RETURN AND VOLATILITY SPILLOVERS BETWEEN BİST100 AND EQUITY MARKETS OF COUNTRIES HAVING HIGH FOREIGN TRADE VOLUME

Yıl 2022, , 263 - 283, 28.05.2022

Samet Gürsoy

https://doi.org/10.53092/duiibfd.1034218

Öz

Over the past ten years, Turkey has actualized most intensive foreign trade with Germany, the UK, Russia and China. This study is also wonder that whether the same financial relations perform among the Turkey and trade partners in the equity markets. Therefore, five equity markets was determined for each country consist of the BIST100, FTSE100, DAX, RTS and SSEC as representative of the Capital markets. In this study, the VAR-EGARCH model was used that allow to examine interrelations among equity markets in terms of mutual returns and volatility spillover and in directions of asimetric spillover. The model was run by using daily closing price of the equity markets covered period of January 2, 2009 and December 29, 2017 thats not to coincided with the 2008 financial Crisis. According the results of the study, It was seen that only two countries; Germany and the UK, make a return spillovers to Turkey`s equity market already actualized most intensive export volume.

Anahtar Kelimeler

Return and Volatility, Var egarch, Foreign Trade Partners

DIŞ TİCARET HACMİ YÜKSEK OLAN ÜLKELERİN HİSSE SENEDİ PİYASALARI İLE BİST100 ARASINDAKİ GETİRİ VE VOLATİLİTE YAYILIMI

Öz

Son on yılda, Türkiye en yoğun dış ticaretini Almanya, Birleşik Krallık, Rusya ve Çin ile gerçekleştirmiştir. Bu çalışma ise Türkiye ile dış ticaret ortakları finansal piyasaları arasında aynı ilişkinin gerçekleşip gerçekleşmeyeceğini merak etmektedir. Buna nedenle bu ülkelerin sermaye piyasalarını temsilen BIST100, FTSE100, DAX, RTS ve SSEC endekslerinden oluşan beş pay piyasası belirlenmiştir. Bu çalışmada pay piyasaları arasında ilişkilerin çift yönlü ve asimetrik getiri ve volatilite yayılımının ölçülmesine imkân veren VAR-EGARCH modeli kullanılmıştır. Model, 2008 mali krizine rastlamayan 2 Ocak 2009 ve 29 Aralık 2017 tarihlerinde kapsayan pay piyasalarının günlük kapanış fiyatı kullanılarak yapılmıştır. Çalışmanın sonuçlarına göre; Türkiye pay piyasası üzerinde yanlızca en yoğun ihracat yaptığı 2 ülke olan Almanya ve Rusyanın bir getiri yayılımı gerçekleştirdiği görülmüştür.

