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

Yıl 2011, Cilt: 10 Sayı: 36, 155 - 170, 01.01.2011

Adem Anbar Değer Alper Esen Kara

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

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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

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