Güney Afrika Hisse Senedi Piyasasında Makroekonomik ve Finansal Volatilite Yayılımları: VAR-Diyagonal BEKK-GARCH Modeli Çerçevesinde Sektörel Kanıtlar

Öz

Son yıllarda Güney Afrika ekonomisi, artan küresel risklerle eş zamanlı olarak yoğunlaşan siyasi ve ekonomik belirsizliklerin hâkim olduğu bir dönemden geçmektedir. Bu çalışma, döviz kuru değişimleri, petrol fiyatı değişimleri, faiz oranları ve CDS primi değişimleri gibi temel makroekonomik ve finansal değişkenler ile Güney Afrika hisse senedi piyasası endeksleri arasındaki volatilite yayılım dinamiklerini, hem toplam piyasa hem de sektörel düzeyde incelemektedir. Buna ek olarak, farklı risk rejimleri altında ortaya çıkabilecek olası asimetrik volatilite etkileri analiz edilmektedir. VAR(1)-diyagonal BEKK-GARCH (1,1) çerçevesine dayanan ampirik bulgular, CDS primleri ve faiz oranlarına kıyasla döviz kuru ve petrol fiyatı şoklarının, hem toplam piyasa hem de sektörel endeksler genelinde volatilite yayılımlarının en baskın kanalları olduğunu ortaya koymaktadır. Ayrıca, yüksek risk dönemlerinde döviz kuru ve petrol fiyatlarından kaynaklanan volatilite yayılımlarının özellikle toplam piyasa endeksleri ile sanayi ve finans sektörlerinde belirgin biçimde güçlendiği gözlemlenmiştir. Genel olarak bulgular, döviz kurları, petrol fiyatları ve ülke riskinden kaynaklanan şokların Güney Afrika hisse senedi piyasalarında güçlü, kalıcı ve rejime bağlı oynaklık etkileri yarattığını ortaya koymakla kalmayıp, aynı zamanda gelişmekte olan piyasa ekonomilerinde dışsal şoklara karşı dayanıklılığın artırılmasında makro-finansal istikrar çerçevelerinin kritik rolünü vurgulamaktadır.

Anahtar Kelimeler

• Hisse Senedi Fiyatı
• Döviz Kuru
• Faiz Oranı
• Petrol Fiyatları
• CDS Primi

Macroeconomic and Financial Volatility Spillovers in the South African Stock Market: Sectoral Evidence from a VAR-Diagonal BEKK-GARCH Model

Öz

In recent years, the South African economy has experienced a period marked by heightened political and economic uncertainty, while simultaneously facing increasing global risks. This study examines the volatility spillover dynamics between key macroeconomic and financial variables-namely, exchange rate changes, oil price changes, interest rates, and CDS premium changes-and South African stock market indices at both the aggregate market and sectoral levels. In addition, potential asymmetric volatility effects arising under different risk regimes are analyzed. Empirical findings based on a VAR(1)–diagonal BEKK-GARCH (1,1) framework reveal that, relative to CDS premiums and interest rates, exchange rate and oil price shocks constitute the most dominant channels of volatility spillovers across both aggregate and sectoral indices. Moreover, during high-risk periods, volatility spillovers from exchange rates and oil prices intensify markedly, particularly in the aggregate market indices and the industrial and financial sectors. Overall, the results highlight that shocks stemming from exchange rates, oil prices, and country risk not only generate strong, persistent, and regime-dependent volatility effects in South African stock markets but also underscore the critical role of macro-financial stability frameworks in enhancing resilience to external shocks in emerging market economies.

