Sistemik Riskin Kompozit Göstergesi CISS Endeksi ile BIST Banka Endeksi Arasındaki Volatilite Etkileşimi Üzerine Eşbütünleşme ve Nedensellik Analizi

Yıl 2020, Cilt: 22 Sayı: 3, 786 - 801, 29.09.2020

Emre Esat Topaloğlu

https://doi.org/10.32709/akusosbil.554247

Öz

Bu çalışmada, Sistemik Riskin Kompozit Göstergesi (CISS) endeks volatilitesi ile Borsa İstanbul Banka endeks getiri volatilitesi arasındaki uzun dönemli ilişkiyi ortaya çıkarmak amaçlanmıştır. Her iki endekse ilişkin 18.01.1999 ile 31.12.2018 dönemindeki haftalık veriler, eşbütünleşme ve nedensellik analizleri ile incelenmiştir. CISS endeksi serisi için ARCH(2) ve BIST Banka endeksi için ise ARCH(1) modelleri ile volatilite modellemesi gerçekleştirilmiştir. CISS ve Banka endeksleri için geçmiş dönemli şokların cari dönemdeki volatiliteyi etkilediği ve volatiliteye yol açan şokların uzun hafıza özelliği göstermeyerek kısa vadeli etki gösterdiği belirlenmiştir. Ayrıca çalışmada, endeksler arasında pozitif yönlü eşbütünleşme ilişkisinin varlığı ortaya çıkarılırken; CISS endeks volatilitesinden, Banka endeks getiri volatilitesine doğru tek yönlü nedensellik ilişkisinin varlığı da tespit edilmiştir.

Anahtar Kelimeler

Volatilite, Borsa İstanbul, banka, sistemik risk, CISS endeksi

Cointegration and Causality Analysis on Volatility Interaction between Composite Indicator of Systemic Risk CISS Index and BIST Bank Index

Öz

In this study, it is aimed to determine the long-term relationship between composite indicator of systemic risk (CISS) Index volatility and Borsa Istanbul Bank Index return volatility. The weekly data of both indexes for the period between 18.01.1999 and 31.12.2018 analyzed with cointegration and causality. The volatility models of the series are analyzed by ARCH (2) model for CISS Index series and ARCH (1) model for BIST Bank Index series. It is found that the impacts on the volatility of the CISS and Bank Indices series don’t have a lasting impact and showed a long memory characteristic. Furthermore, while the positive cointegration relationship between the indices is determined; One-way causality relationship is determined from CISS index volatility to Bank index return volatility.

Anahtar Kelimeler

Volatility, Borsa Istanbul, bank, systemic risk, CISS index

Kaynakça

• Anginer, D., Demirguc-Kunt, A. ve Zhu, M. (2014). How does competition affect bank systemic risk?. J. Finan. Intermediation, 23, 1–26.
• BIS-IMF-FSB (2009). Report to G20 Finance Ministers And Governors: Guidance to Assess The Systemic Importance of Financial Institutions, Markets And Instruments: Initial Considerations. http:// www.imf.org/external/np/g20/pdf/100109.pdf, (Erişim: 23.01.2019).
• Brock, W., Dechert, W. ve Scheinkman, J. (1987). A test for independence based on the correlation dimension. Working Paper, University of Wisconsin at Madison, University of Houston, and University of Chicago.
• Brunnermeier, M. K., Dong, G. N. ve Palia, D. (2012). “Banks’ Non-interest İncome And Systemic Risk”, AFA Chicago Meetings Paper. SSRN: https://ssrn.com/abstract=1786738 or http://dx.doi.org/10.2139/ssrn.1786738
• Chen, H., Cummins, J. D., Viswanathan, K. S. ve Weiss, M. A. (2013). Systemic risk and the interconnectedness between banks and insurers: An econometric analysis. Journal of Risk and Insurance, 81(3), 623-652.
• Darby, M. R. (1997). Over-the-counter derivatives and systematic risk to the global financial system. Advances in International Banking and Finance, 3(1), 215-235.
• De Jonghe, O., Diepstraten, M. ve Schepens, G. (2015). Banks’ size, scope and systemic risk: What role for conflicts of interest?. Journal of Banking & Finance, 61(1), 3-13.
• Dickey, D. ve Fuller, W. A. (1981). Likelihood ratio statistics for autogressive time series with a unit rootç Econometrica, 49,1052-1072.
• Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1008.
• Engle, R. F. ve Granger, C. W. J (1987). Co-integration and error-correction: representation, estimation and testing. Econometrica, 251-276.
• Financial Stability Board (2011). Policy measures to adress systemically important financial institutions. http://www.financialstabilityboard.org/publications/r_111104bb.pdf, (Erişim: 23.01.2019)
• Granger, C. W. J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37, 424-438.
• Holló, D., Kremer, M. ve Lo Duca, M. (2012). CISS - a composite indicator of systemic stress in the financial system. ECB Working Paper, 1426, March, 1-49.
• Iqbal, J., Strobl, S. ve Vähämaa, S. (2015). Corporate governance and the systemic risk of financial institutions. Journal of Economics and Business, 82, 42-61.
• Johansen, S. ve Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with applications to demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
• Kilimci, E., Er, H. ve Çerçil, İ. (2015). Ekonomi notları, TCMB, https://www.tcmb.gov.tr/, 2015-04.
• Kubinsch, M, ve Barnea, D. (2016). Systemic risk ımpact on economic growth - the case of the cee countries. Romanian Journal of Economic Forecasting, XIX(4), 79-94.
• Laeven, L., Ratnovski, L. ve Tong, H. (2016). Bank size, capital, and systemic risk: Some ınternational evidence. Journal of Banking & Finance, 69(1), 25-34.
• Lo Duca, M. ve Peltonon, T. (2011). Macro-financial vulnerabilities and future financial stress assessing systemic risks and predicting systemic events. ECB Working Paper, 1311, March, 1-38.
• Pais, A. ve Stork, P. A. (2013). Bank size and systemic risk. European Financial Management, 19(3), 429–451.
• Phillips, P. C. B. ve Perron, P. (1988). Testing for a unit root in time series regression. Biomètrika, 75(2), 336-346.
• Ramsey J. B. (1969). Tests for specification errors in classical linear least squares regression analysis. Journal of the Royal Statistical Society, 31(2), 350–371.
• Smith, G. P. (2012). Google internet search activity and volatility prediction in the market for foreign currency. Finance Research Letters, 92, 103–110.
• Straetmans, S. ve Chaudhry, S. M. (2015). Tail risk and systemic risk of us and eurozone financial institutions in the wake of the global financial crisis. Journal of International Money and Finance, 58, 191-223.