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INTERACTION OF RETURN AND VOLATILITY BETWEEN EXCHANGE RATE AND STOCK MARKET IN BRICS COUNTRIES: AN APPLICATION WITH VAR-EGARCH MODEL

Year 2022, Issue 49, 539 - 551, 02.03.2022
https://doi.org/10.30794/pausbed.957410

Abstract

The main aim of this study is to investigate whether there is an interaction of return and volatility between the exchange rate and the stock market of BRICS countries. In the study, the period 04.01.2004 - 29.12.2019 was analyzed and using the VAR-EGARCH model with weekly data. As a result, it has been found that there is an interaction of return and volatility between the exchange rate of each country's stock market and the BRICS countries. For India and China, there is a one-way return interaction between the exchange rate and the stock market, while for Brazil, there is a one-way return interaction between the exchange rate and the stock market. In addition, it is found that there is a two-way volatility interaction between exchange rates and exchanges in Russia, India, China and South African countries.

References

  • Adjası, C., Harvey, S. K. ve Agyapong, D. A., (2008). Effect of Exchange Rate Volatility on the Ghana Stock Exchange, African Journal of Accounting. Economics, Finance and Banking Research. 3(3), 28-47.
  • Aygören, H. (2005). İMKB’de Oynaklık Tahmini Üzerine Bir Çalışma. MUFAD Muhasebe ve Finansman Dergisi. 25, 200-206.
  • Ayvaz, Ö. (2006). Döviz Kuru ve Hisse Senetleri Fiyatları Arasındaki Nedensellik İlişkisi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 8(2), 1 – 14.
  • Beer, F. ve Hebein, F., (2008). An Assessment of the Stock Market and Exchange Rate Dynamics in İndustrialized and Emerging Markets. International Business and Economics Research Journal. 7(8), 59-70.
  • Chkili, W. ve Nguyen, D. K. (2014). Exchange Rate Movements and Stock Market Returns in a Regime-Switching Environment: Evidence for BRICS Countries. Research in International Business and Finance. 31, 46-56.
  • Değirmencioğlu, N. ve Abdioğlu, Z. (2017). Finansal Piyasalar Arasındaki Oynaklık Yayılımı. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 54, 104-125.
  • Gök, İ. Y. (2013). Türkiye ve AB Pay Piyasaları Arasında Getiri ve Volatilite Yayılımı: Çok Değişkenli VAR-EGARCH Modeli ile Ampirik Bir Araştırma. Süleyman Demirel Üniversitesi Sosyal Bilimler Enstitüsü. Yayınlanmış Yüksek Lisans Tezi.
  • Kabıgtıng, L.C. ve Hapıtan, R.B., (2011). ASEAN5 Stock Markets, Currency Risk and Volatility Spillover. Journal of International Business Research. 10, 63-84.
  • Kanas, Angelos (2003), Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence, Journal of Business Finance & Accounting, 27(3-4), 447-467.
  • Kennedy, K. ve Nourizad F. (2016), Exchange Rate Volatility and its Effect on Stock Market Volatility. International Journal of Human Capital in Urban Management, 1(1), 37-46.
  • Koutmos, G. (1996). Modeling the Dynamic Interdependence of Major European Stock Markets. Journal of Business Finance & Accounting. 23(7), 975-988.
  • Koutmos, G. and Booth, G. G. (1995). Asymmetric Volatility Transmission in International Stock Markets. Journal of International Money and Finance. 14(6), 747-762.
  • Mikhaylov, A. Y. (2018). Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries. International Journal of Energy Economics and Policy. 8(3), 321-326.
  • Mlambo, C., Maredza, A. ve Sibanda, K. (2013). Effects of Exchange Rate Volatility on the Stock Market: A Case Study of South Africa. Mediterranean Journal of Social Sciences. 14(4), 561-570.
  • Mouna, A. ve Anis, J. (2015). Market, İnterest Rate, and Exchange Rate Risk Effects on Financial Stock Returns During the Financial Crisis: AGARCH-M Approach. Cogent Economics & Finance. 4(1), 1-16.
  • Mouna, A. ve Anis, J. A. (2015). Market, İnterest Rate, and Exchange Rate Risk Effects on Financial Stock Returns During the Financial Crisis: AGARCH-M Approach. Cogent Economics & Finance. 4(1), 1-16.
  • Muhammad, N. ve Rasheed, A.(2004). Stock Prices and Exchange Rates: are They Related? Evidence from South Asian Countries. Pakistan Development Review. 41(4), 535-549.
  • Naik, P. K. ve Padhi, P. (2015). Examining the relationship between Trading Volume and Equity Market Volatility: Evidence from BRIC Countries. Global Business Review. 16(5), 1- 22.
  • Panda, P. ve Thiripalraju, M. (2018). Return and Volatility Spillovers Among Stock Markets: BRICS Countries Experience. Afro-Asian J. Finance and Accountin. 8(2), 148-166.
  • Perera, H. A. P. K. (2016). Effects of Exchange Rate Volatility on Stock Market Return Volatility: Evidence from an Emerging Market. International Journal of Science and Research (IJSR). 5(1), 1750 – 1755.
  • Rehman, M. (2014). Relatıonshıp Between Stock Market Volatılıty and Exchange Rate Volatılıty. Pakıstan Busıness Revıew. 16(1), 34-52.
  • Salam, W. (2014). Relatıonshıp Between Stock Market Volatılıty and Exchange Rate: A Study of KSE. Journal of Public Administration, Finance and Law. 5, 62-72.
  • Sichoongwe, K. (2016). Effects of Exchange Rate Volatility on the Stock Market: The Zambian Experience. Journal of Economics and Sustainable Development. 7(4), 114-119.
  • Walid,C., Chaker, A., Masood, O. ve FRY, J. (2011). Stock Market Volatility and Exchange Rates in Emerging Countries: A Markov-State Switching Approach. Emerging Markets Review. 12, 272–292.
  • Yang, S. Y. ve Dong, S. C. (2004). Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries. International Journal of Business and Economics. 3(2). 139-153.

BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA

Year 2022, Issue 49, 539 - 551, 02.03.2022
https://doi.org/10.30794/pausbed.957410

Abstract

Bu çalışmanın temel amacı BRICS ülkelerine ait döviz kuru – borsa arasındaki getiri ve volatilite etkileşimi olup olmadığı araştırmaktır. Çalışmada 04.01.2004 - 29.12.2019 dönemi, haftalık verilerle VAR-EGARCH modeli kullanarak analiz edilmiştir. Sonuç olarak BRICS ülkelerinden her bir ülkenin borsası ile döviz kuru arasın getiri ve volatilite etkileşimi olduğu tespit edilmiştir. Brezilya döviz kuru ve borsa arasında çift yönlü getiri ve volatilite etkileşimi gerçekleşirken, Hindistan ve Çin için döviz kuru ve borsa arasında tek yönlü getiri etkileşimi gerçekleşmektedir. Rusya, Hindistan, Çin ve Güney Afrika döviz kurları ile borsaları arasında çift yönlü volatilite etkileşimi bulunmaktadır.

References

  • Adjası, C., Harvey, S. K. ve Agyapong, D. A., (2008). Effect of Exchange Rate Volatility on the Ghana Stock Exchange, African Journal of Accounting. Economics, Finance and Banking Research. 3(3), 28-47.
  • Aygören, H. (2005). İMKB’de Oynaklık Tahmini Üzerine Bir Çalışma. MUFAD Muhasebe ve Finansman Dergisi. 25, 200-206.
  • Ayvaz, Ö. (2006). Döviz Kuru ve Hisse Senetleri Fiyatları Arasındaki Nedensellik İlişkisi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 8(2), 1 – 14.
  • Beer, F. ve Hebein, F., (2008). An Assessment of the Stock Market and Exchange Rate Dynamics in İndustrialized and Emerging Markets. International Business and Economics Research Journal. 7(8), 59-70.
  • Chkili, W. ve Nguyen, D. K. (2014). Exchange Rate Movements and Stock Market Returns in a Regime-Switching Environment: Evidence for BRICS Countries. Research in International Business and Finance. 31, 46-56.
  • Değirmencioğlu, N. ve Abdioğlu, Z. (2017). Finansal Piyasalar Arasındaki Oynaklık Yayılımı. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 54, 104-125.
  • Gök, İ. Y. (2013). Türkiye ve AB Pay Piyasaları Arasında Getiri ve Volatilite Yayılımı: Çok Değişkenli VAR-EGARCH Modeli ile Ampirik Bir Araştırma. Süleyman Demirel Üniversitesi Sosyal Bilimler Enstitüsü. Yayınlanmış Yüksek Lisans Tezi.
  • Kabıgtıng, L.C. ve Hapıtan, R.B., (2011). ASEAN5 Stock Markets, Currency Risk and Volatility Spillover. Journal of International Business Research. 10, 63-84.
  • Kanas, Angelos (2003), Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence, Journal of Business Finance & Accounting, 27(3-4), 447-467.
  • Kennedy, K. ve Nourizad F. (2016), Exchange Rate Volatility and its Effect on Stock Market Volatility. International Journal of Human Capital in Urban Management, 1(1), 37-46.
