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Yıl 2014, Cilt: 28 Sayı: 3, 0 - , 18.07.2014

Hasan Ayaydın

Öz

The purpose of the study is the global financial crisis before, during and after the return correlations between developed and developing stock markets to demonstrate the benefits of international diversification, and whether it is valid to examine whether there is the effect of financial contagion. For this purpose, the study was carried out for 24 developed and 21 emerging market in the period of January 31 1990-21 September 2012. The results achieved show in the period before the financial crisis, the relationship between stock returns are relatively low, increased during the financial crisis, the fall in the period after the financial crisis, but is still high compared to the period before the financial crisis. Findings show that the benefits of international diversification is reduced during the financial crisis rather slightly increased in the period after the financial crisis, but it is still very low compared to the period before the financial crisis. The findings indicate evidence of the existence of financial contagion effects during the period of financial crisis between developed and emerging markets.

Anahtar Kelimeler

International Diversification Financial Contagion Financial Crisis Risk-Return Sharpe Ratio Correlation

Kaynakça

  • Ahlgren, N. ve Antell, J. (2010), “Stock Market Linkages and Financial Contagion: A Cobreaking Analysis, The Quarterly Review of Economics and Finance 50, ss.157–166.
  • Arouri, M., Jawadi, F. ve Nguyen, D. K. (2010), The Dynamics of Emerging stock Market, Contributions to Management Science, 1st Ed., Berlin Heidelberg: Springer-Verlag.
  • Assidenou, K. E. (2011), “Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress, International Journal of Economics and Finance 3, ss.212-222.
  • Bae, K. H., Karolyi, G. A. ve Stulz, R. M. (2003)”, A New Approach to Measure Financial Contagion”, The Review of Financial Studies, 16, ss. 717–763.
  • Bai, Y. ve Green, C. J. (2010), “International Diversification Strategies: Revisited from the Risk Perspective”, Journal of Banking & Finance, 34(1), ss.236-245.
  • Baig, T. ve Goldfajn, I. (1999)”, Financial Market Contagion in the Asian Crisis, IMF working Paper, 46(2), ss.167–195.
  • Bali, T., Mo, H. ve Tang, Y. (2008), “The Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR”, Journal of Banking and Finance 32, ss.269–282.
  • Bartram, T. ve Wang, Y. H. (2005)”, Another Look at the Relationship between CrossMarket Correlation and Volatility”, Finance Research Letters, 2, ss.75–88.
  • Bekaert, G., Harvey, C. R. ve Ng, A. (2005)”, Market Integration and Contagion”, Journal of Business, 78, ss.39–69.
  • Bertero, E. ve Mayer, C. (1990)”, Structure and Performance: Global Interdependence of Stock Markets around the Crash of October 1987”, European Economic Review, 34, ss.1155–1180.
  • Bertoneche, M.L. (1979)”, Spectral Analysis of Stock Market Prices”, Journal of Banking and Finance 3, ss.201–208.
  • Bollerslev, T. (1990), “Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH model”, Review of Economics and Statistics 72, ss.498–505.
  • Bowman, R.G., Kam Fong, C. ve Comer, M.R. (2010), “Diversification, Rationality and the Asian Economic Crisis”, Pacific-Basin Finance Journal, 18, ss.1–23.
  • Brigham, E. F. ve Houston, J. F. (2001), Fundamentals of Financial Management, Ninth Edition, New York: Harcourt college publishers.
  • Brooks, C. ve Kat, H. (2002), “The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors”, Journal of Alternative Investments 5, ss.26–44.
  • Calvo, S. ve Reinhart, C. (1996)”, Capital Flows to Latin America: Is There Evidence of Contagion Effect?, G. A. Calvo, M. Goldstein, ve Eduard Hochreiter (der.), Private Capital Flows to Emerging Markets after the Mexican Crisis. Washington, DC: Institute for International Economics.
