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BORSA İSTANBUL (BIST) VE BRICS ÜLKELERİNİN HİSSE SENEDİ PİYASALARININ İLİŞKİSİ ÜZERİNE BİR İNCELEME

Year 2016, Volume: 5 Issue: 3, 520 - 536, 08.04.2016
https://doi.org/10.15869/itobiad.87712

Abstract

Bu çalışmanın amacı Borsa İstanbul (BİST)’in BRICS ülkelerinin hisse senedi piyasaları ile etkileşiminin uzun dönemde incelenmesidir.   3 Ocak 2008 - 21 Ocak 2015 dönemi hisse senedi piyasalarının günlük verileri yardımıyla BİST ve BRICS ülkelerinin ilişki durumu; doğrusal olmayan koşullu değişen varyans modellerinden ARCH ve GARCH modelleri ile incelenmiştir.

Çalışmanın sonucunda; Borsa İstanbul (BİST) in  BRICS ülkeleriyle gösterge endeksleriyle ilişki içerisinde olduğu ve son dönemde en fazla Hindistan ve Güney Afrika ülkeleriyle ilişkisi bulunduğu görülmüştür. Ayrıca yine son dönem verilerine göre Türkiye, Hindistan hariç diğer borsalardan pozitif ayrışmaktadır.

References

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Year 2016, Volume: 5 Issue: 3, 520 - 536, 08.04.2016
https://doi.org/10.15869/itobiad.87712

