Abstract
Gelişmekte olan piyasaların finansal bütünleşme içinde olmaları, küresel
ekonomik olaylar karşısında duyarlılıklarını artırmaktadır. Bu anlamda çalışmada
gelişmekte olan piyasalardan Türkiye, Arjantin ve Brezilya’daki menkul kıymetler
borsaları arasındaki ilişki değerlendirilmektedir. İlişkinin analizinde çokdeğişkenli
GARCH (MGARCH) yöntemi kullanılarak, üç piyasanın aralarındaki karşılıklı şok
ve volatilite saçılımı (volatility spillover) üzerine elde edilen bulgular
yorumlanmıştır. Buna göre İMKB ile BOVESPA arasında çift yönlü şok saçılımı,
MERVAL’den İMKB’ye tek yönlü volatilite saçılımı tespit edilmiştir.
Keywords
References
- Bollerslev T. (1986) “Generalised Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, ss.307-327.
- Bollerslev, Engle ve Wooldridge (1988) "A Capital Asset Pricing Model with Time Varying Covariances," Journal of Political Economy, 96, ss.116- 131.
- Engle, (2003),”Risk and Volatility: Econometric Models and Financial Practice” Nobel Lecture.
- Engle, R. F. and Kroner, K. F. (1995), “Multivariate simultaneous GARCH”, Econometric Theory, 11, ss.122-150.
- Herrera, S. ve Salman, F., (2008), “Tangos, Sambas or Belly Dancing? Or, do Spreads Dance to the Same Rhythm? Signaling Regime Sustainability in Argentina, Brazil and Turkey”, Research and Monetary Policy Department Working Paper No: 08/07, The Central Bank of the Republic of Turkey.
- Li , Majerowska, (2007), Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach, Research in International Business and Finance, Article in Press, ss. 20.
- Li, (2007) International Linkages of the Chinese Stock Exchanges : a multivariate GARCH analysis, Applied Financial Economics, 17:4, ss.285- 297
- Özün, A. (2007a), "International Transmission of Volatility in the US Interest Rates to The Stock Returns: Some Comparative Evidence From World Equity Markets", International Research Journal of Finance and Economics, 10.
- Özün, A. (2007b), "Are The Reactions of Emerging Equity Markets to The Volatility in Advanced Markets Similar?: Comparative Evidence From Brazil and Turkey", International Research Journal of Finance and Economics, 9, ss. 220-230.
- Taştan, H. (2006), Estimating time varying conditional corelations between stock and foreign exchange markets, Physica A: Statistical Mechanics and its Applications, 360-2, ss. 445-458
- Çaşkurlu, T., Pınar, M.Ç., Salih A., Salman, F. (2008), “Can Central Bank Interventions Affect the Exchange Rate Volatility? Multivariate GARCH Approach Using Constrained Nonlinear Programming”, TCMB Working Paper, No. 08/06.
Abstract
Having financial integration of the emerging markets increases their sensitivity against global economic events. In this sense, the paper aims to estimate the relation between stock exchange markets in Turkey, Argentina and Brazil as being some of the emerging markets. In analyzing the relation with one of the Multivariate GARCH (MGARCH) methods, the findings of cross shock and volatility spillover on these three markets are interpreted. Accordingly, bidirectional shock spillover between ISE and BOVESPA and unidirectional volatiliy spillover from MERVAL to ISE are determined.
Keywords
References
- Bollerslev T. (1986) “Generalised Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, ss.307-327.
- Bollerslev, Engle ve Wooldridge (1988) "A Capital Asset Pricing Model with Time Varying Covariances," Journal of Political Economy, 96, ss.116- 131.
- Engle, (2003),”Risk and Volatility: Econometric Models and Financial Practice” Nobel Lecture.
- Engle, R. F. and Kroner, K. F. (1995), “Multivariate simultaneous GARCH”, Econometric Theory, 11, ss.122-150.
- Herrera, S. ve Salman, F., (2008), “Tangos, Sambas or Belly Dancing? Or, do Spreads Dance to the Same Rhythm? Signaling Regime Sustainability in Argentina, Brazil and Turkey”, Research and Monetary Policy Department Working Paper No: 08/07, The Central Bank of the Republic of Turkey.
- Li , Majerowska, (2007), Testing stock market linkages for Poland and Hungary: A multivariate GARCH approach, Research in International Business and Finance, Article in Press, ss. 20.
- Li, (2007) International Linkages of the Chinese Stock Exchanges : a multivariate GARCH analysis, Applied Financial Economics, 17:4, ss.285- 297
- Özün, A. (2007a), "International Transmission of Volatility in the US Interest Rates to The Stock Returns: Some Comparative Evidence From World Equity Markets", International Research Journal of Finance and Economics, 10.
- Özün, A. (2007b), "Are The Reactions of Emerging Equity Markets to The Volatility in Advanced Markets Similar?: Comparative Evidence From Brazil and Turkey", International Research Journal of Finance and Economics, 9, ss. 220-230.
- Taştan, H. (2006), Estimating time varying conditional corelations between stock and foreign exchange markets, Physica A: Statistical Mechanics and its Applications, 360-2, ss. 445-458
- Çaşkurlu, T., Pınar, M.Ç., Salih A., Salman, F. (2008), “Can Central Bank Interventions Affect the Exchange Rate Volatility? Multivariate GARCH Approach Using Constrained Nonlinear Programming”, TCMB Working Paper, No. 08/06.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | January 20, 2012 |
| Published in Issue | Year 2010 Issue: 1 |
