STOCK MARKET VOLATILITY AND THE SPREAD OF SPECULATIVE ATTACKS: EVIDENCE FROM WAVELET ANALYSIS

Year 2022, Issue: 35, 163 - 180, 30.04.2022

Onur Özdemir

https://doi.org/10.18092/ulikidince.942336

Abstract

This paper investigates the effects of speculative-led attacks on volatility spillover through selected 20 stock markets over the period of January 03, 2013 and March 14, 2021, implementing a recently developed wavelet spectrum analysis. To assess the degree of speculation, the time scale of the study is divided into two parts as the pre-COVID-19 era and the COVID-19 pandemic. In addition, the potential effects of speculative-led attacks on stock markets are analyzed both through the income-based and region-based classifications. In that vein, the empirical results are built upon three parts. First, the volatility spillover is more common for the high-income economies than the rest of the other economies and it is much visible at the COVID-19 pandemic. Second, the regional differences of stock markets have also a crucial impact on the behaviors of financial investors in which the speculative-led attacks are intensified in the regions where the financial transactions are relatively much higher. Finally, the core reason behind the increase of speculative attacks in those stock markets is an ongoing stagnation in productive activities during the COVID-19 pandemic.

Keywords

Stock Market Volatility, Speculative Attack, Financial Instability, COVID-19 Pandemic, Wavelet Analysis

HİSSE SENEDİ PİYASASI OYNAKLIĞI VE SPEKÜLATİF ATAKLARIN YAYILIMI: DALGACIK ANALİZİNDEN KANITLAR

Abstract

Bu çalışma spekülatif yönlü atakların seçili 20 hisse senedi piyasasında oynaklık yayılımına etkisini yakın zamanda geliştirilen dalgacık spektrum analizini uygulayarak 3 Ocak 2013 ve 14 Mart 2021 arası dönem için araştırmaktadır. Spekülasyon düzeyini değerlendirmek için çalışmanın zaman ölçeği COVID-19 öncesi dönem ve COVID-19 salgını olarak iki bölüme ayrılmaktadır. Bunun yanı sıra spekülatif yönlü atakların hisse senedi piyasaları üzerindeki potansiyel etkileri hem gelir bazlı hem de bölgesel bazlı sınıflandırmalarla analiz edilmektedir. Bu çerçevede, ampirik sonuçlar üç bölüm üzerine inşa edilmektedir. İlk olarak, oynaklığın yayılımı yüksek gelirli ekonomiler için diğer ekonomilere göre daha yaygın olup COVID-19 salgınında daha etkili bulunmaktadır. İkincisi, hisse senedi piyasalarının bölgesel farklılıkları finansal işlemlerin göreli olarak daha yüksek olduğu bölgelerde spekülatif atakların yoğunlaştığı ve finansal yatırımcıların davranışları üzerinde önemli bir etkiye sahip olduğu görülmektedir. Son olarak, mevcut hisse senedi piyasalarındaki spekülatif atakların artmasının temel nedeninin COVID-19 salgını sırasında üretken faaliyetlerde devam eden durgunluk olduğu anlaşılmaktadır.

Keywords

Hisse Senedi Piyasası Oynaklığı, Spekülatif Atak, Finansal İstikrarsızlık, COVID-19 Salgını, Dalgacık Analizi

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