Analysis of stock market by Markov switching approach

Öz

Volatility in the prices of financial assets significantly affects portfolio risks and investment returns. For this reason, it is important to model the volatilities, determine the causes and predict them. In this study, it is aimed to analyze Borsa İstanbul 100 index return with the Markov switching approach. In the study, it was used to data that BIST 100 index, USD ($) / Turkish Lira (TRY) exchange rate and 2-year government bond interest rates for the period of January 4, 2010 - December 30, 2019. It was observed that two different regimes, high volatility and low return as well as low volatility and high return, in the study. The 1st regime represents the bear market and the 2 nd regime represents the bull market. Average stay time (64) in regime 2 is higher than average stay time (11) in regime 1. The probability of switching to regime 2 is more than the probability of switching to regime 1. While the exchange rate has an effect on the 1st regime, this effect disappears in the 2nd regime. The effect of the interest rate was seen in both regimes. The results are usable to investors, portfolio managers and risk managers.

Anahtar Kelimeler

• Stock Market
• Istanbul Stock Market
• Volatility
• Markov Switching Approach

Borsa oynaklığının Markov rejim dönüşüm yöntemiyle analizi

Öz

Finansal varlıkların fiyatlarında görülen oynaklıklar portföy risklerini ve yatırım getirilerini önemli derecede etkilemektedir. Bu nedenle oynaklıkların modellenmesi, sebeplerinin belirlenmesi, tahmin edilmesi önemlidir. Bu çalışmada Borsa İstanbul 100 endeks getirisinin Markov rejim dönüşüm modeliyle incelenmesi amaçlanmıştır. Çalışmada 4 Ocak 2010 – 30 Aralık 2019 dönemine ait BİST 100 endeksi, ABD Doları ($)/Türk Lirası (₺) döviz kuru ve 2 yıllık devlet tahvilleri faiz oranları kullanılmıştır. Çalışmada yüksek oynaklık ve düşük getiri ile düşük oynaklık ve yüksek getiri olmak üzere iki farklı rejim görülmüştür. 1. rejim ayı piyasasını, 2. rejim ise boğa piyasasını temsil etmektedir. 2. rejimde ortalama kalma süresi (64) 1. rejimde ortalama kalma süresinden (11) daha yüksektir. Rejime 2’ye geçme olasılığı, rejim 1’e geçme olasılığından daha fazladır. Döviz kurunun 1. Rejimde etkisi görülürken 2. rejimde bu etki kaybolmaktadır. Faiz oranının etkisi her iki rejimde de görülmüştür. Sonuçlar, yatırımcılar, portföy yöneticileri ve risk yöneticileri açısından kullanılabilirlik taşımaktadır.

Anahtar Kelimeler

• Borsa
• Borsa İstanbul
• Oynaklık
• Markov Rejim Dönüşüm Yaklaşımı

Kaynakça

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