LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR

Bülent Güloğlu; Pınar Kaya

doi:10.14780/muiibd.511030

LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR

Abstract

Çalışmanın genel amacı kuyruk bağımlılığı ölçümündeki yeni ekonometrik tekniklerden yararlanarak Latin Amerika ülkeleri ve ABD hisse senedi piyasaları arasında risk yayılımını incelemek, finansal bulaşma olgusunu ortaya çıkarmaktır. Momentlerdeki Granger nedensellik testleri, ortalama ve varyanstaki Granger nedensellik testlerinden farklı olarak, dağılımın kuyruklarındaki nedenselliği ifade etmekte ve bu da riskteki yayılmayı göstermesi bakımından önem arz etmektedir. Bu çalışmada 16/01/2008 – 20/05/2015 dönemi için MERVAL (Arjantin), BOVESPA (Brezilya), COLCAP (Kolombiya), IPC (Meksika), IPSA (Şili) ve S&P 500 (ABD) borsalarının günlük verileri analiz edilecektir. Bulgularımıza göre Brezilya endeks getirisi dağılımının sol kuyruğu, diğer endeks getirileri dağılımlarının sol kuyruğunun nedenidir. Bu sonuçlar piyasaların aşağı yönlü hareketlerinde ve genellikle Brezilya merkezli olarak bulaşma etkisine işaret etmektedir. Buna ek olarak S&P 500’den Latin Amerika hisse senedi piyasalarına doğru nedensellik tespit edilmiştir.

Keywords

Finansal Bulaşma,Kantil Nedensellik,Hisse Senetleri Piyasaları,GARCH

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Details

Primary Language

Turkish

Subjects

-

Journal Section

Research Article

Authors

Bülent Güloğlu ^*

Pınar Kaya This is me
0000-0003-0509-9794

Publication Date

January 11, 2019

Submission Date

September 1, 2018

Acceptance Date

-

Published in Issue

Year 2018 Volume: 40 Number: 2

DOI

https://doi.org/10.14780/muiibd.511030

IZ

https://izlik.org/JA78TR74UC

Cite

RIS / Bibtex

APA

Güloğlu, B., & Kaya, P. (2019). LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 40(2), 230-254. https://doi.org/10.14780/muiibd.511030

AMA

1.Güloğlu B, Kaya P. LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2019;40(2):230-254. doi:10.14780/muiibd.511030

Chicago

Güloğlu, Bülent, and Pınar Kaya. 2019. “LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 40 (2): 230-54. https://doi.org/10.14780/muiibd.511030.

EndNote

Güloğlu B, Kaya P (January 1, 2019) LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 40 2 230–254.

IEEE

[1]B. Güloğlu and P. Kaya, “LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 40, no. 2, pp. 230–254, Jan. 2019, doi: 10.14780/muiibd.511030.

ISNAD

Güloğlu, Bülent - Kaya, Pınar. “LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 40/2 (January 1, 2019): 230-254. https://doi.org/10.14780/muiibd.511030.

JAMA

1.Güloğlu B, Kaya P. LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2019;40:230–254.

MLA

Güloğlu, Bülent, and Pınar Kaya. “LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 40, no. 2, Jan. 2019, pp. 230-54, doi:10.14780/muiibd.511030.

Vancouver

1.Bülent Güloğlu, Pınar Kaya. LATİN AMERİKA VE ABD HİSSE SENEDİ PİYASALARI ARASINDA RİSK YAYILIMI: MOMENTLERDE NEDENSELLİK TESTLERİNDEN YENİ BULGULAR. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2019 Jan. 1;40(2):230-54. doi:10.14780/muiibd.511030