  • Caporale, G., Sipollini, A. ve Spagnola, N. (2005), “Testing for Contagion: A Conditional Correlation Analysis”, Journal of Empirical Finance 12, ss.476– 4
  • Cappiello, L., Engle, R.F. ve Sheppard, K. (2006), “Asymmetric Dynamics in the Correlations of Global Equity and Bond Return”, Journal of Financial Econometrics, 4, ss.537–572.
  • Chiang, T., Jeon, B. ve Li, H. (2007), “Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets”, Journal of International Money and Finance, 26, ss.1206–1228.
  • Chollete, L., Pena, V. ve Ching, C. L. (2011), “International Diversification: A Copula Approach”, Journal of Banking & Finance, 35(2), ss.403-417.
  • Civan, M. (2010), Sermaye Piyasası Analizleri ve Portföy Yönetimi, 1. Baskı, Ekin Yayınları, Bursa.
  • Coeurdacier, N. ve Guibaud, S. (2011), “International Portfolio Diversification is Better than You Think”, Journal of International Money and Finance, 30, ss.289– 30
  • Corsetti, G., Pericoli, M. ve Sbracia, M. (2005)”, Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion”, Journal of International Money and Finance, 24, ss.1177–1199.
  • Dağlı, H. (2012), Sermaye Piyasası ve Portföy Analizi, 4. Baskı, Derya Kitabevi, Trabzon.
  • Demirtaş, İ (2002). Long-run and Short-run Links among the Turkish Stock Market and Developed Markets. Yayınlanmamış Yüksek Lisans Tezi, Bilkent Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.
  • Diamandis, Panayiotis F.(2009), “International stock market linkages: Evidence from Latin America”, Global Finance Journal 20, ss.13–30.
  • Dittmar, R. (2002), “Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns”, Journal of Finance 57, ss.369–403.
  • Dornbusch, R., Park, Y. C., ve Claessens, S. (2000)”, Contagion: Understanding How it Spreads”, World Bank Research Observer, 15, ss.177–197.
  • Driessen, J. ve Laeven, L. (2007), “International Portfolio Diversification Benefits: Cross Country Evidence from a Local Perspective”, Journal of Banking and Finance 31, ss.1693–1712.
  • Dungey, M. ve Martin, V. L. (2007)”, Unravelling Financial Market Linkages During Crises”, Journal of Applied Econometrics, 22, ss.89–119.
  • Dungey, M., Fry, R., Gonzalez–Hermosillo, B. ve Martin, V. L. (2005)”, Empirical Modelling of Contagion: A Review of Methodologies”, Quantitative Finance, 5, ss.9–24.
  • Dungey, M., Fry, R., Gonzalez–Hermosillo, B. ve Martin, V. L. (2007)”, Contagion in Global Equity Markets in 1998: The Effects of the Russian and LTCM Crises”, North American Journal of Economics and Finance, 18, ss.155–174.
  • Dungey, M., Fry, R., ve Martin, V. (2006), “Correlation, Contagion and Asian Evidence”, Asian Economic Papers, 5, ss.32–72.
  • Engle, R.F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH”, Journal of Business and Economics Statistics 20, ss.339–350.
  • Errunza, V., Hogan, K. ve Hung, M.-W. (1999), “Can the Gains from International Diversification be Achieved without Trading Abroad? Journal of Finance 54, ss.2075–2107.
  • Fabozzi, F. J (1999), Investment Management, Second Edition, London: Pratice-Hall Inc.
  • Favero, C. A. ve Giavazzi, F. (2002)”, Is the International Propagation of Financial Shocks non-linear? Evidence from the ERM”, Journal of International Economics, 57, ss.231–246.
  • Forbes, K. J. ve Rigobon, R. (2002)”, No Contagion, Only Interdependence: Measuring Stock Market Comovements”, Journal of Finance, 57, ss.2223–2261.
  • Forbes, K. ve Rigobon, R. (1999), Measuring Contagion: Conceptual and Empirical Issues, Mimeo: MIT.
  • Gilmore, C. ve Macmanus, G. (2002), “International Portfolio Diversification: US and Central European Equity Markets”, Emerging Markets Review 3(1), ss.69-83.
  • Gklezakoa, T., Mylonakis, J. (2011), “Links and Interdependence of Developed Stock Markets under Global Economic Crisis Conditions”, Journal of Financial Services Marketing, 14, ss.314-327.
