BRICS hisse senedi piyasalarının Covid-19 dönemi dinamik ağ bağlantılılığı

Year 2021, , 1486 - 1498, 13.10.2021

Onur Polat

https://doi.org/10.25287/ohuiibf.936124

Cited By: 5

Abstract

Bu çalışma, BRICS hisse senedi piyasaları arasındaki getiri ve oynaklık ağ bağlantılılığını, Barunik ve Ellington'un (2020) zamanla değişen parametreli-VAR (TVP-VAR) tabanlı frekans bağlantılılığı yaklaşımını kullanarak Ocak 2019 ve Mart 2021 döneminde incelemektedir. Bu bağlamda, COVID-19 salgınını kapsayan bir dönemde BRICS hisse senedi piyasaları arasındaki kısa, orta ve uzun vadeli getiri ve oynaklık ağ bağlantılıliğı tahmin ediyoruz. Ayrıca, ikili yayılmaların büyüklüğünü karşılaştırmak için sakin bir zamanda (11 Mart 2019) ve bir kargaşa zamanında (11 Mart 2020) frekans getiri/oynaklık bağlantılı ağ yapılarına odaklanmaktayız. Hem dinamik toplam getiri hem de oynaklık bağlantılılıkları, COVID-19 salgınının ortaya çıkmasından hemen sonra önemli bir şekilde yükselmekte ve dolayısıyla COVID-19'un BRICS hisse senedi piyasaları bağlantılılığı üzerindeki önemli etkisini göstermektedir. Dinamik getiri ve oynaklık ağ bağlantılılık yapıları, 11 Mart 2020'de önemli seviyede yükselen ikili yayılmalara işaret etmektedir.

Keywords

Dinamik Ağlar, TVP-VAR, İkili Taşmalar, Finansal Bağlantılılık

Dynamic network connectedness of BRICS equity markets during the Covid-19 era

Abstract

This study examines the return and volatility network connectedness of BRICS equity markets between January 2019 and March 2021 by utilizing the time varying parameter-VAR (TVP-VAR) based frequency connectedness approach of Barunik and Ellington (2020). In this context, we estimate short-, medium-, and long-term network return and volatility connectedness of BRICS equity markets during an episode that covers the recent COVID-19 pandemic. Furthermore, we focus on the network structures of frequency return/volatility connectedness at a tranquil time (March 11, 2019) and at a turmoil time (March 11, 2020) to compare the magnitude of pairwise spillovers. Both dynamic total overall return and volatility connectedness indexes markedly surged aftermath the COVID-19 outbreak, and accordingly indicate the significant impact of the COVID-19 on the BRICS equity markets connectedness. Network structures of dynamic return and volatility connectedness indicate remarkably amplified pairwise spillovers on March 11, 2020.

Keywords

Dynamic Networks, TVP-VAR, Pairwise Spillovers, Financial Connectedness

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