Anahtar Kelimeler

• Stock Price
• Exchange Rate
• Interest Rate
• Oil Prices
• CDS Spread

Kaynakça

1. Ågren, M. (2006). Does oil price uncertainty transmit to stock markets? Working Paper No. 2006:23. Department of Economics, Uppsala University, Sweden.
2. Aktaş, H., Kayalıdere, K., & Karataş, Y. (2018). Petrol, dolar kuru ve hisse senedi piyasası arasındaki ortalama-oynaklık yayılım etkisi: BIST100 üzerine bir uygulama. Muhasebe ve Vergi Uygulamaları Dergisi, 354-377.
3. Andrikopoulos, A., Samitas, A., & Kougepsakis, K. (2014). Volatility transmission across currencies and stock markets: GIIPS in crisis. Applied Financial Economics, 24(19), 1261-1283. http://dx.doi.org/10.1080/09603107.2014.925054
4. Apergis, N., & Rezitis, A. (2001). Asymmetric cross‐market volatility spillovers: Evidence from daily data on equity and foreign exchange markets. The Manchester School Supplement, 69, 81-96. https://doi.org/10.1111/1467-9957.69.s1.5
5. Apte, P. (2001). The interrelationship between the stock markets and the foreign exchange market. IIM Bangalore Research Paper, (169).
6. Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2012). On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness. Energy Economics, 34(2), 611-617. https://doi.org/10.1016/j.eneco.2011.08.009
7. Ashfaq, S., Tang, Y., & Maqbool, R. (2019). Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns. Energy, 188, 1-39. https://doi.org/10.1016/j.energy.2019.116002
8. Awartani, B., & Maghyereh, A. I. (2013). Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries. Energy Economics, 36, 28-42. http://dx.doi.org/10.1016/j.eneco.2012.11.024