  • Koutmos, G. (1996). Modeling the Dynamic Interdependence of Major European Stock Markets. Journal of Business Finance & Accounting. 23(7), 975-988.
  • Koutmos, G. and Booth, G. G. (1995). Asymmetric Volatility Transmission in International Stock Markets. Journal of International Money and Finance. 14(6), 747-762.
  • Mikhaylov, A. Y. (2018). Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries. International Journal of Energy Economics and Policy. 8(3), 321-326.
  • Mlambo, C., Maredza, A. ve Sibanda, K. (2013). Effects of Exchange Rate Volatility on the Stock Market: A Case Study of South Africa. Mediterranean Journal of Social Sciences. 14(4), 561-570.
  • Mouna, A. ve Anis, J. (2015). Market, İnterest Rate, and Exchange Rate Risk Effects on Financial Stock Returns During the Financial Crisis: AGARCH-M Approach. Cogent Economics & Finance. 4(1), 1-16.
  • Mouna, A. ve Anis, J. A. (2015). Market, İnterest Rate, and Exchange Rate Risk Effects on Financial Stock Returns During the Financial Crisis: AGARCH-M Approach. Cogent Economics & Finance. 4(1), 1-16.
  • Muhammad, N. ve Rasheed, A.(2004). Stock Prices and Exchange Rates: are They Related? Evidence from South Asian Countries. Pakistan Development Review. 41(4), 535-549.
  • Naik, P. K. ve Padhi, P. (2015). Examining the relationship between Trading Volume and Equity Market Volatility: Evidence from BRIC Countries. Global Business Review. 16(5), 1- 22.
  • Panda, P. ve Thiripalraju, M. (2018). Return and Volatility Spillovers Among Stock Markets: BRICS Countries Experience. Afro-Asian J. Finance and Accountin. 8(2), 148-166.
  • Perera, H. A. P. K. (2016). Effects of Exchange Rate Volatility on Stock Market Return Volatility: Evidence from an Emerging Market. International Journal of Science and Research (IJSR). 5(1), 1750 – 1755.
  • Rehman, M. (2014). Relatıonshıp Between Stock Market Volatılıty and Exchange Rate Volatılıty. Pakıstan Busıness Revıew. 16(1), 34-52.
  • Salam, W. (2014). Relatıonshıp Between Stock Market Volatılıty and Exchange Rate: A Study of KSE. Journal of Public Administration, Finance and Law. 5, 62-72.
  • Sichoongwe, K. (2016). Effects of Exchange Rate Volatility on the Stock Market: The Zambian Experience. Journal of Economics and Sustainable Development. 7(4), 114-119.
  • Walid,C., Chaker, A., Masood, O. ve FRY, J. (2011). Stock Market Volatility and Exchange Rates in Emerging Countries: A Markov-State Switching Approach. Emerging Markets Review. 12, 272–292.
  • Yang, S. Y. ve Dong, S. C. (2004). Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries. International Journal of Business and Economics. 3(2). 139-153.

