ANALYSIS OF VOLATILITY IN THE CONTEXT OF HETEROGENEOUS MARKET HYPOTHESIS IN EMERGING MARKETS

Year 2024, , 187 - 193, 30.12.2024

M. E. Soykan

https://doi.org/10.18070/erciyesiibd.1499398

Abstract

Heterogeneous Market Hypothesis (HMH) was suggested by Müller et al. (1997). HMH claims that financial market is formed by heterogeneous market participants. In this article, Corsi (2009) basic HAR application is discussed in context of HPH for MSCI Emerging Markets Index and results are interpreted. Basic HAR model consists of 3 parts; short-term traders with daily or more frequent trading frequency; medium-term traders with weekly trading frequency and long-term traders with monthly trading frequency or less. As a result, although HAR models mostly measure long-term volatility persistence, since monthly coefficient is insignificant and weekly and daily coefficients are significant in all three equations in analysed series, very long term, ie 1 week or late volatility persistence does not appear in the series in question. Therefore, it can be concluded that main determinants in this market are medium and short-term investors. In other words; while MSCI Emerging Markets Index is only affected by high and medium frequencies, it is not affected by low frequencies (monthly). Considering that mentioned index may be exposed to speculative activities in general, these results support this.

Keywords

Heterogeneous Market Hypothesis, HAR, Volatility, MSCI Emerging Markets Index, Volatility Persistence

GELİŞMEKTE OLAN PİYASALARDA HETEROJEN PİYASA HİPOTEZİ BAĞLAMINDA VOLATİLİTENİN ANALİZİ

Abstract

Heterojen Piyasa Hipotezi (HPH) Müller vd. (1997) tarafınca ileri sürülmüştür. HPH finansal piyasanın heterojen yani homojen olmayan piyasa katılımcıları tarafından oluşturulduğunu iddia etmektedir. Bu makalede de MSCI Gelişmekte Olan Piyasalar Endeksi HPH bağlamında Corsi (2009) temel HAR uygulaması ile ele alınmakta ve sonuçlar yorumlanmaktadır. Temel HAR modeli 3 kısımdan meydana gelmektedir; günlük veya daha sık işlem sıklığına sahip kısa vadeli yatırımcılar; haftalık işlem sıklığına sahip orta vadeli yatırımcılar ve aylık veya daha az işlem sıklığına sahip uzun vadeli yatırımcılar. Sonuç olarak her ne kadar HAR modelleri daha çok uzun vade volatilite kalıcılığını ölçse de, analiz edilen seride üç denklemde de aylık katsayı anlamsız, haftalık ve günlük katsayı ise anlamlı çıktığından, bahsi geçen seride çok uzun vade, yani 1 hafta veya geç volatilite kalıcılığı görünmemektedir. Bu nedenle, bu piyasada esas belirleyicilerin orta ve kısa vadeli yatırımcılar olduğu sonucuna ulaşılabilir. Diğer bir ifadeyle, MSCI Gelişmekte Olan Piyasalar endeksi sadece yüksek ve orta frekanslardan etkilenirken, düşük frekanslardan(aylık) etkilenmemektedir. Bahsi geçen endeksin genelde spekülatif faaliyetlere maruz kalabileceği düşünüldüğünde, bu elde edilen sonuçlar bunu desteklemektedir.

Keywords

Heterojen Piyasa Hipotezi, HAR, Volatilite, MSCI Gelişmekte Olan Piyasalar, Volatilite Kalıcılığı

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