  • Goetzmann, W.N., Li, L. ve Rouwenhorst, K.G. (2005), “Long-term Global Market Correlations”, Journal of Business 78, 1–38.
  • Griffin, J. M ve Karolyi, G. A. (1998), “Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies”, Journal of Financial Economics, 50(3), ss.351-373
  • Grubel, H. (1968), “Internationally Diversified Portfolios”, American Economic Review, 58, ss.1299–1314.
  • Guo, F., Chen, C.R. ve Huang, Y.S. (2011), “Markets Contagion During Financial Crisis: A Regime-Switching Approach”, International Review of Economics and Finance, 20, ss. 95–109.
  • Hamao, Y., Masulis, Y. ve Ng, V. (1990)”, Correlation in Price Changes and Volatility across International Stock Markets”, Review of Financial Studies, 3(2), ss.281– 30
  • Hilliard, J. (1979)”, The Relationship between Equity Indices on world Exchanges”, Journal of Finance, 34, ss.103–114.
  • Jimenez-Toribioa, R., Guillotreau, P. ve Mongruel, R. (2010), “Global integration of European Tuna Markets”, Progress in Oceanography, 86(1-2), ss.166-175.
  • Karan, M.B. (2011), Yatırım Analizi ve Portföy Yönetimi, 3. Baskı, Gazi Kitabevi, Ankara.
  • Karolyi, G. A. ve Stulz, R. M. (1996)”, Why do Markets Move Together? An Investigation of U.S.-Japan Stock Returns Co-movements”, Journal of Finance, 51, ss.951–986.
  • Khan, S. ve Park, K. W. (2009), “Contagion in the Stock Markets: The Asian Financial Crisis Revisited”, Journal of Asian Economics 20, ss.561-569.
  • King, M. ve Wadhwani, S. (1990)”, Transmission of Volatility between Stock Markets”, Review of Financial Studies, 3(2), ss.5–33.
  • Korkmaz, T ve Çevik, E. İ. (2008), “Türkiye ve Uluslararası Hisse Senedi Piyasaları Arasındaki Eş bütünleşme İlişkisi ve Portföy Tercihleri”, BDDK Bankacılık ve Finansal Piyasalar, 2(1), ss.59-84.
  • Korkmaz, T ve Ceylan, A. (2010), Sermaye Piyasası ve Menkul Değer Analizi, Yenilenmiş 5. Baskı, Ekin Yayınları, Bursa.
  • Lee, S. B. ve Kim, K. J. (1993)”, Does the October 1987 Crash Strengthen, The Comovements among National Stock Markets?”, Review of Financial Economies, 3, ss.89–102.
  • Levy, H. ve Sarnat, M. (1970), “International Diversification of Investment Portfolios”, American Economic Review 60, ss.668–675.
  • Levy, H. ve Sarnat, M. (1972), “International Diversification of Investment Portfolios”, American Economic Review, 60 (4), ss.668–675.
  • Li, K., Sarkar, A, ve Wang, Z. (2003), “Diversification Benefits of Emerging Markets Subject to Portfolio Constraints”, Journal of Empirical Finance, 10(1-2), ss.5780
  • Longin, F. ve Solnik, B. (1995), “Is the Correlation in International Equity Returns Constant: 1970–1990? Journal of International Money and Finance 14, ss.3–
  • Markowitz, H. M. (1952), “Portfolio Selection”, Journal of finance, 7(1), ss.77-91
  • Morelli, D. (2010), “European Capital Market Integration: An Empirical Study Based on a European Asset Pricing Model, Journal of International Financial Markets, Institutions and Money, 20(49, ss. 363-375.
  • Mun, M. ve Brooks, R. (2012), “The Roles of News and Volatility in Stock Market Correlations during the Global Financial Crisis, Emerging Market Review, 13, ss.1Nguyen, D. ve Puri, T.N. (2009), “Higher Order Systematic Co-moments and Asset Pricing: New Evidence”, Financial Review 44, ss.345–369.
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  • Ek Tablo 1: Uluslararası Hisse Senedi Piyasaları Gelişmiş Piyasalar Gelişen Piyasalar Avrupa Kuzey Amerika Pasifik Asya Avrupa ve Ortadoğu Latin Amerika Avusturya Kanada Avustralya Çin Çek Cumhuriyeti Brezilya Bulgaristan ABD Hong Kong Hindistan Mısır Şili Danimarka Japonya Endonezya Macaristan Kolombiya Finlandiya Yeni Zelanda G. Kore Fas Meksika Fransa Singapur Malezya Polonya Peru Almanya Filipinler Rusya Yunanistan Tayvan G. Afrika İrlanda Tayland Türkiye İsrail İtalya Hollanda Norveç Portekiz İspanya İsveç İsviçre İngiltere Kaynak: www.msci.com

