2008 Krizinin Bulaşma Etkisi: Bir Finansal Kriz Göstergesi Olarak Hisse Senedi Fiyat Endeksi Üzerine Bir Analiz

Year 2016, Volume: 2 Issue: 2016 CİLT 2 SAYI ÖZEL, 1 - 23, 04.08.2018

Ceren Kocabaş

Abstract

Bulaşma, herhangi bir şokun ülkeler arasında yayılması, piyasa hassasiyetinde değişim olarak
ifade edilebilir. Bu çalışmada bulaşma kavramı literatür çerçevesinde değerlendirilmiş ve 2008
krizinin bulaşma etkisi hisse senedi fiyat endeksi değişkeni kullanılarak Ocak 2004-Aralık 2013
dönemi aylık verileri ile MA(1)-GARCH(1,1)-M yöntemiyle analiz edilmiştir. Elde edilen sonuçlara
göre kriz döneminde hisse senedi fiyatları volatilitesinde artış gözlenmiş, Amerikan konut piyasasında
ortaya çıkan krizden dünyanın farklı kesiminden pek çok ülkenin etkilendiği, bulaşmanın finansal
kanal vasıtasıyla gerçekleştiği tespit edilmiştir.

Keywords

Finansal Krizler; Bulaşma; 2008 krizi; Hisse Senedi Fiyat Endeksi.

References

• ALLEN, F., BABUS, A., CARLETTI, E., (2009). “Financial Crises: Theory and Evidence”, Annual Review of Financial Economics, 97-116. AZİZOV, M., (2010). “Küresel Krizler ve Kriz Döneminde Para Politikasının Kullanımı”, Kafkas Üniversitesi, Journal of Azerbaijani Studies, 432-443. BAUR, D. G., (2012). “Financial Contagion and the Real Economy”, Journal of Banking and Finance, 36, 2680-2692. CALVO, G.A., REINHART, C.M., (2002). “Fear of floating”, The Quarterly Journal of Economics, Cilt 117, Sayı 2, S. 379-408. CHANG, R., MAJNONI, G., (2002). “Financial Crises. Fundamentals, Beliefs, and Financial Contagion”, European Economic Review, 46, 801-808. CHIANG, T.C., JEON, B.N., LI, H., (2007). “Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian markets”, Journal of International Money and Finance, 26, 1206-1228. CLAESSENS, S., FORBES, K., (2001). “International Financial Contagion”, Kluwer Academic Publishers, Boston. COŞKUN, Y.S., BALATAN, Z., (2009). “Küresel Mali Krizin Bankacılık Sektörüne Etkileri ve Türk Bankacılık Sektörünün Veri Zarflama Analizi İle Bilançoya Dayalı Mali Etkinlik Analizi”, Ege Üni.İİBF 12. İktisat Öğrencileri Kongresi, İzmir. DORNBUSCH, R., PARK, Y. C., CLAESSENS, S., (2000). “Contagion: Understanding How It Spreads”, The World Bank Research Observer, 15(2), 177–197. EDWARDS, S., (2000). “Interest Rates, Contagion and Capital Controls”, NBER Working Paper Series, Working Paper 7801. EICHENGREEN, B., ROSE, A., WYPLOSZ, C., (1996). “Contagious Currency Crises”, NBER Working Paper 5681, July. EICHENGREEN, B., ROSE, A.K., (1999). “Contagious Currency Crises: Channels of Conveyance”, Changes in Exchange Rates in Rapidly Development Countries: Theory, Practice, and Policy Issues (NBER-EASE volume 7), Edited by Takatoshi Ito and Anne O. Krueger, University of Chicago Press, 29-56. ERDÖNMEZ, P. A., (2009). “Küresel Kriz ve Ülkeler Tarafından Alınan Önlemler Kronolojisi”, Bankacılar Dergisi, Sayı 68, 2009, 85-101. FINANCIAL CRISIS INQUIRY COMMISSION, (2011). “The Financial CrisisInquiry Report”, Final Report of National Commission on The Causes of The Financial and Economic Crisis in The United States, Public Affairs Press. FORBES, K.J., RIGOBON, R., (1999). “No Contagion, Only Interdependence: Measuring Stock Market Co-Movements”, NBER Working Paper 7267. FORBES, K.,RIGOBON, R., (2001). “Measuring Contagion: Conceptual and Empirical Issues”, Chapter 3, International Financial Contagion, Part I, Edited by Stijn Claessens and K.J. Forbes. FRATZSCHER, M., (2002). “On Currency Crises and Contagion”, European Central Bank Working Paper Series, Working Paper No: 139. GÖVDERE, B., ÖZTÜRK, S., (2010). “Küresel Finansal Kriz ve Türkiye Ekonomisine Etkileri”, Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt 15, Sayı 1, 377-397. HAMAO, Y., MASULIS, R. W., NG, V., (1990). “Correlations in Price Changes and Volatility Across International Stock Markets”, The Review of Financial Studies, 3(2). KAMINSKY, G.L., REINHART, C. M., (2000). “On Crises, Contagion, and Confusion”, Journal of International Economics 51, ss. 145-168. Featured in: IMF Survey, January 25, 1999. KILIÇ, E., ULUSOY, V., (2015). “Evidence for Financial Contagion in EndogenousVolatile Periods”, Review of Development Economics 19 (1), 62-74. KRUGMAN, P., (1979). “A Model of Balance-of-PaymentsCrises”, Journal of Money, Credit and Banking, 11(3), 311-325. KRUGMAN, P., (1998), “Saving Asia: It’s Time to Get Radical”, Fortune, 7 September, 27 32. KUUSK, A., PAAS, T., VIIKMAA, K., (2011). “Financial Contagion of The 2008 Crisis: Is There Any Evidence of Financial Contagion from The US to The Baltic States”, Eastern Journal of European Studies, Cilt 2, Sayı 2, 61-76. MANDILARAS, A., BIRD, G., (2010). “A Markov Switching Analysis of Contagion in The EMS”, Journal of International Money and Finance, 29, 1062-1075. RADELET, S., SACHS, J., (2000). “The Onset of the East Asian Financial Crisis” in Currency Crises, Edited by, Paul Krugman, The University of Chicago Press, Chicago and London, ss. 105-153. REINHART, C., KAMINSKY, G., VEGH, C, (2003). “The Unholy Trinity of Financial Contagion”, MPRA Paper No. 13878. SACHS, J.D., TORNELL, A., VELASCO, A. (1996). “Financial Crises in Emerging Markets: The Lessons from 1995”, New York University, Brookings Papers on Economic Activity, 1:1996, s. 147-215. SELL, F. L., (2001). “Contagion In Financial Markets”, Edward Elgar Press, UK. SUN, T., ZHANG, X., (2009). “Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets”, IMF Working Paper WP/09/166.