Dynamic Volatility Spillover Among Emerging EAGLE Markets

Year 2023, Volume: 19 Issue: 2, 316 - 336, 29.12.2023

Gürkan Bozma , İlyas Kays İmamoğlu , Serkan Künü

Abstract

Bu çalışma, Diebold ve Yılmaz (2009, 2012) tarafından önerilen yöntemi kullanarak EAGLE hisse senedi piyasası endeksleri arasındaki oynaklık yayılımını ortaya çıkarmayı amaçlamaktadır. Bu amaçla 2005-2019 yılları arasında EAGLE borsa verileri DataStream veri tabanından toplanmıştır. VAR modelinin kullanılması nedeniyle ilk olarak Granger nedensellik testi yapılmış ve ülkeler arasında çeşitli nedensellik ilişkilerinin olduğu tespit edilmiştir. Elde edilen bulgulara göre, toplam oynaklık yayılma endeksi 2005 yılında %10 civarında iken, finansal kriz sırasında neredeyse üç katına çıkmıştır. ABD borç krizi ve Euro Bölgesi'ndeki ekonomik daralma, toplam oynaklık yayılma endeksini yaklaşık %40'lık maksimum düzeyine çıkararak 2019 yılına kadar düşmeye devam etmiştir. Türkiye, Brezilya, Hindistan ve Endonezya net oynaklık alıcılar olarak belirlenirken ve Çin , Rusya ve Meksika net oynaklık vericiler olarak tespit edilmiştir.

Keywords

EAGLE Piyasaları, Oynaklık Geçişkenliği, Piyasa İlişkisi

Dynamic Volatility Spillover Among Emerging Eagle Markets

Abstract

This study aims to reveal the volatility spillover between EAGLE stock market indices using the method proposed by Diebold and Yilmaz (2009, 2012). For this purpose, EAGLE stock market data was collected from the DataStream database from 2005 to 2019. Due to the use of the VAR model, the Granger causality test was firstly performed, and it was determined that there are various causality relationships between countries. According to the findings, while the total volatility spillover index was around 10% in 2005, it nearly tripled during the financial crisis. The US debt crisis and the economic contraction in the Eurozone increased the total volatility spillover index to its maximum level of approximately 40% and continued to decrease until 2019. Turkey, Brazil, India, and Indonesia were determined as the net receiver volatility, and China, Russia, and Mexico were identified as the volatility of the net transmitter.

Keywords

EAGLE market, Volatility spillover, Market linkage

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