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BORSA, DÖVİZ KURU VE PETROL FİYATLARI ARASINDAKİ OYNAKLIK YAYILIMI

Year 2020, Volume: 22 Issue: 4, 629 - 647, 31.12.2020
https://doi.org/10.31460/mbdd.649121

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. 

References

  • Aktaş, H., Kayalıdere, K., ve Karataş, Y. 2018. “Petrol, Dolar Kuru ve Hisse Senedi Piyasası Arasındaki Ortalama-Oynaklık Yayılım Etkisi: BİST100 Üzerine Bir Uygulama”, Muhasebe ve Vergi Uygulamaları Dergisi, 354-377.
  • Andrikopoulos, A., Samitas, A. ve Kougepsakis, K. 2014. “Volatility Transmission Across Currency and Stock Markets: GIIPS in Crisis”, Applied Financial Economics, 24(19), 1261-1283.
  • Bagchi, B. 2017. “Volatility Spillovers between Crude Oil Price and Stock Markets: Evidence from BRIC Countries”, International Journal of Emerging Markets, 12(2), 352-365.
  • Blau, B. M. 2018. “Exchange Rate Volatility and The Stability of Stock Prices”, International Review of Economics and Finance, 58, 299-311.
  • Bollerslev, T. 1986. “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.
  • Breen, W., Glosten, L. R. ve Jagannaathan, R. 1989. “Economic Significance of Predictable Variations in Stock Index Returns”, The Journal of Finance, 44(5), 1177-1189.
  • Çelik, S. 2012. “The More Contagion Effect on Emerging Markets: The evidence of DCC-GARCH model”, Economic Modelling, 29(5), 1946-1959.
  • Çiçek, M. 2010. “Türkiye'de Faiz, Döviz ve Borsa: Fiyat ve Oynaklık Yayılma Etkileri”, Ankara Üniversitesi SBF Dergisi, 65(2), 1-28.
  • Daly, K. 2008. “Financial Volatility: Issues and Measuring Techniques”, Physica A: Statistical Mechanics and Its Applications, 387(11), 2377-2393.
  • Dornbusch, R. Ve Fischer, S. 1980. “Exchange Rates and Current Account”, American Economic Association, 70(5), 960-971.
  • Du, L. ve He, Y. 2015. “Extreme Risk Spillovers between Crude Oil and Stock Markets”, Energy Economics, 51, 455-465.
  • Engle, R. 2002. “Dynamic Conditional Correlation: A Simple Class Of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models”, Journal of Business and Economic Statistics, 20(3), 339-350.
  • Engle, R. F. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50(4), 987-1007.
  • Hong, Y. 2001. “A Test for Volatility Spillover with Application to Exchange Rates”, Journal of Econometrics, 103, 183-224.
  • Jayashankar, M. ve Rath, B. N. 2016. “The Dynamic Linkages between Exchange Rate, Stock Price and Interest Rate In India”, Studies in Economic and Finance, 34(3), 383-406.
  • Kanas, A. 2000. “Volatility Spillovers between Stock Returns and Exchange Rate Changes: International Evidence”, Journal of Business Finance & Accounting, 27(3), 447-467.
  • Khan, R. E. A., Rehman, H. ve Ali, R. 2016. “Volatility in Stock Market Price and Exchange Rate: The Case Study of Bombay Stock Exchange”, Journal of Economic & Management Perspectives, 10(2), 110-116.
  • Kim, J. M. ve Jung, H. 2018. “Dependence Structure between Oil Prices, Exchange Rates, and Interest Rates”, Energy Journal, 39(2), 259-280.
  • Liu, Z., Ding, Z., Li, R., Jiang, X., Wu, J. ve Lv, T. 2017. “Research on Differences of Spillover Effects between International Crude Oil Price and Stock Markets in China and America”, Natural Hazards, 88(1), 575-590.
  • Morales-Zumaquero, A. ve Sosvilla-Rivero, S. 2018. “Volatility Spillovers between Foreign Exchange and Stock Markets in Industrialized Countries”, The Quarterly Review of Economics and Finance, 70, 121-136.
  • Nelson, D. B. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59(2), 347-370.
  • Nelson, D. B. 1996. “Modelling Stock Market Volatility”, P. Rossi (Ed.). Modelling Stock Market Volatility Changes. (pp. 3-15). California, USA: Academic Press.
  • O’Donnell, M. ve Morales, L. 2009. “Volatility Spillovers Between Stock Returns and Foreign Exchange Rates: Evidence from Four Eastern European Countries”, Int J Business, 12, 1-20.
  • Officer, R. R. 1973. “The Variability of The Market Factor of The New York Stock Exchange”, The Journal of Business, 46(3), 434-453.
  • Öner, H. 2018. “Altın, Petrol, Döviz Kuru ve Korku Endeksi Üzerine Bir Çalışma”, Akademik Araştırmalar ve Çalışmalar Dergisi, 10(19), 396-404.
  • Sansó, A., Aragó, V. ve Carrion, J. L. 2004. “Testing for Changes in The Unconditional Variance of Financial Time Series”, Revista de Economía Financiera, 4(1), 32-53.
  • Schwert, G. W. 1989. “Why Does Stock Market Volatility Change Over Time?”, The Journal of Finance, 44(5), 1115-1153.
  • Sensoy, A. ve Sobaci, C. 2014. “Effects of Volatility Shocks on The Dynamic Linkages between Exchange Rate, Interest Rate and The Stock Market: The case of Turkey”, Economic Modelling, 43, 448-457.
  • Sikhosana, A. ve Aye, G. C. 2018. “Asymmetric Volatility Transmission between The Real Exchange Rate and Stock Returns in South Africa”, Economic Analysis and Policy, 60, 1-8.
  • Sui, L. ve Sun, L. 2016. “Spillover Effects between Exchange Rates and Stock Prices: Evidence from BRICS Around The Recent Global Financial Crisis”, Research in International Business and Finance, 36, 459-471.
  • Valera, H. G. A., Holmes, M. J. ve Hassan, G. 2017. “Stock Market Uncertainty and Interest Rate Behaviour: A panel GARCH Approach”, Applied Economics Letters. 24(11), 732-735.
  • Walid, C., Chaker, A., Masood, O. ve Fry, J. 2011. “Stock Market Volatility and Exchange Rates in Emerging Countries: A Markov-State Switching Approach”, Emerging Markets Review, 12(3), 272-292.
  • Yılmaz, A. ve Altay, H. 2016. “İthal Ham Petrol Fiyatları ve Döviz Kuru Arasındaki Eşbütünleşme ve Oynaklık Yayılma Etkisinin İncelenmesi: Türkiye Örneği”, Ege Akademik Bakış, 16(4), 655-671.

