GIDA ENDÜSTRISI OYNAKLIĞININ ASIMETRIK DAVRANIŞLAR YOLUYLA BAĞLAMSALLAŞTIRILMASI: STOXX EUROPE 600 GIDA FIYAT ENDEKSINDEN KANITLAR.

Öz

Bu çalışma, tek değişkenli asimetrik GARCH modellerini kullanarak gıda ve tarım hisse senedi endeksi fiyat getirilerinin oynaklığını modellemekte ve tahmin etmektedir. Özellikle, bu çalışmada EGARCH ve GJR-GARCH metodolojileri kullanılarak 24 Eylül 2012 - 3 Haziran 2024 dönemi için STOXX Europe 600 gıda fiyat endeksindeki değişimler analiz edilmiştir. Sonuçlar, endeks getirilerinin kalıntılarında ARCH etkisiyle birlikte oynaklık kümelenmesi olduğunu göstermektedir. Oynaklık şoklarının endeks getirileri üzerinde kalıcı ve önemli bir etkisi olduğu bulunmuştur. Bulgular, gıda endeksi serisinde bir kaldıraç etkisi olduğunu ve şokların etkilerinin asimetrik olduğunu göstermektedir. Bu durum, aşırı tepki anomalisi olarak değerlendirilebilir ve endeksin yanlış fiyatlanmasına yol açabilir. Piyasa katılımcıları, anormal getiriler elde etmek için ticaret stratejileri kullanabilir. Ancak, aşırı tepki anomalisi, anormal getiriler üzerine kurulu ticaret stratejilerinin tutarsız olması ve arbitraj yoluyla ortadan kalkması durumunda, fiyatlamanın nihayetinde düzelmesiyle Avrupa gıda ve içecek piyasasında bir verimsizlik kanıtı olarak kabul edilmez. Çalışmada, negatif piyasa yeniliklerinin, gıda fiyatının trend değerine yakınsamadan önce daha uzun negatif döngülere yol açtığı vurgulanmaktadır.

Anahtar Kelimeler

• STOXX Europe 600 gıda fiyat endeksi
• gıda endüstrisi
• oynaklık şokları
• kaldıraç etkisi
• negatif döngüler

CONTEXTUALIZING THE FOOD INDUSTRY VOLATILITY THROUGH ASYMMETRIC BEHAVIORS: EVIDENCE FROM STOXX EUROPE 600 FOOD PRICE INDEX.

Öz

This paper models and forecasts the volatility of food and agricultural stock index price return, using univariate asymmetric GARCH models. Specifically, this paper uses the EGARCH and GJR-GARCH methodologies to analyze variations in the STOXX Europe 600 food price index for the period from September 24, 2012 to June 3, 2024. The results show volatility clustering with ARCH effect in the residuals of the index return. We find that the volatility shocks have a significant lasting effect on the index returns. The findings show that there is a leverage effect on the food index series and that the effects of the shocks are asymmetric. This condition can be considered an overreaction anomaly and can lead to a mispricing of the index. Market participants may use trading strategies to generate abnormal returns. However, the overreaction anomaly is not evidence of inefficiency in European food and beverage market, unless the trading strategy based on the abnormal rewards is inconsistent and disappears once arbitraged away, with pricing eventually correcting itself. We emphasize that the negative market innovations lead to longer negative cycles before the food price converges towards its trend value.

Anahtar Kelimeler

• STOXX Europe 600 food price index
• food industry
• volatility shocks
• leverage effect
• negative cycles

Kaynakça

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