MINT PİYASALARINDA HİSSE SENEDİ PİYASA OYNAKLIĞI VE İŞLEM HACMİ: COVİD 19 PANDEMİ DÖNEMİNDEN BULGULAR

Year 2023, Volume: 10 Issue: 1, 39 - 48, 02.01.2023

Anıl Lögün

Abstract

Çalışmada hisse senedi getiri oynaklığı ve işlem hacmi arasındaki ilişki araştırılmıştır. Yükselen piyasalar kapsamında MINT ülkeleri 11.03.2020 – 28.04.2022 Covid 19 pandemi dönemi kapsamında analiz edilmiştir. İşlem hacminin eş zamanlı ve bir dönem geçmiş dönemi dahil edilerek getiriler üzerindeki asimetrik ilişkileri ortaya koymak için EGARCH(1,1) model tahminleri yapılmıştır. Türkiye ve Endonezya için yapılan model tahmini sonuçları getiri oynaklığında asimetrik bir etkinin olduğunu gösterirken; Meksika ve Nijerya model tahmin sonuçlarında oynaklık üzerinde asimetrik bir etkinin olduğu görülmemektedir. Türkiye ve Endonezya sonuçları Karışık Dağılımlar Hipotezinin geçerliliğini desteklemektedir. Çalışmanın sonuçları portföy yönetimi, araştırmacılar, risk yönetimi ve yatırımcılar için faydalı bulgular sunmaktadır.

Keywords

Covid 19, EGARCH, MINT Ülkeleri, Hisse Senedi Getiri Oynaklığı, İşlem Hacmi

STOCK MARKET VOLATILITY AND TRADING VOLUME IN MINT MARKETS: EVIDENCE FROM COVID 19 PANDEMIC PERİOD

Abstract

The study examines the relationship between stock return volatility and trading volume. MINT countries are analysed within the scope of the Covid 19 pandemic period from 11.03.2020 to 28.04.2022. EGARCH(1,1) model estimations reveal the asymmetrical effects on the returns by including the contemporaneous and lagged trading volumes. While the model estimation results show that there is an asymmetric effect in return volatility for Turkey and Indonesia stock markets, there does not appear to be an asymmetric effect on volatility for Mexico and Nigeria stock markets. The results support the validity of the Mixture of Distribution Hypothesis for Turkey and Indonesia. The study results provide useful findings for portfolio managers, researchers and investors.

Keywords

Covid 19, EGARCH, MINT Countries, Stock Returns Volatility, Trading Volume

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