Güney Afrika Hisse Senedi Piyasasında Makroekonomik ve Finansal Volatilite Yayılımları: VAR-Diyagonal BEKK-GARCH Modeli Çerçevesinde Sektörel Kanıtlar

Abstract

Son yıllarda Güney Afrika ekonomisi, artan küresel risklerle eş zamanlı olarak yoğunlaşan siyasi ve ekonomik belirsizliklerin hâkim olduğu bir dönemden geçmektedir. Bu çalışma, döviz kuru değişimleri, petrol fiyatı değişimleri, faiz oranları ve CDS primi değişimleri gibi temel makroekonomik ve finansal değişkenler ile Güney Afrika hisse senedi piyasası endeksleri arasındaki volatilite yayılım dinamiklerini, hem toplam piyasa hem de sektörel düzeyde incelemektedir. Buna ek olarak, farklı risk rejimleri altında ortaya çıkabilecek olası asimetrik volatilite etkileri analiz edilmektedir. VAR(1)-diyagonal BEKK-GARCH (1,1) çerçevesine dayanan ampirik bulgular, CDS primleri ve faiz oranlarına kıyasla döviz kuru ve petrol fiyatı şoklarının, hem toplam piyasa hem de sektörel endeksler genelinde volatilite yayılımlarının en baskın kanalları olduğunu ortaya koymaktadır. Ayrıca, yüksek risk dönemlerinde döviz kuru ve petrol fiyatlarından kaynaklanan volatilite yayılımlarının özellikle toplam piyasa endeksleri ile sanayi ve finans sektörlerinde belirgin biçimde güçlendiği gözlemlenmiştir. Genel olarak bulgular, döviz kurları, petrol fiyatları ve ülke riskinden kaynaklanan şokların Güney Afrika hisse senedi piyasalarında güçlü, kalıcı ve rejime bağlı oynaklık etkileri yarattığını ortaya koymakla kalmayıp, aynı zamanda gelişmekte olan piyasa ekonomilerinde dışsal şoklara karşı dayanıklılığın artırılmasında makro-finansal istikrar çerçevelerinin kritik rolünü vurgulamaktadır.

Keywords

• Hisse Senedi Fiyatı
• Döviz Kuru
• Faiz Oranı
• Petrol Fiyatları
• CDS Primi

Macroeconomic and Financial Volatility Spillovers in the South African Stock Market: Sectoral Evidence from a VAR-Diagonal BEKK-GARCH Model

Abstract

In recent years, the South African economy has experienced a period marked by heightened political and economic uncertainty, while simultaneously facing increasing global risks. This study examines the volatility spillover dynamics between key macroeconomic and financial variables-namely, exchange rate changes, oil price changes, interest rates, and CDS premium changes-and South African stock market indices at both the aggregate market and sectoral levels. In addition, potential asymmetric volatility effects arising under different risk regimes are analyzed. Empirical findings based on a VAR(1)–diagonal BEKK-GARCH (1,1) framework reveal that, relative to CDS premiums and interest rates, exchange rate and oil price shocks constitute the most dominant channels of volatility spillovers across both aggregate and sectoral indices. Moreover, during high-risk periods, volatility spillovers from exchange rates and oil prices intensify markedly, particularly in the aggregate market indices and the industrial and financial sectors. Overall, the results highlight that shocks stemming from exchange rates, oil prices, and country risk not only generate strong, persistent, and regime-dependent volatility effects in South African stock markets but also underscore the critical role of macro-financial stability frameworks in enhancing resilience to external shocks in emerging market economies.

Keywords

• Stock Price
• Exchange Rate
• Interest Rate
• Oil Prices
• CDS Spread

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