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

Year 2018, , 230 - 254, 11.01.2019

Bülent Güloğlu , Pınar Kaya

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

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

References

  • BALCILAR, M., Chang, S., Gupta, R., Kasongo, V., Kyei, C. (2014). The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach, Working Paper.
  • BALCILAR, M., Gupta, R., Kyei, C., & Wohar, M. E. (2016). Does Economic policy uncertainty predict Exchange rate returns and volatility? Evidence from a nonparametric causality-in-quantiles test. Open Economies Review, 27(2): 229–250.
  • BOUHADDIOUI C., Roy, R. (2006). A generalized portmanteau test for independence of two infinite order vector autoregressive series, Journal of Time Series Analysis, 27(4): 505-544.
  • CANDELON, B., Joëts, M., Tokpavi, S. (2013). Testing for Granger causality in distribution tails: An application to oil markets integration, Economic Modelling, 31: 276-285.
  • CANDELON, B., Tokpavi, S. (2015). A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion, Research Centre for International Economics Working Paper
  • CHEN, G.M., Firth, M. and Rui, O.M. (2002). Stock Market Linkages: Evidence from Latin America,” Journal of Banking & Finance, 26: 1113-1141.
  • CHEN, Y.T. (2016). Testing for Granger Causality in Moments, Oxford Bulletin of Economics ve Statistics, 78 (2): 265-288.
  • CHEUNG, Y.W., Ng, L.K. (1990). The dynamics of S&P 500 index ve S&P 500 futures intraday price volatilities, Review of Futures Markets, 9: 458-486.
  • CHEUNG, Y.W., Ng, L.K. (1996). A causality-in-variance test and its application to financial market prices, Journal of Econometrics, 72: 33-48.
  • CHRISTOFI, A., ve Pericli, A. (1999). Correlation in Price Changes and Volatility of Major Latin American Stock Markets,” Journal of Multinational Financial Management, 9: 79-93.
  • CHOUDHRY, T. (1997). Stochastic Trends in Stock Prices: Evidence from Latin American Markets,” Journal of Macroeconomics, 19: 285-304.
  • CORSI, F., Lillo, F., Pirino, D. (2015). Measuring Flight-to-Quality with Granger-Causality Tail Risk Networks, SYRTO Working Paper Series.
  • ENGLE, R.F., Ito, T., Lin, W. (1990). Meteor shower or heat wave? Heteroskedastic intra daily volatility in the foreign exchange market, Econometrica, 59: 524-542.
  • ENGLE, R.F., Susmel, R. (1993). Common volatility in international equity markets, Journal of Business and Economic Statistics, 11: 167-176.
  • GRANGER, C.W. (1980). Testing for causality: a personal viewpoint, Journal of Economic Dynamics and control, 2: 329-352.
  • GRANGER, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37: 424-438.
  • GÜLOĞLU, B., Kaya, P. ve Aydemir, R. (2016). Volatility transmission among Latin American stock markets under structural breaks. Physica A: Statistical Mechanics and its Applications, 462: 330-340.
  • HAFNER, C.M., Herwartz, H. (2006). Volatility impulse responses for multivariate GARCH models: An exchange rate illustration, Journal of International Money and Finance, 25: 719-740.
  • HAMAO, Y., Masulis, R.W., Ng, V. (1990). Correlations in price changes and volatility across international stock markets, Review of Financial Studies, 3: 281-307.
  • HENRY, O. T., Olekalns, N., Lakshman, R. W.D. (2007). Identifying Interdependencies between South-East Asian Stock Markets: A Non-Linear Approach, Australian Economic Papers, 468(2): 122-135.
  • HONG, Y. (2001). A test for volatility spillover with applications to exchange rates, Journal of Econometrics, 103: 183-224.
  • HONG, Y., Liu Y., Wang, S. (2009). Granger causality in risk and detection of extreme risk spillover between financial markets, Journal of Econometrics, 150: 271-287.
  • JEONG, K., Härdle, W.K., Song, S. (2012). A Consistent Nonparametric Test For Causality in Quantile, Econometric Theory, 28: 861-887.
  • KING, M., Sentana, E., Wadhwani, S. (1994). Volatility and links between national stock markets, Econometrica, 62: 901-933.
  • KING, M., Wadhwani, S. (1990). Transmission of volatility between stock markets, Review of Financial Studies, 3, 5-33.
  • KORKMAZ, T., Çevik, İ. (2009). Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi, BDDK Bankacılık ve Finansal Piyasalar Dergisi, 3(2).
  • LIN, W.L., Engle, R.F., Ito, T. (1994). “Do bulls and bears move across borders? International transmission of stock returns and volatility, Review of Financial Studies, 7: 507-538.
  • NEWEY, W. K. (1985). Maximum likelihood specification testing and conditional moment tests, Econometrica, 53: 1047-1070.
  • OKUR, M., Cevik, E. (2013). Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from ISE, Economic Research-Ekonomska Istraživanja, 26(3): 99-116.
  • PIERCE, D., Haugh, L. (1977). Causality in temporal systems, Journal of Econometrics, 5: 265-293.
  • PIERCE, D.A. (1977). Relationships-and the lack thereof-between economic time series, with special reference to money and interest rates, Journal of the American Statistical Association, 72(357): 11-22.
  • SOYTAS, U., Oran, A. (2011). Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey, Applied energy, 88(1): 354-360.
  • TAŞDEMIR, M., Yalama, A. (2014). Volatility spillover effects in interregional equity markets: empirical evidence from Brazil and Turkey, Emerging Markets Finance and Trade, 50(2): 190-202.
  • TAUCHEN, G. (1985). Diagnostic testing and evaluation of maximum likelihood models, Journal of Econometrics, 30: 415-443.
  • WEST, K.D. (1996). Asymptotic inference about predictive ability, Econometrica, 1067-1084. doi:10.2307/2171956.
  • WEST, K.D., McCracken, M.W. (1998). Regression-Based Tests of Predictive Ability, International Economic Review, 39, 4, 817-840. doi:10.2307/2527340.

