Market Co-Movement in Crisis Periods: A Case for Turkey, United States of America and England

Öz

As shown many times in literature studies, during crises, a shock that began in one country spreads to other countries that are economically, politically, and socially relevant. These studies are usually focused on econometric models developed on shock transfers. In this study, the impact of the 2007-2008 US subprime mortgage crisis, the last global economic crisis, on markets in Turkey in United States of American (USA) and United Kingdom was examined. Due to the large number of transfers that took place during the crisis period, it has been tried to show that indices of stock exchanges in these countries show similar responses. As a result of the co-integration analysis, it was determined that the daily stock market indices of 2007-2009 period were in an co-integrated structure and showed similar movements during the crisis period.

Anahtar Kelimeler

• Financial Crisis Contagion,Financial Crisis,Co-integration

Kriz Dönemlerinde Piyasa Eş-Hareketliliği: Türkiye, Amerika Birleşik Devletleri ve İngiltere Örneği

Öz

Kriz dönemlerinde, ekonomik, politik ya da sosyal açıdan birbiriyle bağlantılı ülkelerden birinde meydana gelen şokun, ilişkili diğer ülkelere de yayıldığı, literatürdeki birçok deneysel çalışmayla ortaya konmuştur. Bu çalışmalar genellikle şok transferleri üzerine geliştirilen ekonometrik modeller üzerinde yoğunlaşmıştır. Bu çalışmada, en son yaşanan küresel ekonomik kriz olan 2007-2008 ABD Sub-prime Mortgage krizinin Türkiye, Amerika Birleşik Devletleri ve İngiltere piyasaları üzerine etkisi incelenmiştir. Kriz döneminde meydana gelen şok transferine bağlı olarak, bu ülke borsalarındaki endekslerin benzer tepkiler gösterdiği ortaya konmaya çalışılmıştır. Yapılan Eş bütünleşme Analizi sonucunda 2007-2009 dönemindeki günlük borsa endekslerinin bütünleşik bir yapıda olduğu ve kriz döneminde benzer hareketler gösterdikleri tespit edilmiştir.

Anahtar Kelimeler

• Finansal Kriz,Finansal Kriz Yayılımı,Eş bütünleşme

Kaynakça

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