Gelişmekte Olan Piyasalarda Finansal Bağlantılılık

Eray Gemici

doi:10.26466/opus.778653

TR EN

Gelişmekte Olan Piyasalarda Finansal Bağlantılılık

Abstract

Bu çalışma, gelişmekte olan E7 ülke borsaları (Brezilya, Rusya, Hindistan, Çin, Endonezya, Meksika ve Türkiye) arasındaki finansal bağlantılılığı incelemeyi amaçlamaktadır. Bu amaç doğrultusunda 02 Temmuz 1997-24 Haziran 2020 dönemi için E7 ülke borsaları arasındaki finansal bağlantılılık Diebold ve Yılmaz (2009,2012) yöntemi ile incelenmiştir. Çalışmada elde edilen bulgular, E7 ülke borsaları arasındaki toplam volatilite yayılım endeksinin düşük seviyede olduğunu ortaya koymuştur. Özellikle diğer ülkelere doğru en yüksek finansal risk geçişinin ve risk alışının sırasıyla Meksika ve Brezilya borsalarından kaynaklandığı görülmüştür. Diğer yandan Çin borsası, diğer altı ülke piyasalarına göre risk yayma ve risk alma noktasında düşük seviyede kalmıştır. Ayrıca toplam volatilite endeksi 200 günlük kayan pencereler yaklaşımına göre incelenmiş ve E7 ülke borsaları arasındaki finansal risk geçişinin en yüksek olduğu dönem COVID-19 pandemi dönemi olarak tespit edilmiştir. Çalışmadan elde edilen bulgular dikkate alındığında çalışmanın portföy çeşitlendirmesinde ve piyasa volatilitesinin tahmin edilmesi için portföy yöneticileri ve piyasa düzenleyiciler için önem arz ettiği düşünülmektedir

Keywords

Finansal bağlantılılık, toplam yayılma endeksi, gelişmekte olan piyasalar

Financial Connectedness in Emerging Markets

Abstract

This study aims to examine the financial connectedness between emerging E7 (Brazil, Russia, India, China, Indonesia, Mexico and, Turkey) stock markets. For this purpose, the connectedness between E7 stock markets was examined using the Diebold and Yilmaz (2009,2012) method for the period of 02 July 1997 - 24 June 2020. The findings of the study revealed that the total volatility spillover index among E7 country stock markets was low level. It was seen that the highest financial risk transition and risk receiving to other countries originated from the Mexican and Brazilian stock markets, respectively. On the other hand, the Chinese stock market remained at a low level in terms of risk transmission and risk receiving compared to the markets of the other six countries. In addition, the total volatility index was analyzed according to the 200-day rolling windows approach and the highest financial risk transition between E7 country stock markets was determined as the COVID-19 pandemic period. However, according to the 200-day rolling windows approach, the period in which the financial risk transition between E7 country stock markets is the highest indicates the COVID-19 pandemic period. Considering the findings obtained from the study, it is thought that the study is important for portfolio managers and market regulators in portfolio diversification and for estimating market volatility.

Keywords

Financial connectedness, total spillover index, emerging markets

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Details

Primary Language

Turkish

Subjects

Operation

Journal Section

Research Article

Authors

Eray Gemici ^*
0000-0001-5449-0568
Türkiye

Publication Date

October 31, 2020

Submission Date

August 10, 2020

Acceptance Date

August 25, 2020

Published in Issue

Year 2020 Volume: 16 Number: 30

DOI

https://doi.org/10.26466/opus.778653

IZ

https://izlik.org/JA96DP35EU

APA

Gemici, E. (2020). Gelişmekte Olan Piyasalarda Finansal Bağlantılılık. OPUS International Journal of Society Researches, 16(30), 3134-3160. https://doi.org/10.26466/opus.778653

AMA

1.Gemici E. Gelişmekte Olan Piyasalarda Finansal Bağlantılılık. OPUS International Journal of Society Researches. 2020;16(30):3134-3160. doi:10.26466/opus.778653

Chicago

Gemici, Eray. 2020. “Gelişmekte Olan Piyasalarda Finansal Bağlantılılık”. OPUS International Journal of Society Researches 16 (30): 3134-60. https://doi.org/10.26466/opus.778653.

EndNote

Gemici E (October 1, 2020) Gelişmekte Olan Piyasalarda Finansal Bağlantılılık. OPUS International Journal of Society Researches 16 30 3134–3160.

IEEE

[1]E. Gemici, “Gelişmekte Olan Piyasalarda Finansal Bağlantılılık”, OPUS International Journal of Society Researches, vol. 16, no. 30, pp. 3134–3160, Oct. 2020, doi: 10.26466/opus.778653.

ISNAD

Gemici, Eray. “Gelişmekte Olan Piyasalarda Finansal Bağlantılılık”. OPUS International Journal of Society Researches 16/30 (October 1, 2020): 3134-3160. https://doi.org/10.26466/opus.778653.

JAMA

1.Gemici E. Gelişmekte Olan Piyasalarda Finansal Bağlantılılık. OPUS International Journal of Society Researches. 2020;16:3134–3160.

MLA

Gemici, Eray. “Gelişmekte Olan Piyasalarda Finansal Bağlantılılık”. OPUS International Journal of Society Researches, vol. 16, no. 30, Oct. 2020, pp. 3134-60, doi:10.26466/opus.778653.

Vancouver

1.Eray Gemici. Gelişmekte Olan Piyasalarda Finansal Bağlantılılık. OPUS International Journal of Society Researches. 2020 Oct. 1;16(30):3134-60. doi:10.26466/opus.778653

Gelişmekte Olan Piyasalarda Finansal Bağlantılılık

Gelişmekte Olan Piyasalarda Finansal Bağlantılılık

Abstract

Keywords

Financial Connectedness in Emerging Markets

Abstract

Keywords

References

Details

Primary Language

Subjects

Journal Section

Authors

Publication Date

Submission Date

Acceptance Date

Published in Issue

DOI

IZ

Cite

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