Year 2018, , 230 - 254, 11.01.2019

Bülent Güloğlu , Pınar Kaya

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

Abstract

References

  • BALCILAR, M., Chang, S., Gupta, R., Kasongo, V., Kyei, C. (2014). The Relationship between Oil and Agricultural Commodity Prices: A Quantile Causality Approach, Working Paper.
  • BALCILAR, M., Gupta, R., Kyei, C., & Wohar, M. E. (2016). Does Economic policy uncertainty predict Exchange rate returns and volatility? Evidence from a nonparametric causality-in-quantiles test. Open Economies Review, 27(2): 229–250.
  • BOUHADDIOUI C., Roy, R. (2006). A generalized portmanteau test for independence of two infinite order vector autoregressive series, Journal of Time Series Analysis, 27(4): 505-544.
  • CANDELON, B., Joëts, M., Tokpavi, S. (2013). Testing for Granger causality in distribution tails: An application to oil markets integration, Economic Modelling, 31: 276-285.
  • CANDELON, B., Tokpavi, S. (2015). A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion, Research Centre for International Economics Working Paper
  • CHEN, G.M., Firth, M. and Rui, O.M. (2002). Stock Market Linkages: Evidence from Latin America,” Journal of Banking & Finance, 26: 1113-1141.
  • CHEN, Y.T. (2016). Testing for Granger Causality in Moments, Oxford Bulletin of Economics ve Statistics, 78 (2): 265-288.
  • CHEUNG, Y.W., Ng, L.K. (1990). The dynamics of S&P 500 index ve S&P 500 futures intraday price volatilities, Review of Futures Markets, 9: 458-486.
  • CHEUNG, Y.W., Ng, L.K. (1996). A causality-in-variance test and its application to financial market prices, Journal of Econometrics, 72: 33-48.
  • CHRISTOFI, A., ve Pericli, A. (1999). Correlation in Price Changes and Volatility of Major Latin American Stock Markets,” Journal of Multinational Financial Management, 9: 79-93.
  • CHOUDHRY, T. (1997). Stochastic Trends in Stock Prices: Evidence from Latin American Markets,” Journal of Macroeconomics, 19: 285-304.
  • CORSI, F., Lillo, F., Pirino, D. (2015). Measuring Flight-to-Quality with Granger-Causality Tail Risk Networks, SYRTO Working Paper Series.
  • ENGLE, R.F., Ito, T., Lin, W. (1990). Meteor shower or heat wave? Heteroskedastic intra daily volatility in the foreign exchange market, Econometrica, 59: 524-542.
  • ENGLE, R.F., Susmel, R. (1993). Common volatility in international equity markets, Journal of Business and Economic Statistics, 11: 167-176.
  • GRANGER, C.W. (1980). Testing for causality: a personal viewpoint, Journal of Economic Dynamics and control, 2: 329-352.
  • GRANGER, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods, Econometrica, 37: 424-438.
  • GÜLOĞLU, B., Kaya, P. ve Aydemir, R. (2016). Volatility transmission among Latin American stock markets under structural breaks. Physica A: Statistical Mechanics and its Applications, 462: 330-340.
  • HAFNER, C.M., Herwartz, H. (2006). Volatility impulse responses for multivariate GARCH models: An exchange rate illustration, Journal of International Money and Finance, 25: 719-740.
  • HAMAO, Y., Masulis, R.W., Ng, V. (1990). Correlations in price changes and volatility across international stock markets, Review of Financial Studies, 3: 281-307.
  • HENRY, O. T., Olekalns, N., Lakshman, R. W.D. (2007). Identifying Interdependencies between South-East Asian Stock Markets: A Non-Linear Approach, Australian Economic Papers, 468(2): 122-135.
