AN EXAMINATION ON VOLATILITY SPILLOVER EFFECT BETWEEN THE STOCK MARKETS: THE CASE OF CHINA, RUSSIA AND TURKEY

Abstract

Today, with the liberalization of international capital flows, the free orientation of savings and funds to the capital markets that will generate the highest return has made different financial markets interactive. After the most recent 2008 global financial crisis, fluctuations in stock markets brought discussions on the international finance structure. This study examines the volatility spillover from China and Russia stock markets to Turkish stock market. In this context, the period between January 1, 2009 and August 9, 2017 is examined with daily data, and the dynamic conditional correlation multivariate GARCH (DCC-MGARCH) model is applied. Stock market price index data of all three countries (BIST, SHANGAI, RTS) is used for modelling. Results indicate the presence of volatility spillover from China and Russia stock markets to Turkish stock market.

Keywords

• Stock Markets
• Volatility Spillover
• DCC-MGARCH

HİSSE SENEDİ PİYASALARI ARASINDA OYNAKLIK YAYILIMI ETKİSİ ÜZERİNE BİR İNCELEME: ÇİN, RUSYA VE TÜRKİYE ÖRNEĞİ

Abstract

Uluslararası sermaye akımlarının serbestleştirilmesi ile birlikte günümüzde, tasarruf ve fonların en yüksek getiriyi sağlayacak sermaye piyasalarına serbestçe yönelmesi, farklı finansal piyasaları birbiriyle etkileşimli hale getirmiştir. En son gerçekleşen 2008 küresel finans krizi sonrasında, hisse senedi piyasalarında yaşanan dalgalanmalar uluslararası finansal yapıya yönelik tartışmaları da beraberinde getirmiştir. Bu çalışma, Çin ve Rusya hisse senedi piyasalarından Türkiye hisse senedi piyasasına oynaklık yayılımını incelemektedir. Bu kapsamda, günlük veriler ile 1 Ocak 2009 ve 9 Ağustos 2017 dönemi incelenmiş, dinamik koşullu çok değişkenli GARCH (DCC-MGARCH) modeli kullanılmıştır. Modelleme için her üç ülkenin hisse senedi piyasası fiyat endeksi (BIST, SHANGAI, RTS) verileri kullanılmıştır. Sonuçlar, Çin ve Rusya hisse senedi piyasalarından Türkiye hisse senedi piyasasına doğru oynaklık yayılımının varlığını işaret etmektedir.

Keywords

• Hisse Senedi Piyasaları
• Oynaklık Yayılımı
• DCC-MGARCH

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