık
• BRICS

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