ULUSLARARASI ÇEŞİTLENDİRME, FİNANSAL BULAŞMA VE KÜRESEL FİNANSAL KRİZ İLİŞKİSİ ÜZERİNE BİR ÇALIŞMA

Yıl 2014, Cilt: 28 Sayı: 3, 0 - , 18.07.2014

Hasan Ayaydın

Öz

Çalışmanın amacı küresel finansal kriz öncesi, süreci ve sonrasında gelişmiş ve gelişen hisse senedi piyasaları arasındaki getiri ilişkilerini ortaya koymak, uluslararası çeşitlendirme yararının geçerli olup olmadığını ve finansal bulaşma etkisinin var olup olmadığını incelemektir. Bu amaçla çalışma 31 Ocak 1990-21 Eylül 2012 döneminde 24 gelişmiş ve 21 gelişen piyasa için gerçekleştirilmiştir. Ulaşılan sonuçlar finansal kriz öncesi dönemde nispeten düşük olan hisse senedi getirileri arasındaki ilişkilerin finansal kriz süresinde yükseldiğini, finansal kriz sonrası süreçte ise düştüğünü, ancak finansal kriz öncesi döneme göre hala yüksek olduğunu göstermektedir. Bulgular finansal kriz döneminde oldukça azalan uluslararası çeşitlendirmenin yararlarının finansal kriz sonrası dönemde az da olsa arttığı, ancak finansal kriz öncesi döneme göre hala çok düşük olduğunu göstermektedir. Elde edilen bulgular finansal kriz sürecinde hem gelişmiş hem de gelişen piyasalar arasında finansal bulaşma etkisinin varlığını gösterir niteliktedir.

Anahtar Kelimeler

Uluslararası Çeşitlendirme Finansal Bulaşma Finansal Kriz Risk-Getiri Sharpe Oranı Korelasyon

