PETROL, DOLAR KURU VE HİSSE SENEDİ PİYASASI ARASINDAKİ ORTALAMA-OYNAKLIK YAYILIM ETKİSİ: BIST100 UZERİNE BİR UYGULAMA

Year 2018, , 354 - 377, 20.04.2018

Hüseyin Aktaş , Koray Kayalıdere , Yasemin Karataş

https://doi.org/10.29067/muvu.374610

Cited By: 7

Abstract

Petrol
fiyatlarında ve dolar kurunda meydana gelen dalgalanmalar makroekonomik
göstergeleri, firmaların üretim maliyetlerini ve satış gelirlerini etkiler,
piyasa risk düzeyini yükseltir ve ekonomik istikrarsızlığa yol açabilir.
Dolayısıyla, ekonomideki karar birimlerinin bu iki değişkendeki dalgalanmaları
takip etmeleri, riski yönetebilmeleri açısından önem taşımaktadır. Dahası,
finansal piyasa katılımcılarının daha iyi portföy dağılım kararları
verebilmeleri için söz konusu değişkenler arasındaki oynaklık aktarım
mekanizmasını anlamaları gerekmektedir. 
Bu çalışmanın amacı, 18.09.2012-15.09.2017 dönemi için petrol fiyatları
ve dolar kurundan BIST100 endeksine doğru ortalama ve oynaklık yayılımının
etkilerini incelemek ve etki büyüklüğünü petrol fiyatları ve dolar kuru
açısından karşılaştırmaktır. Yayılım etkilerini inceleyebilmek amacıyla,
oynaklık modellerinden biri olan EGARCH modelinden yararlanılmıştır. Çalışma
bulguları dolar kurunda meydana gelen şokların BIST100 endeks getirisini
azaltıcı,  petrol fiyatlarındaki şokların
ise arttırıcı bir etkiye sahip olduğunu işaret etmektedir. Bulgular oynaklık
yayılımı açısından değerlendirildiğinde, dolar kurundan BIST100 endeksine doğru
anlamlı pozitif etki görülürken, petrol fiyatlarından BIST100 endeksine doğru
istatistiksel olarak anlamlı etki bulunamamıştır. Ek olarak, negatif şokların
pozitif şoklara göre BIST100 endeks oynaklığı üzerinde daha etkili olduğu ifade
edilebilir. Elde edilen bulgular, finansal piyasa katılımcıları açısından
değerlidir.

Keywords

Finansal getiriler, Oynaklık yayılım etkisi, Finansal ekonometri

AVARAGE VOLATILITY SPREAD EFFECT BETWEEN THE OIL PRICES, DOLLAR EXCHANGE RATE AND THE STOCK MARKET: AN APPLICATION ON BIST-100

Abstract

Fluctuations in oil prices and dollar exchange rates
affect macroeconomic indicators, firms' production costs and sales revenues,
raise market risk levels and may lead to economic instability. Therefore, it is
important for the economic policy makers to follow the fluctuations of these
two variables in order to manage the risk. Moreover, it is necessary for
financial market participants to understand the mechanism of transfer of
volatility between such variables in order to make better portfolio allocation
decisions. The aim of this study is to examine the effects of average and
volatility spread towards oil prices and dollar index to BIST100 index for the
period of 18.09.2012-15.09.2017 and to compare the size of the effects  in terms of oil prices and dollar exchange
rate. EGARCH model, one of the volatility models, was used to examine the
diffusion effects. The findings of the study indicate that the shocks that
occur in the dollar exchange rate have a decreasing impact on the BIST100 index
and the oil shocks have an increasing effect. When the findings were evaluated in
terms of volatility spillover, there was no statistically significant effect of
oil prices on the BIST100 index, while a positive effect is observed in the
dollar exchange rate towards the BIST100 index. In addition, positive shocks
may be more effective on BIST100 index volatility than negative shocks. These
findings are valuable in terms of financial market participants.

Keywords

Financial Return, Volatility Spillover Effect, Financial Econometrics

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