ExaminEXAMINING THE INTERACTION BETWEEN THE US STOCK MARKET AND THE ISE DURING THE GLOBAL FINANCIAL CRISIS WITH DYNAMIC CONDITIONAL CORRELATION ANALYS

Öz

Abstract The world economy faced its first important crises after the Great Depression of 1929, originated from the US. The economic decline in the US economy in the mid-2007 has also penetrated foreign economies as a result of globalization. Shortly after, the problems in the financial markets spread to the real sector, and the crises caused a decline in growth rates and production levels, as well as raising unemployment rates in many countries of the world. The effects of the global financial crisis were noticed especially in the second half of 2008 in Turkey's economy. Aim of this study is to investigate interaction and correlation between US stock markets and the Turkish ISE stock market, during the global financial crisis. According to the data obtained by using the dynamic conditional correlation, correlation between two stock market returns volatilities was increased both positive and negative direction during the crises. Key Words: Global Financial Crises, Stock Markets, Dynamic Conditional Correlation

Anahtar Kelimeler

• -

KÜRESEL FİNANSAL KRİZ DÖNEMİNDE ABD HİSSE SENEDİ PİYASASI İLE İMKB ARASINDAKİ ETKİLEŞİMİN DİNAMİK KOŞULLU KORELASYON ANALİZİYLE İNCELENMESİ

Öz

Dünya ekonomisi, 1929 yılındaki Büyük Buhran'dan sonraki en büyük krizini, ABD kaynaklı küresel finansal kriziyle yaşamıştır. 2007 yılının ortalarında ABD ekonomisinde baş gösteren daralma, küreselleşme neticesinde, hızla diğer ülke ekonomilerini de etkisi altına almıştır. Kısa sürede finansal piyasalardaki sorunlar reel sektöre sıçramış ve kriz, dünyanın birçok ülkesinde büyüme oranlarının ve üretim seviyelerinin düşmesine, işsizlik oranlarının artmasına yol açmıştır. Küresel finansal krizin Türkiye ekonomisi üzerindeki etkileri özellikle 2008 yılının ikinci yarısından itibaren hissedilmeye başlamıştır. Bu çalışmanın amacı, küresel finansal kriz döneminde, ABD hisse senedi piyasası ile İMKB hisse senedi piyasası arasındaki etkileşimi ve ilişkiyi araştırmaktır. Dinamik koşullu korelasyon yöntemi kullanılarak elde edilen bulgulara göre, kriz döneminde, her iki piyasanın getiri volatiliteleri arasındaki korelasyonun pozitif ve negatif yönde arttığı görülmüştür.

Anahtar Kelimeler

• Küresel finansal kriz, hisse senedi piyasaları, dinamik koşullu korelasyon

Kaynakça

1. Ackermann, Josef (2008), “The subprime crisis and its consequences”, Journal of Financial Stability, 4, pp.329–337.
2. Afşar, Muharrem (2004), Finansal Küreselleşme ve Türk Bankacılık Krizleri Üzerine Etkisi, Anadolu Üniversitesi Yayınları, No. 1558, Eskişehir.
3. Andreosso-O’Callaghan, Bernadette and Lucía Morales (2009), “The Current Global Financial Crisis: Do Asian Stock Markets Show Contagious or Interdependency Effects?”, Conference Proceedings Dublin Institute of Technology.
4. Aydoğuş, Osman (2009), “2008-09 Küresel Krizinden Geçerken Türkiye Ekonomisi Üzerine Bazı Gözlem ve Değerlendirmeler”, TİSK Akademi, Cilt: 4, Özel Sayı: 2, ss.26-49.
5. Baillie, Richard and Tim Bollerslev (1992), “Prediction in Dynamic Models with Time- Dependent Conditional Variances”, Journal of Econometrics, 52(1-2), pp.91-113.
6. Bergmann, Daniel Reed, Savoia, José Roberto Ferreira. Contani, Eduardo and Mendes-Da- Silva, Wesley (2010), “Contagion effects of the US Subprime Crisis on BRIC and European Union Stock Markets”, In: X Encontro Brasileiro de Finanças, São Paulo, FGV-SP. X Anais do EBFIN, 2010.
7. Bianco, Katalina M. (2008), ‘‘The Subprime Lending Crisis: Causes and Effects of the MortgageMeltdown’’, (E.T: 23 Mayıs 2010).
8. Bollerslev, Tim (1986), “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, Volume 31, pp.307-237.