Abstract

References

  • Aggarwal, R., Inclan, C. & Leal, R. Volatility in Emerging Stock Markets. The Journal of Financial and Quantitative Analysis, Vol. 34, No. 1 (Mar., 1999), pp. 33-55
  • Bhar, R. & Nikolova, B. (2007). Analysis of Mean and Volatility Spillovers Using BRIC Countries, Regional and World Equity Index Returns. Journal of Economic Integration, Vol. 22, No. 2 (June 2007), pp. 369-381
  • Bierens, H. J. (1997). Nonparametric Cointegration Analysis, Journal of Econometrics, 77, 379-404.
  • Bozoklu, Ş. & Saydam, İ.M. (2010). BRIC Ülkeleri ve Türkiye Arasındaki Sermaye Piyasaları Entegrasyonunun Parametrik ve Parametrik Olmayan Eşbütünleşme Testleri ile Analizi, Maliye Dergisi,Sayı 159, 21-24.
  • Chancharoenchai, K. & Dibooğlu, S. (2006). Volatility Spillovers and Contagion during the Asian Crisis: Evidence from Six Southeast Asian Stock Markets. Emerging Markets Finance & Trade, Vol. 42, No. 2 (Mar. - Apr., 2006), pp. 4-17
  • Chang, T., Chien-Wen, M. & Wen-Chi, L. (2009). International Equity Diversification between Japan and its Major Trading Partners, Applied Economics Letters, 16, 1433-1437.
  • Chittedi, K. R. (2009). Global Stock Markets Development and Integration: with
  • muenchen.de/18602/1/MPRA_paper_18602.pdf to BRIC Countries,
  • http://mpra.ub.uni- Erdinç, H. & Joniada, M. (2008). Analysis of Cointegration in Capital Markets of France, Germany and United Kingdom, Postalcı, M. E. (der.). Third International Student Conference Proceeding, Empirical Models in Social Sciences içinde, Izmir University of Economics Publication No: IEU-025,187- 197.
  • Eun, C.S. & Shim, S. (1989). International Transmission of Stock Market Movements. The Journal of Financial and Quantitative Analysis, Vol. 24, No. 2 (Jun., 1989), pp.241-256
  • Gacener, A.A. & Saygılı, F. (2014). Turkiye’de Kredi Hacmi ve Cari Acık İliskisi Uzerine Bir İnceleme, Business and Economics Research JournalVol: 5 Number 4, 12-17.
  • Goldman Sachs (2001). Building Better Global Economic BRICs, written by Jim
  • http://www.goldmansachs.com/our-thinking/topics/brics/brics
  • reportspdfs/build-better-brics.pdf Economics Paper No:
  • , Goldman Sachs (2003). Dreaming With BRICs: The Path to 2050, written by Dominic Wilson and Roopa Purushothaman, Global Economics Paper No: 99, http://www.goldmansachs.com/our-thinking/topics/ brics/brics- reports-pdfs/brics-dream.pdf
  • Gündüz, L. & Hatemi, A. (2005). Stock Price and Volume Relation in Emerging Markets. Emerging Markets Finance & Trade, Vol. 41, No. 1 (Jan. - Feb., 2005), pp. 29-44
  • Hitt, M.A., H. Li & W.J. Worthington (2005). Emerging markets as learning laboratories: Learning behaviors of local firms and foreign entrants in different institutional contests, Management and Organization 423 Review, 1: 353-80.
  • Horobet, A. & Radu, L. (2009). Are Capital Markets Integrated? A Test of information Transmission within the European Union, Romanian Journal of Economic Forecasting, 2-2009, 64-80.
  • IMF (International Monetary Found). (2014). Download entire World Economic
  • http://www.imf.org/external/pubs/ft/weo/2014/01/weodata/download.aspx, Database, April
  • Kamil, E.M. (2008). 2050 yılında Dünya Ekonomisi, Niğde Üniversitesi İİBF Dergisi, Cilt:1, Sayı: 1, 1-3.
  • Küçükçolak, N. (2008). Co-integration of the Turkish Equity Market with Grek and other European Union Equity Markets. International Research Journal of Finance and Economics, Vol. 13, pp. 58-73
  • Metin, K. & Muradoğlu, G. Forecasting Integrated Stock Markets Using International Co-Movements. Russian and East European Finance and Trade, Vol. 37, No. 5, Financial Crisis, Contagion, and Emerging Markets (Sep. - Oct., 2001), pp. 45-63
  • Mukherjee, P. & Bose, S. (2008). Does the Stock Market in India Move with Asia? A Multivariate Cointegration-Vector Autoregression Approach. Emerging Markets Finance & Trade, Vol. 44, No. 5 (Sep. - Oct., 2008), pp. 5-22 Oral, E. & Schmidbauer H. (2005). Yatırımcıların İki Finansal Piyasa Arasında Tercihi, İMKB Dergisi, Cilt: 8 Sayı: 30, 3-4.
  • Patel, S.A.& Sarkar, A. (1998). Crises in Developed and Emerging Stock Markets. Financial Analysts Journal, Vol. 54, No. 6 (Nov. - Dec., 1998), pp. 50- 61 Price
  • http://www.pwc.com/la/en/publications/assets/world_2050_brics.pdf Coopers (2008). John
  • Hawksworth Ramaprasad B. & Nikolova, B. (2007). Analysis of Mean and Volatility Spillovers Using BRIC Countries, Regional and World EquityIndex Returns, Journal of Economic Intergation, Vol:22, No:2.
  • Tiwari, A.K., Arif, B. D., Niyati, B. & Shah, A. (2013). Stock Market Integration in Asian Countries: evidence from Wavelet multiple correlations. Journal of Economic Integration, Vol. 28, No. 3 (September 2013), pp. 441-456
  • Türkiye Cumhuriyeti Merkez Bankası (TCMB).
  • http://www.tcmb.gov.tr/wps/wcm/connect/9ddf6faf-fe1e-4477-bcb8
  • cd84b9e713e/SunumB06_04_2015.pdf?MOD=AJPERES
  • Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi Getiri Volatilitesinin Analizi, İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi Yıl:7 Sayı:13 Bahar 2008. Wenjing, S. & Huang, Y. (2010). Comparison of Multivariate GARCH Models with Application to Zero-Coupon Bond Volatility, Master Thesis
There are 32 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Mehmet Şimşek This is me

Publication Date April 8, 2016
Published in Issue Year 2016 Volume: 5 Issue: 3

Cite

APA Şimşek, M. (2016). BORSA İSTANBUL (BIST) VE BRICS ÜLKELERİNİN HİSSE SENEDİ PİYASALARININ İLİŞKİSİ ÜZERİNE BİR İNCELEME. İnsan Ve Toplum Bilimleri Araştırmaları Dergisi, 5(3), 520-536. https://doi.org/10.15869/itobiad.87712

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