Küresel Faktörlerden Uluslararası Hisse Senedi Piyasalarına Volatilite Yayılma Etkileri

Abstract

Bu çalışmanın amacı, son 10 yıldır değişmekte olan uluslararası finansal yapının temel dinamiklerinin, hisse senedi piyasalarının volatilitesi üzerindeki etkisini belirlemektir. Bu amaçla emtia fiyatları, yatırımcıların risk iştahı, küresel ticaret hacmi ve ABD'nin getiri eğrisi eğimi küresel faktörler olarak belirlenmiştir. İncelenen borsa endeksleri için volatilite yayılma etkisinin, risk iştahı endeksi (VIX), ABD getiri farkı (T10Y3M) ve petrol volatilite endeksi (OVX) küresel değişkenlerinden kaynaklandığı tespit edilmiştir. Ayrıca bu etkinin gelişmiş piyasalarda daha büyük olduğu belirlenmiştir. Küresel ticaretin borsalar üzerindeki etkisi ise sınırlıdır. Bu sonuçlar portföy yöneticileri ve politika yapıcılar için küresel faktörlerin borsalar üzerindeki etkilerini ve borsa getirisi oynaklığını tahmin etmede oldukça önemlidir.

Keywords

• Küresel Ticaret Hacmi,Getiri Eğrisi,Emtia Zımni Volatilite Endeksleri,Volatilite Yayılması,Simetrik-Asimetrik Yayılma Etkileri

Volatility Spillover Effects From Global Factors to International Stock Markets

Abstract

The aim of this study is to determine the volatility effect of the fundamental dynamics of the international financial structure, which has been changing for the last 10 years, on the stock markets. For this purpose, global trading volume, US' yield spread, commodity prices and risk appetite of investors variables are determined as the global factors. It is found that the spillover effect for stock markets indexes are caused by Volatility Index (VIX), US’ yield spreads, and Oil Volatility Index (OVX). Also, this effect is greater stock markets indexes of developed countries. The impact of global trade on stock exchanges is limited. These results are important for portfolio managers and policy makers in predicting the impact of global factors on stock exchanges and stock market return volatility.

Keywords

• Global Trade Volume,Yield Spread,Implied Volatility Indices of Commodities,Volatility Spillover,Symmetric-Asymmetric Effects

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