Kaynakça

  • Ahlgren, N. ve Antell, J. (2010), “Stock Market Linkages and Financial Contagion: A Cobreaking Analysis, The Quarterly Review of Economics and Finance 50, ss.157–166.
  • Arouri, M., Jawadi, F. ve Nguyen, D. K. (2010), The Dynamics of Emerging stock Market, Contributions to Management Science, 1st Ed., Berlin Heidelberg: Springer-Verlag.
  • Assidenou, K. E. (2011), “Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress, International Journal of Economics and Finance 3, ss.212-222.
  • Bae, K. H., Karolyi, G. A. ve Stulz, R. M. (2003)”, A New Approach to Measure Financial Contagion”, The Review of Financial Studies, 16, ss. 717–763.
  • Bai, Y. ve Green, C. J. (2010), “International Diversification Strategies: Revisited from the Risk Perspective”, Journal of Banking & Finance, 34(1), ss.236-245.
  • Baig, T. ve Goldfajn, I. (1999)”, Financial Market Contagion in the Asian Crisis, IMF working Paper, 46(2), ss.167–195.
  • Bali, T., Mo, H. ve Tang, Y. (2008), “The Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR”, Journal of Banking and Finance 32, ss.269–282.
  • Bartram, T. ve Wang, Y. H. (2005)”, Another Look at the Relationship between CrossMarket Correlation and Volatility”, Finance Research Letters, 2, ss.75–88.
  • Bekaert, G., Harvey, C. R. ve Ng, A. (2005)”, Market Integration and Contagion”, Journal of Business, 78, ss.39–69.
  • Bertero, E. ve Mayer, C. (1990)”, Structure and Performance: Global Interdependence of Stock Markets around the Crash of October 1987”, European Economic Review, 34, ss.1155–1180.
  • Bertoneche, M.L. (1979)”, Spectral Analysis of Stock Market Prices”, Journal of Banking and Finance 3, ss.201–208.
  • Bollerslev, T. (1990), “Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH model”, Review of Economics and Statistics 72, ss.498–505.
  • Bowman, R.G., Kam Fong, C. ve Comer, M.R. (2010), “Diversification, Rationality and the Asian Economic Crisis”, Pacific-Basin Finance Journal, 18, ss.1–23.
  • Brigham, E. F. ve Houston, J. F. (2001), Fundamentals of Financial Management, Ninth Edition, New York: Harcourt college publishers.
  • Brooks, C. ve Kat, H. (2002), “The Statistical Properties of Hedge Fund Index Returns and Their Implications for Investors”, Journal of Alternative Investments 5, ss.26–44.
  • Calvo, S. ve Reinhart, C. (1996)”, Capital Flows to Latin America: Is There Evidence of Contagion Effect?, G. A. Calvo, M. Goldstein, ve Eduard Hochreiter (der.), Private Capital Flows to Emerging Markets after the Mexican Crisis. Washington, DC: Institute for International Economics.
  • Caporale, G., Sipollini, A. ve Spagnola, N. (2005), “Testing for Contagion: A Conditional Correlation Analysis”, Journal of Empirical Finance 12, ss.476– 4
  • Cappiello, L., Engle, R.F. ve Sheppard, K. (2006), “Asymmetric Dynamics in the Correlations of Global Equity and Bond Return”, Journal of Financial Econometrics, 4, ss.537–572.
  • Chiang, T., Jeon, B. ve Li, H. (2007), “Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets”, Journal of International Money and Finance, 26, ss.1206–1228.
  • Chollete, L., Pena, V. ve Ching, C. L. (2011), “International Diversification: A Copula Approach”, Journal of Banking & Finance, 35(2), ss.403-417.
  • Civan, M. (2010), Sermaye Piyasası Analizleri ve Portföy Yönetimi, 1. Baskı, Ekin Yayınları, Bursa.
  • Coeurdacier, N. ve Guibaud, S. (2011), “International Portfolio Diversification is Better than You Think”, Journal of International Money and Finance, 30, ss.289– 30
  • Corsetti, G., Pericoli, M. ve Sbracia, M. (2005)”, Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion”, Journal of International Money and Finance, 24, ss.1177–1199.
  • Dağlı, H. (2012), Sermaye Piyasası ve Portföy Analizi, 4. Baskı, Derya Kitabevi, Trabzon.
  • Demirtaş, İ (2002). Long-run and Short-run Links among the Turkish Stock Market and Developed Markets. Yayınlanmamış Yüksek Lisans Tezi, Bilkent Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.
  • Diamandis, Panayiotis F.(2009), “International stock market linkages: Evidence from Latin America”, Global Finance Journal 20, ss.13–30.
  • Dittmar, R. (2002), “Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns”, Journal of Finance 57, ss.369–403.
