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

Year 2019, Volume: 2019 Issue: 1, 49 - 61, 11.05.2019

Mehmet Buğan , Yunus Kılıç

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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