Riskten kaçınma düzeyinin piyasalar arası dinamik koşullu korelasyonlar üzerindeki etkisi: DCC-EGARCH ve kantil regresyon uygulaması

Öz

Piyasa entegrasyonu, yatırımcıların stratejilerini ve karar alma süreçlerini önemli ölçüde etkileyen bir olgu olarak sıklıkla incelenmektedir. Bu bağlamda yatırımcıların riskten kaçınma düzeyleri piyasalar arası ilişkiler üzerinde etkili rol oynamakta; beklenmedik şoklar ve panik, yatırımcı davranışını etkileyerek piyasaların birlikte hareket etmesine yol açabilmektedir. Buradan hareketle mevcut çalışma, gelişmiş, gelişmekte olan ve ABD piyasaları arasındaki dinamik korelasyonları EGARCH ve DCC-EGARCH modelleri ile inceleyerek riskten kaçınmanın etkisini kantil regresyon yaklaşımıyla analiz etmektedir. Araştırmanın bulguları, gelişmiş piyasalar ile ABD piyasaları arasındaki korelasyonların yüksek seviyelerde olduğunu; buna karşın, gelişmiş piyasalar ile gelişmekte olan piyasalar arasındaki korelasyonların düşük olduğunu göstermiştir. Ayrıca, ABD ile gelişmekte olan piyasalar arasındaki zamana bağlı koşullu korelasyonların da oldukça düşük olduğu sonucuna varılmış, bu bulgunun portföy çeşitlendirmesi bağlamında değerlendirilebileceği ortaya konmuştur. Son olarak, riskten kaçınmanın üç farklı piyasa endeksi arasındaki dinamik korelasyonlar üzerindeki etkisi, kantil regresyon yöntemi kullanılarak incelenmiş; bulgular, kantil dilimleri arttıkça riskten kaçınma düzeyinin dinamik koşullu korelasyonlar üzerindeki etkisinin de yükseldiğini göstermektedir.

Anahtar Kelimeler

• Piyasa Entegrasyonu
• Riskten Kaçınma
• DCC-EGARCH
• Kantil Regresyon

The impact of risk aversion on dynamic conditional correlations across markets: Application of DCC-EGARCH and quantile regression

Öz

Market integration is a frequently examined phenomenon that significantly influences investors' strategies and decision-making processes. In this context, investors' risk aversion plays a crucial role in the relationships across markets; unexpected shocks and panic can affect investor behavior, leading to market comovement. Based on this premise, this study examines the dynamic correlations between developed, emerging, and U.S. markets using EGARCH and DCC-EGARCH models, while analyzing the impact of risk aversion using a quantile regression approach. The findings reveal that while correlations between developed and U.S. markets exhibit high volatility, the correlations between developed and emerging markets are low. Additionally, the study finds that the time-varying conditional correlations between the U.S. and emerging markets are also quite low, suggesting potential benefits for portfolio diversification. Finally, the impact of risk aversion on the dynamic correlations between the three different market indices is examined using the quantile regression method; with results indicating that as quantile levels increase, the effect of risk aversion on dynamic conditional correlations also increases.

Anahtar Kelimeler

• Market Integration
• Risk Aversion
• DCC-EGARCH
• Quantile Regression

Kaynakça

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