9. Basher, S. A., Haug, A. A., & Sadorsky, P. (2016). The impact of oil shocks on exchange rates: A Markov-switching approach. Energy Economics, 54, 11-23. https://doi.org/10.1016/j.eneco.2015.12.004
10. Belhassine, O. (2020). Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors: A tale of two crises. Research in International Business and Finance, 53, 1-40. https://doi.org/10.1016/j.ribaf.2020.101195
11. Bollerslev, T., Engle, R. F., & Wooldridge, J. M. (1988). A capital asset pricing model with time-varying covariances. Journal of Political Economy, 96(1), 116-131.
12. Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. The Review of Economics and Statistics, 72(3), 498-505.
13. Bostancı, A. B., & Doğru, E. (2023). DCC-GARCH modeli ile döviz kuru, petrol fiyatı ve seçili BIST endeksleri arasındaki volatilite yayılımının tespiti. Doğuş Üniversitesi Dergisi, 24(2), 559-577. https://doi.org/10.31671/doujournal.1250689
14. Boubaker, H., & Raza, S. A. (2017). A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets. Energy Economics, 64, 105-117. https://doi.org/10.1016/j.eneco.2017.01.026
15. Caporale, G. M., Pittis, N., & Spagnolo, N. (2002). Testing for causality‐in‐variance: An application to the East Asian markets. International Journal of Finance & Economics, 7(3), 235-245. https://doi.org/10.1002/ijfe.185
16. Chang, C. L., McAleer, M., & Tansuchat, R. (2011). Crude oil hedging strategies using dynamic multivariate GARCH. Energy Economics, 33(5), 912-923. https://doi.org/10.1016/j.eneco.2011.01.009
17. Chang, C. L., McAleer, M., & Tansuchat, R. (2013). Conditional correlations and volatility spillovers between crude oil and stock index returns. The North American Journal of Economics and Finance, 25, 116-138. http://dx.doi.org/10.1016/j.najef.2012.06.002
18. Choi, D. F. F. V., Fang, V., & Fu, T. (2009). Volatility spillover between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis. Asian Journal of Finance & Accounting, 1(2), 106-117.
19. Çiçek, M. (2010). Türkiye'de faiz, döviz ve borsa: Fiyat ve oynaklık yayılma etkileri. Ankara Üniversitesi SBF Dergisi, 65(02), 1-28.
20. Çiçek, S., & Alkan, B. (2019). Enflasyon ve beklenen enflasyon belirsizlikleri üzerinden Türkiye’de para politikasının değerlendirmesi. Bankacılar Dergisi, 109, 82-100.
21. Çiçek, S., & Yıldırım, A. (2024). The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye. Central Bank Review, 24(1), 1-16. https://doi.org/10.1016/j.cbrev.2023.100139
22. Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. The American Economic Review, 70(5), 960-971.
23. Engle, R. F., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122-150. https://doi.org/10.1017/S0266466600009063
24. Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350. http://dx.doi.org/10.1198/073500102288618487
25. Erdem, C., Arslan, C. K., & Sema Erdem, M. (2005). Effects of macroeconomic variables on Istanbul stock exchange indexes. Applied Financial Economics, 15(14), 987-994. http://dx.doi.org/10.1080/09603100500120365
26. Erdoğan, S., Gedikli, A., & Çevik, E. İ. (2020). Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries. Borsa Istanbul Review, 20(4), 322-333. https://doi.org/10.1016/j.bir.2020.04.003
27. Ewing, B. T., & Malik, F. (2016). Volatility spillovers between oil prices and the stock market under structural breaks. Global Finance Journal, 29, 12-23. https://doi.org/10.1016/j.gfj.2015.04.008
28. Eyüboğlu, S., & Eyüboğlu, K. (2018). Borsa İstanbul sektör endeksleri ile döviz kurları arasındaki ilişkilerin incelenmesi: ARDL modeli. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11(1), 8-28. https://doi.org/10.25287/ohuiibf.332352
29. Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. The journal of Finance, 57(5), 2223-2261.
30. Francis, B. B., Hasan, I., & Hunter, D. M. (2006). Dynamic relations between international equity and currency markets: The role of currency order flow. The Journal of Business, 79(1), 219-258. https://doi.org/10.1086/497417
31. Frankel, J. A. (1987). Monetary and portfolio balance models of exchange rate determination (No. 8752). 1-7.
32. Gencer, H. G., & Demiralay, S. (2014). Shock and volatility spillovers between oil prices and Turkish sector returns. International Journal of Economics and Finance, 6(2), 174-180. http://dx.doi.org/10.5539/ijef.v6n2p174
33. Gençyürek, A. G., Ekinci, R., & Ağan, B. (2023). Volatility spillover, hedging and portfolio diversification between oil market and S&P sectoral indices. Ege Academic Review, 23(1), 127-144. https://doi.org/10.21121/eab.793854
34. Gomes, M., & Chaibi, A. (2014). Volatility spillovers between oil prices and stock returns: A focus on frontier markets. The Journal of Applied Business Research, 30(2),509-526.