Anahtar Kelimeler

Getiri ve Volatilite, VAR-EGARCH, Dış Ticaret Ortakları

Kaynakça

• Akdi, Y., (2010), Zaman Serileri Analizi (Birim Kökler ve Kointegrasyon), Gazi Kitabevi, 2. Baskı, Ankara.
• Aşıkoğlu, R. & Kayahan, C. (2008). Global finansal sistem etkileşimiyle türkiye'nin türev piyasa görünümü. Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(2), 157-179.
• Badıa‐Mıró, M., Carreras‐Marın, A. & Meıssner, C. M. (2018), Geography, policy, or productivity? regional trade in five south american countries, 1910–50. The Economic History Review, 71(1), 236-266.
• Beck, T., (2000). Financial dependence and international trade, The World Bank.
• Beırne, J., Caporale, G. M., Schulze-Ghattas, M. & Spagnolo, N. (2009). Volatility spillovers and contagion from mature to emerging stock markets. Review of International Economics, 21(5). 1060-1075
• Bekaert, G., Harvey, C. R., Lundblad, C. (2001), Emerging equity markets and economic development, Journal of development Economics, 66(2), 465-504.
• Borsa İstanbul, (2015), Bıst Pay Endeksleri Temel Kuralları, (12/05/2018)
• Boztosun, D. & Çelik, T. (2011), Türkiye borsasının avrupa borsaları ile eşbütünleşme analizi, Süleyman Demirel Üniversitesi İİBF Dergisi, 16(1), 147-162.
• Counsellors, (2018), http://www.counsellors.gov.tr (27.10.2015) Conybeare, J. A., (2017), United states foreign economic policy and the ınternational capital markets: the case of capital export countries, Routledge, 1963-1974.
• Cotter, J., (2004), International equity market ıntegration in a small open economy: Ireland January 1990–December 2000, International Review of Financial Analysis, 13(5), 669-685.
• Çıtak, L. & Gözbaşı, O. (2007). İMKB ile bazı önde gelen gelişmiş ve gelişmekte olan ülke borsaları arasındaki bütünleşmenin temel endeks ve ana sektör endeksleri temelinde analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2), 249-271
• Edwards, S. & Susmel, R. (2001). Volatility dependence and contagion in emerging equity markets, Journal of Development Economics, 66(2), 505-532.
• Eland, I., (2018). Economic sanctions as tools of foreign policy, In Economic Sanctions, Routledge, (29-42),
• Evlimoğlu, U. & Çondur, F. (2012), İmkb ile bazı gelişmiş ve gelişmekte olan ülke borsaları arasındaki karşılıklı bağlantıların küresel kriz öncesi ve sonrası dönem için incelenmesi. Uludağ Üniversitesi İİBF dergisi, (1), ss.31-58
• Gereffı, G., (2018), Contending paradigms for cross-regional comparison: development strategies and commodity chains in East Asia and Latin America. In Latin America In Comparative Perspective, Routledge, 33-58.
• Gökce, C., Ciğerci, İ. (2014), Finansal İstikrarın Sağlanmasında Finansal Regülasyon: Seçilmiş AB Ülkeleri ve Türkiye Uygulaması Financial Regulation in Achieving Financial Stability: Selected EU Countries and Turkey Comparison, Internatıonal conference on eurasıan economıes.
• Greenaway, D., Morgan, W. & Wrıght, P. (2002). Trade liberalisation and growth in developing countries. Journal of development economics, 67(1), 229-244.
• Grobys, K., (2010), Have volatility spillover effects of cointegrated european stock markets ıncreased over time?, The review of finance and banking, 2(2).
• Hayo, B. & Kutan, A. M. (2005). The ımpact of news, oil prices, and global market developments on russian financial markets. Economics of Transition, 13(2), 373-393.
• Hong, L., (2014). Does and how does FDI promote the economic growth? Evidence from dynamic panel data of prefecture city in China, IERI Procedia, (6), 57-62.
• Iamsıraroj, S. & Ulubaşoğlu, M. A. (2015). Foreign direct ınvestment and economic growth: a real relationship or wishful thinking?. Economic Modelling, 51, 200-213.
• Investıng, (2018) https://www.investing.com/ (26.09.2021) Kasa, K.,(1992). Common stochastic trends in ınternational stock markets, Journal of Monetary Economics, 29, 95-124.