  • HONG, Y. (2001). A test for volatility spillover with applications to exchange rates, Journal of Econometrics, 103: 183-224.
  • HONG, Y., Liu Y., Wang, S. (2009). Granger causality in risk and detection of extreme risk spillover between financial markets, Journal of Econometrics, 150: 271-287.
  • JEONG, K., Härdle, W.K., Song, S. (2012). A Consistent Nonparametric Test For Causality in Quantile, Econometric Theory, 28: 861-887.
  • KING, M., Sentana, E., Wadhwani, S. (1994). Volatility and links between national stock markets, Econometrica, 62: 901-933.
  • KING, M., Wadhwani, S. (1990). Transmission of volatility between stock markets, Review of Financial Studies, 3, 5-33.
  • KORKMAZ, T., Çevik, İ. (2009). Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi, BDDK Bankacılık ve Finansal Piyasalar Dergisi, 3(2).
  • LIN, W.L., Engle, R.F., Ito, T. (1994). “Do bulls and bears move across borders? International transmission of stock returns and volatility, Review of Financial Studies, 7: 507-538.
  • NEWEY, W. K. (1985). Maximum likelihood specification testing and conditional moment tests, Econometrica, 53: 1047-1070.
  • OKUR, M., Cevik, E. (2013). Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from ISE, Economic Research-Ekonomska Istraživanja, 26(3): 99-116.
  • PIERCE, D., Haugh, L. (1977). Causality in temporal systems, Journal of Econometrics, 5: 265-293.
  • PIERCE, D.A. (1977). Relationships-and the lack thereof-between economic time series, with special reference to money and interest rates, Journal of the American Statistical Association, 72(357): 11-22.
  • SOYTAS, U., Oran, A. (2011). Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey, Applied energy, 88(1): 354-360.
  • TAŞDEMIR, M., Yalama, A. (2014). Volatility spillover effects in interregional equity markets: empirical evidence from Brazil and Turkey, Emerging Markets Finance and Trade, 50(2): 190-202.
  • TAUCHEN, G. (1985). Diagnostic testing and evaluation of maximum likelihood models, Journal of Econometrics, 30: 415-443.
  • WEST, K.D. (1996). Asymptotic inference about predictive ability, Econometrica, 1067-1084. doi:10.2307/2171956.
  • WEST, K.D., McCracken, M.W. (1998). Regression-Based Tests of Predictive Ability, International Economic Review, 39, 4, 817-840. doi:10.2307/2527340.
There are 36 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Bülent Güloğlu

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

Publication Date January 11, 2019
Submission Date September 1, 2018
Published in Issue Year 2018

Cite

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 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. January 2019;40(2):230-254. doi:10.14780/muiibd.511030
Chicago 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 40, no. 2 (January 2019): 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 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, 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 2019), 230-254. https://doi.org/10.14780/muiibd.511030.
JAMA 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, 2019, pp. 230-54, doi:10.14780/muiibd.511030.
Vancouver 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):230-54.

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