TY  - JOUR
T1  - PETROL, DOLAR KURU VE HİSSE SENEDİ PİYASASI ARASINDAKİ ORTALAMA-OYNAKLIK YAYILIM ETKİSİ: BIST100 UZERİNE BİR UYGULAMA
TT  - AVARAGE VOLATILITY SPREAD EFFECT BETWEEN THE OIL PRICES, DOLLAR EXCHANGE RATE AND THE STOCK MARKET: AN APPLICATION ON BIST-100
AU  - Karataş, Yasemin
AU  - Aktaş, Hüseyin
AU  - Kayalıdere, Koray
PY  - 2018
DA  - April
Y2  - 2018
DO  - 10.29067/muvu.374610
JF  - Journal of Accounting and Taxation Studies
JO  - JATS
PB  - Ankara Serbest Muhasebeci Mali Müşavirler Odası
WT  - DergiPark
SN  - 1308-3740
SP  - 354
EP  - 377
LA  - tr
AB  - Petrolfiyatlarında ve dolar kurunda meydana gelen dalgalanmalar makroekonomikgöstergeleri, firmaların üretim maliyetlerini ve satış gelirlerini etkiler,piyasa risk düzeyini yükseltir ve ekonomik istikrarsızlığa yol açabilir.Dolayısıyla, ekonomideki karar birimlerinin bu iki değişkendeki dalgalanmalarıtakip etmeleri, riski yönetebilmeleri açısından önem taşımaktadır. Dahası,finansal piyasa katılımcılarının daha iyi portföy dağılım kararlarıverebilmeleri için söz konusu değişkenler arasındaki oynaklık aktarımmekanizmasını anlamaları gerekmektedir.Bu çalışmanın amacı, 18.09.2012-15.09.2017 dönemi için petrol fiyatlarıve dolar kurundan BIST100 endeksine doğru ortalama ve oynaklık yayılımınınetkilerini incelemek ve etki büyüklüğünü petrol fiyatları ve dolar kuruaçısından karşılaştırmaktır. Yayılım etkilerini inceleyebilmek amacıyla,oynaklık modellerinden biri olan EGARCH modelinden yararlanılmıştır. Çalışmabulguları dolar kurunda meydana gelen şokların BIST100 endeks getirisiniazaltıcı, petrol fiyatlarındaki şoklarınise arttırıcı bir etkiye sahip olduğunu işaret etmektedir. Bulgular oynaklıkyayılımı açısından değerlendirildiğinde, dolar kurundan BIST100 endeksine doğruanlamlı pozitif etki görülürken, petrol fiyatlarından BIST100 endeksine doğruistatistiksel olarak anlamlı etki bulunamamıştır. Ek olarak, negatif şoklarınpozitif şoklara göre BIST100 endeks oynaklığı üzerinde daha etkili olduğu ifadeedilebilir. Elde edilen bulgular, finansal piyasa katılımcıları açısındandeğerlidir.
KW  - Finansal getiriler
KW  - Oynaklık yayılım etkisi
KW  - Finansal ekonometri
N2  - Fluctuations in oil prices and dollar exchange ratesaffect macroeconomic indicators, firms' production costs and sales revenues,raise market risk levels and may lead to economic instability. Therefore, it isimportant for the economic policy makers to follow the fluctuations of thesetwo variables in order to manage the risk. Moreover, it is necessary forfinancial market participants to understand the mechanism of transfer ofvolatility between such variables in order to make better portfolio allocationdecisions. The aim of this study is to examine the effects of average andvolatility spread towards oil prices and dollar index to BIST100 index for theperiod of 18.09.2012-15.09.2017 and to compare the size of the effects in terms of oil prices and dollar exchangerate. EGARCH model, one of the volatility models, was used to examine thediffusion effects. The findings of the study indicate that the shocks thatoccur in the dollar exchange rate have a decreasing impact on the BIST100 indexand the oil shocks have an increasing effect. When the findings were evaluated interms of volatility spillover, there was no statistically significant effect ofoil prices on the BIST100 index, while a positive effect is observed in thedollar exchange rate towards the BIST100 index. In addition, positive shocksmay be more effective on BIST100 index volatility than negative shocks. Thesefindings are valuable in terms of financial market participants.
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UR  - https://doi.org/10.29067/muvu.374610
L1  - https://dergipark.org.tr/tr/download/article-file/460046
ER  -