• Koutmos, G. & Booth, G. G. (1995). Asymmetric volatility transmission in ınternational stock markets, Journal Of International Money and Finance, 14 (6), 747-762.
• Koutmos, G., (1996). Modeling the dynamic ınterdependence of major european stock markets, Journal of Business, Finance and Accounting, 23 (7), 975-988.
• Kılıç, E. & Polat, M. (2020). MIST ülkelerinin hisse senedi piyasaları ile döviz kurları arasındaki getiri ve volatilite etkileşimi. Gaziantep Üniversitesi Sosyal Bilimler Dergisi , 19 (4) , 1463-1479 . DOI: 10.21547/jss.706726
• Kılıç, E, Yılmaz, Y. & Türkan, Y.(2021). D-8 borsalarının getiri ve volatilite etkileşiminin VAR-EGARCH modeli ile analizi. İçinde E. Altay ve E. Demirelli (Edt.). Finans Araştırmaları Finansal Piyasalar ve Kurumsal Finans, (ss.105-124), Der Yayınları, İstanbul.
• Krueger, A., (1998). Why trade liberalisation is good for growth, The Economic Journal, 108(450), 1513-1522.
• Lenardon, Martin J., Amırdjanova, A. (2006). Interaction between stock ındices via change point analysis, appi. Stochastic Models Bus. Ind., (22), 573-586
• Levıne, R., (1999). Financial development and economic growth: views and agenda. The World Bank.
• Lin, J. Y., (2017). The rise of china and ıts ımplications for economics and other developing countries, Area Development and Policy, 2(2), 109-119.
• Lin, J. Y. (2018). China's growth miracle ın the context of asian transformation (No. 2018/92). WIDER Work. Paper.
• Ma, Shiguang &bMichelle L., Barnes, (2004). Are China’s Stock Markets Really Weakform Efficient CIES Discuission Paper No:119
• Mohamed, M. R., Sıngh, K. S. J. & Lıew, C. Y. (2017). Impact of Foreign Direct Investment & Domestic Investment On Economic Growth Of Mala
• Mwenda K.K., Mvula, J.M., (2003). A framework for unified financial services supervision: lessons form germany and other european countries, Journal of International Banking Regulation, 5(1), 35-56
• Özşahin, Ş., (2017). Yükselen piyasa ekonomilerinde menkul kıymetler borsalarının entegrasyonu: türkiye ve brıcs ülkeleri üzerine çoklu yapısal kırılmalı eş-bütünleşme analizi. Yonetim ve Ekonomi, 24(2)
• Pagano, M., (1993). Financial markets and growth: an overview, European economic review, 37(2-3), 613-622.
• Rousseau, P. L. & Wachtel, P. (2000). Equity Markets and Growth: Cross-Country Evidence On Timing and Outcomes. 1980–1995. Journal of Banking & Finance, 24(12), 1933-1957.
• Saleem, K., (2009). International linkage of the russian market and the russian financial crisis: a multivariate garch analysis. Research in International Business and Finance, 23(3), 243-256.
• Saleem, K., & Vaihekoski, M. (2008). Pricing of global and local sources of risk ın russian stock market, Emerging Markets Review, 9(1), 40-56.
• Savva, C. S., Osborn, D. R. & Gıll, L., (2004). Volatility, spillover effects and correlations in us and major european markets. Working Paper, University of Mancester.
• Shaw, E. S., (1973), Financial Deepening in Economic Development, Oxford University Press, NewYork.
• Sok-Gee, C., Karim, M. A. & Karim, M. A. (2010). Volatility spillovers of the major stock markets in asean-5 with the us and japanese stock markets. International Research Journal of Finance and Economics, (44), 161-72.
• The Republıc Of Turkey Mınıstry Of Foreıgn Affaırs, (2018a), (20.11.2018)
• The Republıc Of Turkey Mınıstry Of Economy, (2015a). (Iliskiler/ulkeler/ulke detay/%C4%B0ngiltere / (10/08/2015)
• The Republıc Of Turkey Mınıstry Of Economy, (2015b). (www.ekonomi.gov.tr/portal/faces/home/dis-Iliskiler/ulkeler/ulke detay/Almanya/ekono mik-gorunum? ) (Erişim: 06/08/2015)
• Turkısh Statıstıcal Instıtute (TÜİK), (2018) http://tuik.gov.tr/UstMenu.do? metod=temelist (01.11.2018)
• Wayne M. Morrıson, (2018), China’s economic rise: history, trends,challenges, and ımplications for the united states, Congressional Research Service, 7-5700 www.crs.gov RL33534,https://