BORSA, DÖVİZ KURU VE PETROL FİYATLARI ARASINDAKİ OYNAKLIK YAYILIMI

Abstract

Küreselleşme, piyasalar arasındaki ilişkileri artması, finansal piyasalardaki risklerin yükselmesi, iletişim araçlarının yaygınlaşması ve iletişim maliyetinin düşmesi gibi konular piyasalar arasındaki oynaklıkların artmasına neden olmuştur. Oynaklık ve oynaklık yayılımları finansta önemli hale gelmiştir. Piyasalar arasındaki oynaklık yayılımlarının bilinmesi yatırım kararlarının verilmesi, çeşitlendirme ile riski azaltımı, portföy yönetimi, fiyat keşfi, uluslararası sermaye hareketleri gibi konular bakımından önem taşımaktadır. Bu çalışmada Borsa İstanbul (BİST), döviz kuru ($/₺) ve petrol (WTI) arasındaki oynaklık yayılımları araştırılmıştır. Çalışma 04.01.2010 – 15.03.2019 dönemine ait günlük verilerle yapılmıştır. Değişkenler GARCH modeliyle tahmin edildikten sonra Hong’un (2001) varyansta nedensellik testi ile oynaklık yayılımları ve DCC GARCH yöntemiyle de değişkenler arası ilişkiler araştırılmıştır. Çalışma sonuçları Borsa İstanbul ve döviz kuru arasında karşılıklı, petrolden ise Borsa İstanbul ve döviz kuruna doğru tek yönlü oynaklık yayılımları olduğunu göstermiştir. DCC GARCH yönteminde ise petrol ile Borsa İstanbul arasındaki ilişki belirlenmiştir. Bu sonuçlar Borsa İstanbul ve döviz kurunda oluşan oynaklıklarda petrolün önemli bir belirleyici olduğunu göstermektedir. 

Keywords

• Oynaklık Yayılımı
• Varyansta Nedensellik
• DCC GARCH Model
• Borsa
• Döviz Kuru

VOLATILITY SPILLOVER BETWEEN STOCK MARKET, EXCHANGE RATE AND OIL PRICES

Abstract

Globalization, increased relations between markets, increased risks in financial markets, widespread communication tools and decreased communication costs have led to increased volatility between markets. Volatility and volatility spillover have become important in finance. Knowing the volatility spillover between markets is important in terms of making investment decisions, risk reduction by diversification, portfolio management, price discovery, international capital movements. In this study, the volatility spillover between Istanbul Stock Exchange (BIST), exchange rate ($/₺) and oil (WTI) were investigated. The study was conducted with daily data for the period 04.01.2010 - 15.03.2019. After estimating the variables by GARCH model, Hong's (2001) variance causality test was used to investigate volatility spillover and DCC GARCH method was used to investigate the relationships between variables. The results of the study showed that the bidirectional volatility spillover between Istanbul Stock Exchange and exchange rates and unidirectional volatility spillover from oil to Istanbul Stock Exchange and exchange rates. In the DCC GARCH method, the relationship between oil and Istanbul Stock Exchange was determined. These results show that oil is an important determinant of volatility in Istanbul Stock Exchange and exchange rates. 

Keywords

• Volatility Spillover
• Causality Variance
• DCC GARCH Model
• Stock Market
• Exchange Rate

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