35. Gupta, R., & Modise, M. P. (2013). Does the source of oil price shocks matter for South African stock returns? A structural VAR approach. Energy Economics, 40, 825-831.
36. Hurduzeu, G., Musetescu, R. C., & Meghisan, G. M. (2015). Financial market reaction to changes in the volatilities of CDS returns. Romanian Journal of Economic Forecasting, 18(3), 152-165.
37. I, T. (2015). Study on return and volatility spillover effects among stock, CDS, and foreign exchange markets in Korea. East Asian Economic Review, 19(3), 275-322. http://dx.doi.org/10.11644/KIEP.JEAI.2015.19.3.299
38. Kanas, A. (2000). Volatility spillovers between stock returns and exchange rate changes: International evidence. Journal of Business Finance & Accounting, 27(3‐4), 447-467. https://doi.org/10.1111/1468-5957.00320
39. Kang, W., Ratti, R. A., & Yoon, K. H. (2015). The impact of oil price shocks on the stock market return and volatility relationship. Journal of International Financial Markets, Institutions and Money, 34, 41-54. http://dx.doi.org/10.1016/j.intfin.2014.11.002
40. Kang, S. H., & Yoon, S. M. (2013). Revisited return and volatility spillover effect in Korea. Korea and the World Economy, 14(1), 121-145.
41. Khalfaoui, R., Boutahar, M., & Boubaker, H. (2015). Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis. Energy Economics, 49, 540-549. https://doi.org/10.1016/j.eneco.2015.03.023
42. Kırkulak-Uludağ, B., & Safarzadeh, O. (2018). The interactions between OPEC oil price and sectoral stock returns: Evidence from China. Physica A: Statistical Mechanics and Its Applications, 508, 631-641. https://doi.org/10.1016/j.physa.2018.02.185
43. Kumar, M. (2013). Returns and volatility spillover between stock prices and exchange rates: Empirical evidence from IBSA countries. International Journal of Emerging Markets, 8(2), 108-128. http://dx.doi.org/10.1108/20400701111165623
44. Lee, Y. H., Huang, Y. L., & Wu, C. Y. (2014). Dynamic correlations and volatility spillovers between crude oil and stock index returns: The implications for optimal portfolio construction. International Journal of Energy Economics and Policy, 4(3), 327-336.
45. Lin, B., Wesseh Jr, P. K., & Appiah, M. O. (2014). Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness. Energy Economics, 42, 172-182. https://doi.org/10.1016/j.eneco.2013.12.017
46. Liu, X., An, H., Huang, S., & Wen, S. (2017). The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH–BEKK model. Physica A, 465, 374-383. http://dx.doi.org/10.1016/j.physa.2016.08.043
47. Liu, Z., Ding, Z., Li, R., Jiang, X., Wu, J., & Lv, T. (2017). Research on differences of spillover effects between international crude oil price and stock markets in China and America. Natural Hazards, 88(1), 575-590. https://doi.org/10.1007/s11069-017-2881-8
48. Liu, Z., Tseng, H. K., Wu, J. S., & Ding, Z. (2020). Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects. Resources Policy, 66, 1-10. https://doi.org/10.1016/j.resourpol.2020.101637
49. Maghyereh, A. I., Awartani, B., & Tziogkidis, P. (2017). Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. Energy Economics, 68, 440-453. https://doi.org/10.1016/j.eneco.2017.10.025
50. Malik, F., & Hammoudeh, S. (2007). Shock and volatility transmission in the oil, U.S. and Gulf equity markets. International Review of Economics & Finance, 16(3), 357-368. https://doi.org/10.1016/j.iref.2005.05.005
51. Mateev, M. (2019). Volatility relation between credit default swap and stock market: New empirical tests. Journal of Economics and Finance, 43(4), 681-712. https://doi.org/10.1007/s12197-018-9467-5
52. Mikhaylov, A. Y. (2018). Volatility spillover effect between stock and exchange rate in oil exporting countries. International Journal of Energy Economics and Policy, 8(3), 321-326.
53. Mills, T. C., & Markellos, R. N. (2008). The econometric modelling of financial time series (Third ed.). Cambridge University Press.
54. Mishra, A. K., Swain, N., & Malhotra, D. K. (2007). Volatility spillover between stock and foreign exchange markets: Indian evidence. International journal of business, 12(3), 343-359.
55. Morales, L. D. L. N. (2008). Volatility spillovers between equity and currency markets: eviderice from major Latin American Countries. Cuadernos de Economía, 45(132), 185-215. http://dx.doi.org/10.4067/S0717-68212008000200002
56. Morema, K., & Bonga-Bonga, L. (2020). The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications. Resources Policy, 68, 101740. https://doi.org/10.1016/j.resourpol.2020.101740
57. Muguto, H. T., Rupande, L., & Muzindutsi, P. F. (2019). Investor sentiment and foreign financial flows: Evidence from South Africa. Zbornik Radova Ekonomski Fakultet u Rijeka, 37(2), 473-498. https://doi.org/10.18045/zbefri.2019.2.473