VOLATILITY SPILLOVER BETWEEN STOCK MARKET, EXCHANGE RATE AND OIL PRICES

Year 2020, Volume: 22 Issue: 4, 629 - 647, 31.12.2020
https://doi.org/10.31460/mbdd.649121

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. 

References

  • Aktaş, H., Kayalıdere, K., ve Karataş, Y. 2018. “Petrol, Dolar Kuru ve Hisse Senedi Piyasası Arasındaki Ortalama-Oynaklık Yayılım Etkisi: BİST100 Üzerine Bir Uygulama”, Muhasebe ve Vergi Uygulamaları Dergisi, 354-377.
  • Andrikopoulos, A., Samitas, A. ve Kougepsakis, K. 2014. “Volatility Transmission Across Currency and Stock Markets: GIIPS in Crisis”, Applied Financial Economics, 24(19), 1261-1283.
  • Bagchi, B. 2017. “Volatility Spillovers between Crude Oil Price and Stock Markets: Evidence from BRIC Countries”, International Journal of Emerging Markets, 12(2), 352-365.
  • Blau, B. M. 2018. “Exchange Rate Volatility and The Stability of Stock Prices”, International Review of Economics and Finance, 58, 299-311.
  • Bollerslev, T. 1986. “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31, 307-327.
  • Breen, W., Glosten, L. R. ve Jagannaathan, R. 1989. “Economic Significance of Predictable Variations in Stock Index Returns”, The Journal of Finance, 44(5), 1177-1189.
  • Çelik, S. 2012. “The More Contagion Effect on Emerging Markets: The evidence of DCC-GARCH model”, Economic Modelling, 29(5), 1946-1959.
  • Çiçek, M. 2010. “Türkiye'de Faiz, Döviz ve Borsa: Fiyat ve Oynaklık Yayılma Etkileri”, Ankara Üniversitesi SBF Dergisi, 65(2), 1-28.
  • Daly, K. 2008. “Financial Volatility: Issues and Measuring Techniques”, Physica A: Statistical Mechanics and Its Applications, 387(11), 2377-2393.
  • Dornbusch, R. Ve Fischer, S. 1980. “Exchange Rates and Current Account”, American Economic Association, 70(5), 960-971.
  • Du, L. ve He, Y. 2015. “Extreme Risk Spillovers between Crude Oil and Stock Markets”, Energy Economics, 51, 455-465.
  • Engle, R. 2002. “Dynamic Conditional Correlation: A Simple Class Of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models”, Journal of Business and Economic Statistics, 20(3), 339-350.
  • Engle, R. F. 1982. “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50(4), 987-1007.
  • Hong, Y. 2001. “A Test for Volatility Spillover with Application to Exchange Rates”, Journal of Econometrics, 103, 183-224.
  • Jayashankar, M. ve Rath, B. N. 2016. “The Dynamic Linkages between Exchange Rate, Stock Price and Interest Rate In India”, Studies in Economic and Finance, 34(3), 383-406.
  • Kanas, A. 2000. “Volatility Spillovers between Stock Returns and Exchange Rate Changes: International Evidence”, Journal of Business Finance & Accounting, 27(3), 447-467.
  • Khan, R. E. A., Rehman, H. ve Ali, R. 2016. “Volatility in Stock Market Price and Exchange Rate: The Case Study of Bombay Stock Exchange”, Journal of Economic & Management Perspectives, 10(2), 110-116.
  • Kim, J. M. ve Jung, H. 2018. “Dependence Structure between Oil Prices, Exchange Rates, and Interest Rates”, Energy Journal, 39(2), 259-280.