  • Dornbusch, R., Park, Y. C., ve Claessens, S. (2000)”, Contagion: Understanding How it Spreads”, World Bank Research Observer, 15, ss.177–197.
  • Driessen, J. ve Laeven, L. (2007), “International Portfolio Diversification Benefits: Cross Country Evidence from a Local Perspective”, Journal of Banking and Finance 31, ss.1693–1712.
  • Dungey, M. ve Martin, V. L. (2007)”, Unravelling Financial Market Linkages During Crises”, Journal of Applied Econometrics, 22, ss.89–119.
  • Dungey, M., Fry, R., Gonzalez–Hermosillo, B. ve Martin, V. L. (2005)”, Empirical Modelling of Contagion: A Review of Methodologies”, Quantitative Finance, 5, ss.9–24.
  • Dungey, M., Fry, R., Gonzalez–Hermosillo, B. ve Martin, V. L. (2007)”, Contagion in Global Equity Markets in 1998: The Effects of the Russian and LTCM Crises”, North American Journal of Economics and Finance, 18, ss.155–174.
  • Dungey, M., Fry, R., ve Martin, V. (2006), “Correlation, Contagion and Asian Evidence”, Asian Economic Papers, 5, ss.32–72.
  • Engle, R.F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH”, Journal of Business and Economics Statistics 20, ss.339–350.
  • Errunza, V., Hogan, K. ve Hung, M.-W. (1999), “Can the Gains from International Diversification be Achieved without Trading Abroad? Journal of Finance 54, ss.2075–2107.
  • Fabozzi, F. J (1999), Investment Management, Second Edition, London: Pratice-Hall Inc.
  • Favero, C. A. ve Giavazzi, F. (2002)”, Is the International Propagation of Financial Shocks non-linear? Evidence from the ERM”, Journal of International Economics, 57, ss.231–246.
  • Forbes, K. J. ve Rigobon, R. (2002)”, No Contagion, Only Interdependence: Measuring Stock Market Comovements”, Journal of Finance, 57, ss.2223–2261.
  • Forbes, K. ve Rigobon, R. (1999), Measuring Contagion: Conceptual and Empirical Issues, Mimeo: MIT.
  • Gilmore, C. ve Macmanus, G. (2002), “International Portfolio Diversification: US and Central European Equity Markets”, Emerging Markets Review 3(1), ss.69-83.
  • Gklezakoa, T., Mylonakis, J. (2011), “Links and Interdependence of Developed Stock Markets under Global Economic Crisis Conditions”, Journal of Financial Services Marketing, 14, ss.314-327.
  • Goetzmann, W.N., Li, L. ve Rouwenhorst, K.G. (2005), “Long-term Global Market Correlations”, Journal of Business 78, 1–38.
  • Griffin, J. M ve Karolyi, G. A. (1998), “Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies”, Journal of Financial Economics, 50(3), ss.351-373
  • Grubel, H. (1968), “Internationally Diversified Portfolios”, American Economic Review, 58, ss.1299–1314.
  • Guo, F., Chen, C.R. ve Huang, Y.S. (2011), “Markets Contagion During Financial Crisis: A Regime-Switching Approach”, International Review of Economics and Finance, 20, ss. 95–109.
  • Hamao, Y., Masulis, Y. ve Ng, V. (1990)”, Correlation in Price Changes and Volatility across International Stock Markets”, Review of Financial Studies, 3(2), ss.281– 30
  • Hilliard, J. (1979)”, The Relationship between Equity Indices on world Exchanges”, Journal of Finance, 34, ss.103–114.
  • Jimenez-Toribioa, R., Guillotreau, P. ve Mongruel, R. (2010), “Global integration of European Tuna Markets”, Progress in Oceanography, 86(1-2), ss.166-175.
  • Karan, M.B. (2011), Yatırım Analizi ve Portföy Yönetimi, 3. Baskı, Gazi Kitabevi, Ankara.
  • Karolyi, G. A. ve Stulz, R. M. (1996)”, Why do Markets Move Together? An Investigation of U.S.-Japan Stock Returns Co-movements”, Journal of Finance, 51, ss.951–986.
  • Khan, S. ve Park, K. W. (2009), “Contagion in the Stock Markets: The Asian Financial Crisis Revisited”, Journal of Asian Economics 20, ss.561-569.
  • King, M. ve Wadhwani, S. (1990)”, Transmission of Volatility between Stock Markets”, Review of Financial Studies, 3(2), ss.5–33.
  • Korkmaz, T ve Çevik, E. İ. (2008), “Türkiye ve Uluslararası Hisse Senedi Piyasaları Arasındaki Eş bütünleşme İlişkisi ve Portföy Tercihleri”, BDDK Bankacılık ve Finansal Piyasalar, 2(1), ss.59-84.
  • Korkmaz, T ve Ceylan, A. (2010), Sermaye Piyasası ve Menkul Değer Analizi, Yenilenmiş 5. Baskı, Ekin Yayınları, Bursa.
  • Lee, S. B. ve Kim, K. J. (1993)”, Does the October 1987 Crash Strengthen, The Comovements among National Stock Markets?”, Review of Financial Economies, 3, ss.89–102.