Details

Primary Language Turkish
Subjects Business Finance
Journal Section Articles
Authors

Müslüm POLAT>
BİNGÖL ÜNİVERSİTESİ
0000-0003-1198-4693
Türkiye


Ethem KILIÇ> (Primary Author)
BİNGÖL ÜNİVERSİTESİ, BİNGÖL SOSYAL BİLİMLER MESLEK YÜKSEKOKULU
0000-0002-6247-9024
Türkiye

Early Pub Date March 15, 2022
Publication Date March 2, 2022
Published in Issue Year 2022, Volume , Issue 49

Cite

Bibtex @research article { pausbed957410, journal = {Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi}, issn = {1308-2922}, eissn = {2147-6985}, address = {Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Kınıklı Yerleşkesi 20070 Kınıklı – DENİZLİ / TÜRKİYE}, publisher = {Pamukkale University}, year = {2022}, number = {49}, pages = {539 - 551}, doi = {10.30794/pausbed.957410}, title = {BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA}, key = {cite}, author = {Polat, Müslüm and Kılıç, Ethem} }
APA Polat, M. & Kılıç, E. (2022). BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA . Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi , (49) , 539-551 . DOI: 10.30794/pausbed.957410
MLA Polat, M. , Kılıç, E. "BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA" . Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (2022 ): 539-551 <https://dergipark.org.tr/en/pub/pausbed/issue/68753/957410>
Chicago Polat, M. , Kılıç, E. "BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA". Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (2022 ): 539-551
RIS TY - JOUR T1 - INTERACTION OF RETURN AND VOLATILITY BETWEEN EXCHANGE RATE AND STOCK MARKET IN BRICS COUNTRIES: AN APPLICATION WITH VAR-EGARCH MODEL AU - MüslümPolat, EthemKılıç Y1 - 2022 PY - 2022 N1 - doi: 10.30794/pausbed.957410 DO - 10.30794/pausbed.957410 T2 - Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi JF - Journal JO - JOR SP - 539 EP - 551 VL - IS - 49 SN - 1308-2922-2147-6985 M3 - doi: 10.30794/pausbed.957410 UR - https://doi.org/10.30794/pausbed.957410 Y2 - 2021 ER -
EndNote %0 Pamukkale University Journal of Social Sciences Institute BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA %A Müslüm Polat , Ethem Kılıç %T BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA %D 2022 %J Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi %P 1308-2922-2147-6985 %V %N 49 %R doi: 10.30794/pausbed.957410 %U 10.30794/pausbed.957410
ISNAD Polat, Müslüm , Kılıç, Ethem . "BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA". Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi / 49 (March 2022): 539-551 . https://doi.org/10.30794/pausbed.957410
AMA Polat M. , Kılıç E. BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA. PAUSBED. 2022; (49): 539-551.
Vancouver Polat M. , Kılıç E. BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi. 2022; (49): 539-551.
IEEE M. Polat and E. Kılıç , "BRICS ÜLKELERİNDE DÖVİZ KURU VE BORSA ARASINDAKİ GETİRİ VE VOLATİLİTE ETKİLEŞİMİ: VAR-EGARCH MODELİ İLE BİR UYGULAMA", Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 49, pp. 539-551, Mar. 2022, doi:10.30794/pausbed.957410