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

Yıl 2018, Cilt: 4 Sayı: 2, 97 - 104, 01.06.2018

Fatih Çemrek , Hakkı Polat

https://doi.org/10.30855/gjeb.2018.4.2.003

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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