9. Çolak, Ömer Faruk (2009), “2008 Krizinin 1929 Krizi ile Benzerlikleri Üzerine Bir Analiz”, TİSK Akademi, Cilt 4, Özel Sayı 2, ss.50-69.
10. Dash, Atish Kumar and Hrushikesh Mallick (2009), “Contagion Effect of Global Financial Crisis on Stock Market in India”, (E. T: 15 Mayıs 2010).
11. Demir, Faruk, Karabıyık, Ayşegül, Ermişoğlu, Emine ve Ayhan Küçük (2008), “ABD Mortgage Krizi”, BDDK, Çalışma Tebliği, Sayı: 3, Ağustos 2008.
12. Engle, Robert (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation”, Econometrica, Volume 50, pp.987-1008.
13. Engle, Robert (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Hereroskedasticity Models”, Journal of Business & Economic Statistics, 20(3), pp.339-350.
14. Fujita, Masataka (2009), “Implication of the Financial and Economic Crisis on FDI: An Updated Assessment”, Nankai University, China, 17 April.
15. Göker, Zeliha (2009), ‘‘Küresel Kamusal Bir Mal: Finansal İstikrar’’, Akdeniz İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı 17, ss.7-22.
16. Horta, Paulo, Mendes, Carlos and Isabel Vieira (2008), “Contagion effects of the US Subprime Crisis on Developed” Countries CEFAGE-UE Working Paper 2008/08.
17. Legg, Michael and Harris, Jason Haris (2009), ‘‘How The Amerıican Dream Became A Global Nightmare: An Analysis of The Causes of The Global Financial Crisis’’, U SW Law Journal, Volume. 32, No. 2, pp.350-389.
18. Morales, Lucia and Bernadette Andreosso-O’Callaghan (2010), “The Global Financial Crisis: World Market or Regional Contagion Effects?”, MFA (Midwest Finance Association) Annual Meeting, February 24th-27th February, Las Vegas, Nevada, USA.
19. Munoz, M. P., Márquez, M. D. and H. Chulià (2010), “The Financial Crisis of 2008: Modelling the Transmission Mechanism Between the Markets”, COMSTATS 2010.
20. Naoui, Kamel, Liouane, Naoufel and Salem Brahim (2010), “A Dynamic Conditional Correlation Analysis of Financial Contagion: The Case of the Subprime Credit Crisis”, International Journal of Economics and Finance, 2(3), pp.85-96.
21. Nikkinen, Jussi, Saleem, Kashif and Minna Martikainen (2010), “Volatility Spillovers from the US Subprime Crisis to BRIC Countries”, Seventeenth Annual Conference of the Multinational Finance Society, Barcelona, Spain, June 27-30.
22. Parasız, İlker (2009), Küresel Kriz, Ezgi Kitabevi: Bursa.
23. Pierdzioch, Christian and Renatas Kizys (2010), “The Financial Crisis and the Stock Markets of the CEE Countries”, Papers Workshop 2010, March.
24. Savva, Christos S. (2009), “International stock markets interactions and conditional correlations”, Journal of International Financial Markets, Institutions and Money, 19(4), pp.645-661.
25. Stiglitz, Joseph E., Jaime, Jaramillo Vallejo and Yung Chal Park (1993), ‘‘The Role of The State in Financial Markets’’, The World Bank Research Observer, pp. 19-61.
26. Susam, Nazan ve Ufuk Bakkal (2008), ‘‘Kriz Süreci Makro Değişkenleri ve 2009 Bütçe Büyüklüklerini Nasıl Etkileyecek?’’, Maliye Dergisi, Sayı: 155, (Temmuz-Aralık), ss. 72-88.
27. The World Federation of Exchanges (WFE), Statistics, 2010,
28. Togay, Sübidey (2009), “Küresel Kriz ve Türkiye”, TİSK Akademi, Cilt 4, Özel Sayı 2, ss.7- 25.
29. Tong, Hui and Wei Shang-Jin (2008), “Real Effects of the Subprime Mortgage Crisis: Is it a Demand or a Finance Shock?”, IMF Working Paper, July.
30. Yiu, Matthew S., Alex Ho, Wai-Yip and Daniel F. Choi (2010), “Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil”, Applied Financial Economics, 20(4), pp.345 - 354.