  • Liu, Z., Ding, Z., Li, R., Jiang, X., Wu, J. ve Lv, T. 2017. “Research on Differences of Spillover Effects between International Crude Oil Price and Stock Markets in China and America”, Natural Hazards, 88(1), 575-590.
  • Morales-Zumaquero, A. ve Sosvilla-Rivero, S. 2018. “Volatility Spillovers between Foreign Exchange and Stock Markets in Industrialized Countries”, The Quarterly Review of Economics and Finance, 70, 121-136.
  • Nelson, D. B. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59(2), 347-370.
  • Nelson, D. B. 1996. “Modelling Stock Market Volatility”, P. Rossi (Ed.). Modelling Stock Market Volatility Changes. (pp. 3-15). California, USA: Academic Press.
  • O’Donnell, M. ve Morales, L. 2009. “Volatility Spillovers Between Stock Returns and Foreign Exchange Rates: Evidence from Four Eastern European Countries”, Int J Business, 12, 1-20.
  • Officer, R. R. 1973. “The Variability of The Market Factor of The New York Stock Exchange”, The Journal of Business, 46(3), 434-453.
  • Öner, H. 2018. “Altın, Petrol, Döviz Kuru ve Korku Endeksi Üzerine Bir Çalışma”, Akademik Araştırmalar ve Çalışmalar Dergisi, 10(19), 396-404.
  • Sansó, A., Aragó, V. ve Carrion, J. L. 2004. “Testing for Changes in The Unconditional Variance of Financial Time Series”, Revista de Economía Financiera, 4(1), 32-53.
  • Schwert, G. W. 1989. “Why Does Stock Market Volatility Change Over Time?”, The Journal of Finance, 44(5), 1115-1153.
  • Sensoy, A. ve Sobaci, C. 2014. “Effects of Volatility Shocks on The Dynamic Linkages between Exchange Rate, Interest Rate and The Stock Market: The case of Turkey”, Economic Modelling, 43, 448-457.
  • Sikhosana, A. ve Aye, G. C. 2018. “Asymmetric Volatility Transmission between The Real Exchange Rate and Stock Returns in South Africa”, Economic Analysis and Policy, 60, 1-8.
  • Sui, L. ve Sun, L. 2016. “Spillover Effects between Exchange Rates and Stock Prices: Evidence from BRICS Around The Recent Global Financial Crisis”, Research in International Business and Finance, 36, 459-471.
  • Valera, H. G. A., Holmes, M. J. ve Hassan, G. 2017. “Stock Market Uncertainty and Interest Rate Behaviour: A panel GARCH Approach”, Applied Economics Letters. 24(11), 732-735.
  • Walid, C., Chaker, A., Masood, O. ve Fry, J. 2011. “Stock Market Volatility and Exchange Rates in Emerging Countries: A Markov-State Switching Approach”, Emerging Markets Review, 12(3), 272-292.
  • Yılmaz, A. ve Altay, H. 2016. “İthal Ham Petrol Fiyatları ve Döviz Kuru Arasındaki Eşbütünleşme ve Oynaklık Yayılma Etkisinin İncelenmesi: Türkiye Örneği”, Ege Akademik Bakış, 16(4), 655-671.
There are 33 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section MAIN SECTION
Authors

Zekai Şenol 0000-0001-8818-0752

Publication Date December 31, 2020
Submission Date November 20, 2019
Published in Issue Year 2020 Volume: 22 Issue: 4

Cite

APA Şenol, Z. (2020). BORSA, DÖVİZ KURU VE PETROL FİYATLARI ARASINDAKİ OYNAKLIK YAYILIMI. Muhasebe Bilim Dünyası Dergisi, 22(4), 629-647. https://doi.org/10.31460/mbdd.649121