KÜRESEL KRİZLERİN GELİŞMEKTE OLAN PİYASALAR ÜZERİNDEKİ ETKİSİ

Yıl 2023, Cilt: 8 Sayı: 1, 203 - 214, 31.03.2023

Rahman Aydın İlyas Kays İmamoğlu

https://doi.org/10.29106/fesa.1233485

Öz

Bu çalışma, küresel krizin ortaya çıkışını ve gelişmekte olan piyasaların kriz ortamına tepkisini incelemektedir. Bu amaçla Morgan Stanley tarafından “Kırılgan Beşli” olarak tanımlanan ülkeler (Türkiye, Hindistan, Brezilya, Endonezya ve Güney Afrika) çalışma konusu olarak seçilmiştir. Küresel olumsuzluğun Kırılgan Beşli pazarlara etkisini ölçmek için COVID-19'un etkili olduğu 2 Ocak 2020 ile 21 Temmuz 2022 arasındaki dönem seçilmiştir. Çalışmaya konu olan indeksleri tahmin etmek için TARCH ve EGARCH modelleri kullanılmaktadır. TARCH model kestirimi sonucunda SNSX ve FTSE endeksleri için asimetrik etkiyi gösteren katsayının anlamlı olduğu tespit edilmiştir. EGARCH model tahmini sonucunda BIST100, BVSP ve JKSE endekslerinde asimetrik etkiyi gösteren katsayı negatif ve anlamlıdır. Bu sonuçlara göre çalışma, küresel piyasalarda meydana gelen olumsuz bir şokun oynaklık üzerinde önemli bir etkiye sahip olduğunu savunmaktadır.

Anahtar Kelimeler

Finansal Piyasalarda Oynaklık, COVID-19, Ekonomik ve Siyasi Belirsizlik

THE EFFECT OF GLOBAL CRISES ON EMERGING MARKETS

Öz

Example example example example example example example example example example example example example example In this study, the emergence of the global crisis and the response of emerging markets to the crisis environment are investigated. For this purpose, the countries defined as the ‘Fragile Five’ (Turkey, India, Brazil, Indonesia and South Africa) by Morgan Stanley have been selected as the subject of the study. In order to measure the impact of global negativity on the Fragile Five markets, the period between January 2, 2020 and July 21, 2022, when COVID-19 was effective, has been chosen. TARCH and EGARCH models are used for the estimation of the indices subject to the study. As a result of the TARCH model estimation, it is determined that the coefficient showing the asymmetric effect for the SNSX and FTSE indices is significant. As a result of the EGARCH model estimation, the coefficient showing the asymmetric effect in BIST100, BVSP and JKSE indices is negative and significant. According to these results, the study argues that a negative shock in global markets has a significant effect on volatility.

Anahtar Kelimeler

Finansal Piyasalarda Oynaklık, COVID-19, Ekonomik ve Siyasi Belirsizlik

Kaynakça

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