58. O’Donnell, M., & Morales, L. (2009). Volatility spillovers between stock returns and foreign exchange rates: Evidence from four Eastern European countries. Int J Business, 12, 1-20.
59. Önem, H. B. (2022). Döviz kurları ve CDS primi oynaklığının BIST endekslerine yayılım etkisi. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi, 6(2), 274-293. https://doi.org/10.31200/makuubd.1117597
60. Qayyum, A., & Kemal, A. R. (2006). Volatility spillover between the stock market and the foreign exchange market in Pakistan. PIDE Working Papers. Pakistan Institute of Development Economics, Pakistan.
61. Raghavan M., & Dark J. (2008). Return and volatility spillovers between the foreign exchange market and the Australian all ordinaries index. The ICFAI Journal of Applied Finance, 14, 41-48.
62. Rigobon, R. (2003). On the measurement of the international propagation of shocks: Is the transmission stable?. Journal of International Economics, 61(2), 261-283. https://doi.org/10.1016 /S0022-1996(03)00007-2
63. Sadorsky, P. (2012). Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies. Energy Economics, 34(1), 248-255. https://doi.org/10.1016/j.eneco.2011.03.006
64. Sajeev, K. C., & Afjal, M. (2022). Contagion effect of cryptocurrency on the securities market: A study of Bitcoin volatility using diagonal BEKK and DCC GARCH models. SN Business & Economics, 2(6), 1-21. https://doi.org/10.1007/s43546-022-00219-0
65. Sarwar, S., Khalfaoui, R., Waheed, R., & Dastgerdi, H. G. (2019). Volatility spillovers and hedging: Evidence from Asian oil-importing countries. Resources Policy, 61, 479-488. https://doi.org/10.1016/j.resourpol.2018.04.010
66. Shapovalova, Y., & Eichler, M. (2023). Measuring and quantifying uncertainty in volatility spillovers: A bayesian approach. Data Science in Science, 2(1), 1-19. https://doi.org/10.1080/26941899.2023.2176379
67. Siddiqui, S., & Roy, P. (2019). Predicting volatility and dynamic relation between stock market, exchange rate and select commodities. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 67(6), 1597-1611. https://doi.org/10.11118/actaun201967061597
68. Sikhosana, A., & Aye, G. C. (2018). Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa. Economic Analysis and Policy, 60, 1-8. https://doi.org/10.1016/j.eap.2018.08.002
69. Singhal, S., & Ghosh, S. (2016). Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models. Resources Policy, 50, 276-288. http://dx.doi.org/10.1016/j.resourpol.2016.10.001
70. Soytas, U., & Oran, A. (2011). Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey. Applied Energy, 88(1), 354-360. https://doi.org/10.1016/j.apenergy.2010.07.018
71. Sui, L., & Sun, L. (2016). Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis. Research in International Business and Finance, 36, 459-471. http://dx.doi.org/doi:10.1016/j.ribaf.2015.10.011
72. Şenol, Z. (2020). Borsa, döviz kuru ve petrol fiyatları arasındaki oynaklık yayılımı. Muhasebe Bilim Dünyası Dergisi, 22(4), 629-647. https://doi.org/10.31460/mbdd.649121
73. Şenol, Z. (2021). Borsa endeksi, döviz kuru, faiz oranları ve CDS primleri arasındaki oynaklık yayılımları: Türkiye örneği. Business and Economics Research Journal, 12(1), 111-126. http://dx.doi.org/10.20409/berj.2021.313
74. Walid, C., Chaker, A., Masood, O., & Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging Markets Review, 12(3), 272-292. https://doi.org/10.1016/j.ememar.2011.04.003
75. Wu, R. S. (2005). International transmission effect of volatility between the financial markets during the Asian financial crisis. Transition Studies Review, 12(1), 19-35. https://doi.org/10.1007/s11300-005-0032-5
76. Yaman, S., & Korkmaz, T. (2020). Döviz kurları ile BİST turizm endeksi getirileri arasındaki volatilite yayılım etkisinin belirlenmesi. Business and Economics Research Journal, 11(3), 681-702. https://doi.org/10.20409/berj.2020.277
77. Yang, S. Y., & Doong, S. C. (2004). Price and volatility spillovers between stock prices and exchange rates: Empirical evidence from the G-7 countries. International Journal of Business and Economics, 3(2), 139-153.
78. Yoon, O. J., & Kang, K. H. (2007). Volatility spillovers in Korean financial markets. Bank of Korea Economic Papers, 7(2), 88-106.
79. Yu, J. (2002). Forecasting volatility in the New Zealand stock market. Applied Financial Economics, 12(3), 193-202. http://dx.doi.org/10.1080/09603100110090118
80. Zhao, H. (2010). Dynamic relationship between exchange rate and stock price: Evidence from China. Research in International Business and Finance, 24(2), 103-112. https://doi.org/10.1016/j.ribaf.2009.09.001