ALTIN, HAM PETROL, GVZ VE OVX’İN TÜRK FİNANSAL PİYASALARINA SİMETRİK VE ASİMETRİK ETKİLERİ

Year 2019, , 714 - 731, 01.10.2019

Ebru Yıldırım Ayşegül İşcanoğlu Çekiç

https://doi.org/10.17130/ijmeb.2019355047

Cited By: 2

Abstract

Piyasalar arası etkileşimleri ve asimetrik nedensellik ilişkilerini inceleyen bu çalışmada BIST100 getirileri ile Dolar/TL kuru, Altın, Ham Petrol, Altın Oynaklık Endeksi GVZ ve Ham Petrol Oynaklık Endeksi OVX getirileri arasındaki ikili ilişkiler araştırılmıştır. Çalışmada, Doğrusal Granger Nedensellik Testi, Hiemstra ve Jones Doğrusal Olmayan Nedensellik Testi, Kyrtsou ve Labys Doğrusal Olmayan Nedensellik Testi ve Hristu-Varsakelis ve Kyrtsou Doğrusal Olmayan Asimetrik Nedensellik testleri uygulanarak ilişkilerin varlığı ve yönü incelenmiştir. Analizlerde, 01.01.2010 ile 01.01.2018 dönemlerini kapsayan 2332 adet günlük fiyat serisi kullanılmıştır. Elde edilen bulgulara göre BIST100 ile bahsi geçen seriler arasında çeşitli simetrik ve asimetrik nedensellik ilişkisine rastlanılmıştır.

Keywords

Doğrusal Granger Nedensellik, Doğrusal Olmayan Nedensellik, Asimetrik Nedensellik

SYMMETRIC AND ASYMMETRIC EFFECTS OF GOLD, CRUDE OIL, GVZ AND OVX ON TURKISH FINANCIAL MARKETS

Abstract

In this study the bivariate financial market interactions between BIST100 and Dolar/TL Exchange Rate, Gold, Crude Oil, Gold Volatility Index Oil Volatility Index are investigated. Linear Granger Causality Test, Hiemstra and Jones Nonlinear Causality Test, Kyrtsou and Labys Nonlinear Causality Test, and Hristu-Varsakelis and Kyrtsou Nonlinear Asymmetric Causality tests were applied to investigate the existence and direction of interactions. This study covers 2332 daily return series in the period from 01.01.2010 to 01.01.2018. Results show the existence of symmetric and asymmetric casuality between BIST100 and the series used in this study

Keywords

Linear Granger Causality, Nonlinear Causality, Asymmetric Causality

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