KRİZ DÖNEMLERİNDE HİSSE SENEDİ PİYASALARI ARASINDA VOLATİLİTE YAYILMA ETKİLERİ: DIAGONAL BEKK MODELİ

Year 2024, Issue: 65, 229 - 246, 21.11.2024

Nehir Balcı

https://doi.org/10.30794/pausbed.1462608

Abstract

Finansal piyasa varlıklarının getirisindeki bir artış, arbitraj koşulları nedeniyle zaman içinde diğer varlıkların getirilerinde değişikliklere yol açabilir. Sonuç olarak, bu olgu finansal piyasalardaki varlıkların volatiliteleri arasında oynaklık yayılma etkilerini veya eşbütünleşmeyi tetikleyebilir. Bu çalışmanın amacı, COVID-19 salgını ve Rusya-Ukrayna savaşı sırasında Amerika, Avrupa, Rusya ve Türkiye hisse senedi piyasaları arasındaki volatilite yayılımını araştırmaktır. Diagonal BEKK-GARCH modelini 2020'den 2023'e kadar uygulayarak, hisse senedi getirilerindeki volatilite aktarımları incelemektedir. Sonuçlar,kısmi ARCH etkilerinin yanı sıra belirgin GARCH etkilerini ortaya koymaktadır. Özellikle, COVID-19 döneminde Avrupa piyasası diğer piyasalar üzerinde en önemli etkiyi gösterirken, savaş döneminde ABD piyasası baskın olmuş ve Türkiye piyasaları iki dönem boyunca en az etkiyi göstermiştir. Ayrıca sonuçlar, Rusya-Ukrayna savaşı döneminde gecikmeli çapraz volatilite kalıcılığının COVID-19 dönemine kıyasla daha düşük olduğunu göstermektedir.

Keywords

Volatilite Yayılımı, Yayılım Etkisi, Diagonal BEKK-GARCH, Türk Hisse Senedi Piyasası, Küresel Hisse Senedi Piyasaları.

VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK MARKETS DURING THE CRISIS PERIODS: DIAGONAL BEKK APPROACH

Abstract

A rise in the yield of financial market assets could lead to variations in the returns of other assets over time due to arbitrage conditions. Consequently, this phenomenon may trigger spillover effects or cointegration among the volatilities of assets within financial markets. The aim of this study is to investigate spillover effects among American, European, Russian, and Turkish stock markets during the COVID-19 pandemic and the Russia-Ukraine war. Employing the diagonal BEKK-GARCH model from 2020 to 2023, the volatility transmissions within stock returns is examined. The results reveal significant GARCH effects alongside modest ARCH effects. Notably, during the COVID-19 period, the European market exerted the most significant influence on other markets, whereas during the war period, the US market dominated, and Turkish markets displaying the least impact for two periods. Furthermore, the findings indicate that the lagged cross-volatility persistence is lower during the Russia-Ukraine war period compared to the COVID-19 period.

Keywords

Volatility Spillover, Spillover Effect, Diagonal BEKK-GARCH, Turkish Stock Market, Global Stock Markets

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