TÜRKİYE, ROMANYA, POLONYA, MACARİSTAN VE UKRAYNA BORSALARI ARASINDAKİ OYNAKLIK GEÇİŞKENLİĞİNİN M-GARCH MODELİ İLE ANALİZİ

Yıl 2018, Cilt: 36 Sayı: 4, 1 - 15, 30.12.2018

Gürkan Bozma Selim Başar

https://doi.org/10.17065/huniibf.346119

Öz

Teknolojik gelişmeler, hisse senetleri ve emtia
piyasaları tek pazar haline gelmiştir. Özellikle aynı zaman diliminde açılan
borsalar arasında yüksek derecede oynaklık olduğu literatürde sıklıkla
incelenmiştir. Bu çalışmada, Türkiye, Romanya, Polonya, Macaristan ve Ukrayna
borsaları arasındaki oynaklık VAR (1) M-GARCH modeli kullanılarak
incelenmiştir. VAR (1) -M-GARCH modelini uygulamadan önce, hisse senedi
borsaları arasında uzun dönemli bir ilişki olup olmadığı, maksimum olabilirlik
yöntemi dayalı Johansen Eş-entegrasyon yöntemi kullanılarak belirlenmeye
çalışılmıştır. Johansen Eşbütünleşme testine göre ele alınan borsalar arasında
uzun dönemli bir ilişki olduğu tespit edilmiştir. Borsalar arasındaki oynaklık
değişkenliği VAR (1) -M-GARCH-BEKK modeliyle incelenmiştir. Elde edilen
bulgular sonucunda, Türkiye (BIST-100) 'in koşullu varyansı, kendi kısa dönem
şokları ve uzun dönem oynaklıkları ile Polonya ve Macaristan borsalarının kısa
dönem şokları ve uzun dönem oynaklıklarından etkilenmektedir. Ayrıca,
Türkiye'nin koşullu varyansı, Romanya borsasının uzun dönem oynaklığından
etkilenmektedir.

Anahtar Kelimeler

Borsa, Oynaklık Geçişkenliği, Romanya, Polonya, Türkiye, Macaristan, Ukrayna, VAR-GARCH, BEKK

ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL

Öz

Due
to technological advances, stocks and commodity markets have become single
market. There is a high degree of volatility among the stock markets especially
opening in the same time frame. In this study, the volatility between Turkey,
Romania, Poland, Hungary and Ukrainian stock market was examined by using the
VAR (1) M-GARCH model. Before applying the VAR (1)-M-GARCH model, it was tried
to be determined by using the Johansen Cointegration method based on the
maximum likelihood method whether there is a long-run relationship between
stock exchanges. A long-run relationship was determined among the stock market
according to the Johansen Cointegration test. The volatility of stock exchange
volatility is examined with the using VAR (1) -M-GARCH-BEKK model. As a result
of the findings, the conditional variance of the Turkey (BIST-100) is affected
by its short-run shocks and long-run volatility as well as the short-run shocks
and the long-run volatility that have occurred in the Poland and Hungary stock
markets. In addition, the conditional variance of the Turkey is affected by the
long-run volatility of the Romanian stock market. 

Anahtar Kelimeler

Stock Market, Volatility Transmission, Romania, Poland, Turkey, Hungary, Ukraine, VAR-GARCH Model, BEKK

Kaynakça

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