  • Levy, H. ve Sarnat, M. (1970), “International Diversification of Investment Portfolios”, American Economic Review 60, ss.668–675.
  • Levy, H. ve Sarnat, M. (1972), “International Diversification of Investment Portfolios”, American Economic Review, 60 (4), ss.668–675.
  • Li, K., Sarkar, A, ve Wang, Z. (2003), “Diversification Benefits of Emerging Markets Subject to Portfolio Constraints”, Journal of Empirical Finance, 10(1-2), ss.5780
  • Longin, F. ve Solnik, B. (1995), “Is the Correlation in International Equity Returns Constant: 1970–1990? Journal of International Money and Finance 14, ss.3–
  • Markowitz, H. M. (1952), “Portfolio Selection”, Journal of finance, 7(1), ss.77-91
  • Morelli, D. (2010), “European Capital Market Integration: An Empirical Study Based on a European Asset Pricing Model, Journal of International Financial Markets, Institutions and Money, 20(49, ss. 363-375.
  • Mun, M. ve Brooks, R. (2012), “The Roles of News and Volatility in Stock Market Correlations during the Global Financial Crisis, Emerging Market Review, 13, ss.1Nguyen, D. ve Puri, T.N. (2009), “Higher Order Systematic Co-moments and Asset Pricing: New Evidence”, Financial Review 44, ss.345–369.
  • Odier, P. ve Solnik, B. (1993), “Lessons for International Asset Allocation”, Financial Analyst Journal 49, ss.63–77.
  • Pesaran, M. H. ve Pick, A. (2007)”, Econometric Issues in the Analysis of Contagion”, Journal of Economic Dynamics & Control, 31, 1245–1277.
  • Quaranta, A.G. ve Zaffaroni, A. (2008), “Robust Optimization of Conditional Value at Risk and Portfolio Selection”, Journal of Banking and Finance 32, ss.2046– 20
  • Rigobon, R. (2003)”, On the Measurement of the International Propagation of Shocks: Is the Transmission Stable?” Journal of International Economics, 61, ss.261– 2
  • Roll, R. (1988), “The International Crash of October 1987”, Financial Analysts Journal, 44, ss.19–35.
  • Seyidoğlu, H. (2001), Uluslararası Finans, No: 16, İstanbul: Güzem Yayınları.
  • Shawky, H.A., Kuenzel, R. ve Mikhail, A.D. (1997), “International Portfolio Diversification: A Synthesis and an Update”, Journal of International Financial Markets, Institutions and Money 7, ss.303–327.
  • Simkowitz, M.A. ve Beedles, W.L. (1978), “Diversification in a Three-Moment World”, Journal of Financial and Quantitative Analysis 13, 927–941.
  • Solnik, B. (1974), Why not Diversify Internationally rather than domestically? Financial Analysts Journal 30, ss.48–54.
  • Syllignakis, M. N. ve Kouretas, G. P. (2011), “Dynamic Correlation Analysis of Financial Contagion: Evidence from the Central and Eastern European Markets”, International Review of Economics and Finance, 20, ss.717–732.
  • Türkiye Sermaye Piyasası Aracı Kuruluşları Birliği (TSPAKB) (2013), Türkiye Sermaye Piyasası 2012, Birinci Baskı: İstanbul, Mayıs 2013.
  • Van Horne, J. C. (2001), Financial Management Policy, Twelfth Edition, New Jersey: Prentice Hall.
  • Zakamouline, V. ve Koekebakker, S. (2009), “Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance”, Journal of Banking and Finance, 33, ss.1242–1254. http://www.msci.com/products/indices/country_and_regional/dm/performance.html (02013).
  • Ek Tablo 1: Uluslararası Hisse Senedi Piyasaları Gelişmiş Piyasalar Gelişen Piyasalar Avrupa Kuzey Amerika Pasifik Asya Avrupa ve Ortadoğu Latin Amerika Avusturya Kanada Avustralya Çin Çek Cumhuriyeti Brezilya Bulgaristan ABD Hong Kong Hindistan Mısır Şili Danimarka Japonya Endonezya Macaristan Kolombiya Finlandiya Yeni Zelanda G. Kore Fas Meksika Fransa Singapur Malezya Polonya Peru Almanya Filipinler Rusya Yunanistan Tayvan G. Afrika İrlanda Tayland Türkiye İsrail İtalya Hollanda Norveç Portekiz İspanya İsveç İsviçre İngiltere Kaynak: www.msci.com
Toplam 76 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Hasan Ayaydın

Yayımlanma Tarihi 18 Temmuz 2014
Yayımlandığı Sayı Yıl 2014 Cilt: 28 Sayı: 3

Kaynak Göster

APA Ayaydın, H. (2014). ULUSLARARASI ÇEŞİTLENDİRME, FİNANSAL BULAŞMA VE KÜRESEL FİNANSAL KRİZ İLİŞKİSİ ÜZERİNE BİR ÇALIŞMA. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 28(3). https://doi.org/10.16951/iibd.65345
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