PAY PİYASALARI ARASINDAKİ OYNAKLIK YAYILIMI: DOĞU ASYA PİYASALARI ÖRNEĞİ

Year 2023, Issue: 4, 95 - 111, 25.10.2023

İbrahim Halil Uçar , Erkan Alsu

Abstract

Bu çalışmada, pay piyasaları arasındaki oynaklık yayılımı incelenmektedir. Bu kapsamda, Borsa İstanbul (BIST), IDX (Endonezya), KLSE (Malezya), KOSPI (Güney Kore) ve SET (Tayland) endeksleri arasındaki getiri ve oynaklık yayılımı, 4 Ocak 2010 ile 30 Aralık 2022 döneminde beş değişkenli asimetrik genelleştirilmiş otoregresif koşullu değişen varyans GARCH modellerinden EGARCH ve TGARCH modelleri kullanılarak incelenmiştir. EGARCH ve TGARCH modellerinden elde edilen ortalama denklemi bulgularına göre, Borsa İstanbul’un (BİST) gelişmekte olan (ASEAN) endekslerinin gecikmeli getirilerinden etkilendiği ve Borsa İstanbul’un oynaklığı üzerinde en güçlü etkinin, SET (Tayland) ve IDX (Endonezya) endeksleri olduğu tespit edilmiştir. Çalışmanın sonuçlarına göre, Borsa İstanbul (BİST) ile ilişkili haberlerde asimetrilerin var olduğunu ve kötü haberlerin ya da negatif şokların Borsa İstanbul’un oynaklığında daha etkili olduğu saptanmıştır.

Keywords

Pay piyasaları, Getiri ve Oynaklık Yayılımı, EGARCH, TGARCH, BİST

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