The Causality Relationship Among Stock Markets In Risk Situation

Abstract

In this paper, it is aimed to determine the possible existence of a causal relationship among the stock markets of the G-20 countries in extreme risk situations. For this purpose, between January 2, 1995 and May 26, 2022, using daily closing prices, the possible existence of extreme risk situations in the stock markets of G-20 countries was investigated with the risk situation causality test developed by Hong et al., (2009). According to the causality test results, it is unidirectional from the USA, Italy, Germany, France, China, Brazil, Argentina and India stock markets to the Turkish stock market and from the Turkish stock market to the Indonesia, Mexico and South African stock markets; It has been determined that there is a causal relationship between the stock markets of Japan, Canada, Australia, Korea and Russia and the Turkish stock market in case of bidirectional risk. Finally, no causal relationship was found in any risk situation with the UK stock market.

Keywords

• Stock Markets
• GARCH Models
• Hong Causality Test

Hisse Senedi Piyasaları Arasında Risk Durumunda Nedensellik İlişkisi

Abstract

Bu çalışmada, G-20 ülkelerinin hisse senedi piyasaları arasında aşırı risk durumlarında nedensellik ilişkisinin olası varlığının tespit edilmesi amaçlanmıştır. Bu amaçla 2 Ocak 1995-26 Mayıs 2022 tarihleri arasında günlük hisse senedi kapanış fiyatları kullanılarak, G-20 ülkelerinin hisse senedi piyasaları arasında aşırı risk durumlarının olası varlığı Hong vd., (2009) tarafından geliştirilen risk durumunda nedensellik testi ile araştırılmıştır. Nedensellik testi sonuçlarına göre, ABD, İtalya, Almanya, Fransa, Çin, Brezilya, Arjantin ve Hindistan hisse senedi piyasalarından Türkiye hisse senedi piyasasına doğru ve Türkiye hisse senedi piyasasından da Endonezya, Meksika ve Güney Afrika hisse senedi piyasalarına doğru tek yönlü; Japonya, Kanada, Avustralya, Kore ve Rusya hisse senedi piyasaları ile Türkiye hisse senedi piyasası arasında çift yönlü risk durumunda nedensellik ilişkisi olduğu tespit edilmiştir. Son olarak, İngiltere hisse senedi piyasası ile herhangi bir risk durumunda nedensellik ilişkisine rastlanılmamıştır.

Keywords

• Hisse Senedi Piyasaları
• GARCH Modeller
• Hong Nedensellik Testi

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