Risk Şokları ve Türkiye’deki Finansal Varlıklar Arasındaki Yayılım Etkisinin TVP-VAR Dayalı Wavelet Uyum Analizi İle İncelenmesi

Öz

Bu çalışmanın amacı, risk şokları ile Türkiye’de finansal varlıklar arasındaki yayılım etkisinin TVP-VAR genişletilmiş ortak bağlantılılık yaklaşımına dayalı wavelet uyum analizi ile incelemektir. Bu amaç doğrultusunda, BIST100 Endeksi, Brent ham petrol, USD/TRY, altın ons, Bitcoin ve Volatilite Endeksi (VIX) değişkenleri kullanılmıştır. 08.11.2017-08.09.2024 dönemini kapsayan günlük veri seti tercih edilmiştir. TVP-VAR genişletilmiş ortak bağlantılılık yaklaşımı, wavelet uyum analizi ve Hatemi-j (2012) asimetrik nedensellik analizi kullanılmıştır. Analiz sonuçlarına göre piyasalar arasındaki dinamik yayılmaların dalgalanma dönemlerinde önemli ölçüde arttığı tespit edilmiştir. Buna göre BIST100 getirisi ve altın ons getirisi volatiliteyi net şok yayan değişkenler olarak belirlenmiş; dolar, Bitcoin ve Brent petrol ise volatiliteyi net şok alan değişkenler olarak tespit edilmiştir. Bitcoin ve Brent petrol, doların BIST100’den meydana gelen değişimlerden etkilendiği görülmüştür. VIX’in Toplam Bağlantı Endeksi (TCI) üzerindeki etkisi 2020 ve 2022-2023 yılları arasında pozitif ve karşılıklı olup orta ve uzun vadede yoğunlaşmaktadır. VIX ile TCI volatilitesi arasında çift yönlü; VIX ile Bitcoin ve BIST100 hariç altın ons ve Brent petrol net yayılma volatilitesi arasında tek yönlü nedensellik ilişkisi bulgusuna ulaşılmıştır. Bu bulguların wavelet uyum analizi ile tutarlı olduğu sonucuna varılmıştır.

Anahtar Kelimeler

• Wavelet Uyum Analizi
• Volatilite Yayılımı
• Pay Senedi Piyasaları
• TVP-VAR
• Bitcoin

Analysis of the Spillover Effect between Risk Shocks and Financial Assets in Turkey Using TVP-VAR-Based Wavelet Coherence Analysis

Öz

This study uses wavelet coherence analysis based on the TVP-VAR extended joint approach to examine the spillover effect between risk shocks and financial assets in Turkey. For this purpose, the BIST100 Index, Brent crude oil, USD/TRY, gold ounce, Bitcoin, and Volatility Index (VIX) variables are used. The daily data set covering the period 08.11.2017-08.09.2024 is preferred. TVP-VAR extended joint approach, wavelet coherence analysis, and Hatemi-j (2012) asymmetric causality analysis were used. According to the results of the studies, dynamic spillovers between markets increase significantly during periods of volatility. Accordingly, BIST100 return and gold ounce return are determined as net shock emitters of volatility, while the dollar, Bitcoin, and Brent oil are defined as net shock receivers of volatility. Bitcoin, Brent oil, and the dollar were found to be affected by the changes in BIST100. The effect of VIX on the Total Connectivity Index (TCI) is positive and reciprocal between 2020 and 2022-2023 and intensifies in the medium and long term. A bidirectional causality relationship was found between VIX and TCI volatility, and a unidirectional causality relationship was found between VIX and gold ounce and Brent oil net spread volatility excluding Bitcoin and BIST100. It was concluded that these findings are consistent with wavelet coherence analysis.

Anahtar Kelimeler

• Wavelet Coherence Analysis
• Volatility Spillovers
• TVP-VAR
• Stock markets
• Bitcoin

Kaynakça

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