INTEGRATION OF FINANCIAL MARKETS: EXAMPLE OF US, EU, ASIAN MARKETS AND BORSA ISTANBUL

Abstract

Inter-market integration is of significance with regard to the financial stability of countries, international portfolio diversification, and hedging practices. Return and volatility spillover effects have been analyzed to test the existence of inter-market integration. In this context, return and volatility spillover effects from the developed markets of the USA, the EU (Germany, England, and France), and Asia (China and Japan) to the Turkish financial market have been tested using causality in mean and causality in variance tests. The findings displayed both return and volatility spillover effects from the USA market to Borsa Istanbul and only return spillover effects from the EU markets to Borsa Istanbul. No spillover effects have been detected from the Asian markets to Borsa Istanbul.

Keywords

• Return Spillover
• Volatility Spillover
• Causality-in-variance
• Market Cointegration

FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ

Abstract

Piyasalar arasındaki entegrasyon ülkelerin finansal istikrarı, uluslararası portföy çeşitlendirmesi ve hedging uygulamaları açısından önem arz etmektedir. Piyasalar arasındaki entegrasyonun varlığını test etmek amacıyla getiri ve volatilite yayılma etkileri incelenmektedir. Bu kapsamda çalışmada, gelişmiş piyasalar olan ABD, AB (Almanya, İngiltere, Fransa) ve Asya (Çin ve Japonya) piyasalarından Türkiye piyasasına doğru ortalama ve varyansta nedensellik testi ile getiri ve volatilite yayılma etkileri test edilmiştir. Bulgular, ABD piyasasından Borsa İstanbul’a doğru hem getiri hem volatilite yayılım etkisi; AB piyasalarından Borsa İstanbul’a doğru sadece getiri yayılım etkisi olduğunu göstermiştir. Asya piyasalarından Borsa İstanbul’a doğru herhangi bir yayılma etkisine rastlanmamıştır. 

Keywords

• Getiri Yayılma Etkisi
• Volatilite Yayılma Etkisi
• Varyansta Nedensellik
• Piyasaların Entegrasyonu

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