Borsa İstanbul’un Bölgesel Piyasalar ile Entegrasyonu: Dinamik Koşullu Korelasyonlar ve Yayılım Endeksinden Kanıtlar

Öz

Çalışmanın amacı, Borsa İstanbul 100 (BİST100) endeksinin bölgesel entegrasyonlarının düzeyini gelişmiş ve gelişen piyasalar çerçevesinde incelemektir. Bu amaçla 09.07.2012-19.02.2021 dönemine ait günlük veri seti kullanılarak MSCI tarafından oluşturulan yedi farklı bölge endeksinin yanı sıra MSCI Dünya ve MSCI Gelişen piyasalar endeksleri ile BİST100 endeksi arasındaki etkileşimler incelenmiştir. Araştırmanın ilk aşamasında iki değişkenli DCC-GARCH yöntemi kullanılarak dinamik koşullu korelasyonlar hesaplanmış ve tüm analizlerde pozitif ve anlamlı katsayılar elde edilmiştir. BİST100 ile ilişkisi en güçlü endeksin Gelişen Avrupa piyasaları, ikinci olarak da Gelişmiş Avrupa piyasaları olduğu bulunmuştur. En zayıf ilişki ise Körfez ülkeleri endeksi ile görülmüştür. Genel olarak Borsa İstanbul’un gelişmekte olan piyasalar ile korelasyonu, gelişmiş piyasalardan daha yüksek çıkmıştır. İkinci aşamada endeksler arasındaki etkileşimin yönünü belirlemek amacıyla Diebold ve Yılmaz (2012) tarafından geliştirilen yayılma endeksi kullanılmıştır. Elde edilen bulgular Borsa İstanbul’un bölgesel endekslerle etkileşiminin zayıf olduğunu ortaya koymaktadır. Bu bulguların gerek finansal entegrasyonun fayda ve maliyetleri noktasında politika yapıcılara gerekse yatırım stratejileri oluşturmaya çalışan portföy yöneticilerine yol göstermesi beklenmektedir.

Anahtar Kelimeler

• DCC-GARCH
• Volatilite Yayılımı
• Dinamik Koşullu Korelasyonlar
• Finansal Piyasa Entegrasyonu

Integration of Borsa Istanbul with Regional Markets: Evidences from Dynamic Conditional Correlations and Spillover Index

Öz

The aim of this study is to investigate the integration level of Borsa Istanbul 100 (BİST100) index with regional indexes considering developed and emerging market segments. For this purpose, using a daily data set covering 09.07.2012-19.02.2021 period, interactions between BİST100 index and seven regional indexes constituted by MSCI as well as MSCI World and MSCI Emerging Market indexes are examined. At the first stage of the study, dynamic conditional correlations are estimated by bivariate DCC-GARCH method and positive and significant coefficients are obtained for all index pairs. Highest correlations with BİST100 belong to MSCI emerging Europe and MSCI developed Europe indexes respectively. The weakest correlation of BİST100 is observed with MSCI-GCC index. Conditional correlations of BİST100 and emerging markets are higher than those of BİST100 and developed markets. At the second stage, Diebold and Yilmaz (2012) spillover index is performed in order to determine the direction of interactions. Findings of return and volatility spillovers suggest that the interactions among Borsa İstanbul and regional indexes are weak. Results obtained from the analysis are expected to be useful for both policy makers in the sense of benefits and costs of financial integration and investors in their portfolio decisions.

Anahtar Kelimeler

• DCC-GARCH
• Volatility Spillover
• Dynamic Conditional Correlations
• Financial Market Integration

Kaynakça

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