Non-linear Dynamics and Recurrent Patterns in Stock Markets: A Comparison Between BIST-100 and S&P500 Indices

Yıl 2022, Cilt: 12 Sayı: 2, 1365 - 1380, 02.08.2022

Ata Özkaya

https://doi.org/10.48146/odusobiad.1123224

Öz

The financial systems, and particularly stock markets are complex systems. In this study, we investigate the
evidence of chaotic dynamics of both BIST-100 stock market index and S&P 500 index. We compute Lyapunov exponents of stock market indices daily return series over the period from 27 May 2018 to 26 May 2022. The time
interval under examination is chosen to reflect the effects of Covid-19 pandemic crisis on global financial markets,
where extraordinary economic and financial policies have been implemented.The results of the study demonstrate
that both BIST-100 and S&P500 indices exhibit chaotic behavior and associated maximal Lyapunov exponents
are calculated to be positive, respectively. Both BIST-100 and S&P500 indices have equilibria around positive
return values, reflecting the extraordinary effects of expansionary monetary and fiscal policies. Moreover, the
magnitude of equilibria positive returns in S&P500 index is greater than that of BIST-100 index, which implies
that cumulative effect of expansionary monetary and fiscal policy in U.S. economy overwhelms. The findings of
the study suggest that greater positive return availability in S&P500 lowers the demand for emerging market
assets and hence the capital inflow in BIST-100 stock market. The chaotic behavior eventually leads to an increase
in complexity and recurrently causes volatility in stock markets. Therefore, in perspective of policy making
inflation targeting should be considered as a main financial stability strategy to increase demand for Turkish
assets and to enable capital inflows. Given upcoming monetary policy of global Central banks, our findings have
important implications for policy making as well as portfolio and risk management.

Anahtar Kelimeler

Covid-19, Chaos, Lyapunov exponent, Market efficiency, BIST-100, S&P 500

Hisse Senedi Piyasalarında Lineer-olmayan Dinamikler ve Düzensiz Örüntüler:BIST- 100 ve S&P500 Endeksleri Karşılaştırması

Öz

Finansal sistemler, özellikle de hisse senedi piyasaları karmaşık sistemlerdir. Bu çalışmamızda BIST-100 endeksi
ve S&P500 endeksinde kaotik dinamikleri araştıracağız. 27 Mayıs 2018 ile 26 Mayıs 2022 tarihlerini kapsayan
dönemde ABD Doları bazındaki günlük getiri oranları zaman serisi verisinde Lyapunov katsayılarını
hesaplayacağız. İncelemeye konu olan zaman aralığı, Covid-19 pandemisi krizinin küresel finansal piyasalar
üzerindeki etkilerini ve bu etkilerin uygulanan sıradışı para ve mali politkaların yansımalarını da içermektedir.
Çalışmamızın sonuçlarına göre ilgili dönemde BIST-100 ve S&P 500 endeksleri kaotik davranış sergilemektedir ve
eşlik eden en büyük Lyapunov katsayısı pozitif olarak hesaplanmaktadır. BIST-100 ve S&P500 endeksleri poizitif
getiri değerleri etrafında denge kümesi oluşturmaktadırlar, bu durum da genişlemeci para ve maliye politikalarının
etkilerini yansıtmaktadır. Ayrıca, S&P500 endeksinin pozitif getirisi BIST-100 endeksi pozitif getiri denge
kümelenmesinden daha büyük değer almaktadır. ABD’de genişlemeci parasal ve mali önlemlerin birikimli miktar
etkisinin çok daha büyük olması bu durumun önemli bir nedeni olarak değerlendirilebilir. S&P500 endeksinin daha
fazla pozitif getiri sağlamış olması, gelişmekte olan piyasalara olan küresel yatırımcı ilgisini düşürürken, BIST-100
piyasasına olan yabancı sermaye akımını da zayıflatmaktadır. Endekslerdeki kaotik dinamikler er ya da geç
piyasadaki karmaşıklık düzeyini artırırken hisse senedi piyasalarında sığ koşulda düzensiz volatilite döngülerine
neden olacaktır. Bu yüzden, politika yapıcılar enflasyon hedeflemesi temelinde finansal stabiliteyi önceleyen
stratejiler üretmek durumundalar. Türk ekonomis özelinde bu strateji hayata geçirilebilirse Türkiye finansal
piyasalarındaki varlıklara talebin artması ve küresel sermaye akımlarının yoğunlaşması ihtimali yükselecektir.
Küresel Merkez bankalarının para politikalarında sıkılaşmaya gittikleri veri kabul edilirse, bulgularımız para ve
maliye politikaları ile portföy ve risk yönetimi açısından katkı sunmaktadır.

Anahtar Kelimeler

Covid-19, Kaos, Lyapunov katsayısı, Piyasa verimi, BIST-100, S&P500

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