ANALYZING THE LONG-RUN ASYMMETRIC RELATIONSHIP BETWEEN TURKEY AND EUROPEAN STOCK MARKETS: APPLICATION OF IMPLICIT ASYMMETRIC COMBINED COINTEGRATION TEST

Abstract

Investors may diversify their portfolios by including financial assets from markets with different dynamics classified as developed and emerging markets. Therefore, they may reduce both country-specific risks and so the total risk of their portfolios exposed. At this point, it should be taken into account that relations may have an asymmetric structure and investment decisions should be made taking into account asymmetric relations. In this context, this study aims to identify the long-run asymmetric relationship between Turkish and European stock markets. For this purpose, the relationships between the Turkish stock market and the stock markets of 34 European countries are analyzed first with Bayer & Hanck (2013) Combined Cointegration test and then with Özer et al. (2024) Implicit Asymmetric Combined Cointegration test. As a result of the study, unlike the studies in the literature, long-run asymmetric relationships between the Turkish stock market and the European stock markets were found. The results obtained from the analysis indicate the existence of asymmetric relationship structures in the long term between the Turkish stock market and the European stock markets, except for the stock markets of Bosnia and Herzegovina and Austria. Therefore, investors who invest in Turkish and European equity markets should revise their portfolio decisions in response to asymmetric shocks.

Keywords

• Stock Markets
• Asymmetric Relationship
• Implicit Asymmetric Combined Cointegration Test

TÜRKİYE VE AVRUPA HİSSE SENEDİ PİYASALARI ARASINDAKİ UZUN DÖNEMLİ ASİMETRİK İLİŞKİLERİN ANALİZ EDİLMESİ: ÖRTÜK ASİMETRİK BİRLEŞİK EŞBÜTÜNLEŞME TESTİ UYGULAMASI

Öz

Yatırımcılar, gelişmiş ve gelişmekte olan piyasalar olarak sınıflandırılan farklı dinamiklere sahip piyasaların finansal varlıklarını portföylerine dahil ederek çeşitlendirme yapabilirler. Böylece hem ülkeye özgü riskleri hem de nihai olarak portföylerinin maruz kaldığı toplam riski azaltabilirler. Ancak çeşitlendirmeden istenilen faydanın sağlanabilmesi için finansal piyasalar/araçlar arasındaki ilişkilerin belirlenmesi gerekmektedir. Bu noktada, ilişkilerin asimetrik yapıya sahip olabileceğinin dikkate alınması ve yatırım kararlarının asimetrik ilişkilerin de göz önünde bulundurularak verilmesi gerekmektedir. Bu bağlamda çalışmada Türkiye ve Avrupa hisse senedi piyasaları arasındaki uzun dönemli asimetrik ilişkilerin belirlenmesi amaçlanmıştır. Bu amaç doğrultusunda Türkiye hisse senedi piyasası ile 34 Avrupa ülkesinin hisse senedi piyasası arasındaki ilişkiler önce Bayer & Hanck (2013) Birleşik Eşbütünleşme testi ile ardından da Özer vd. (2024) Örtük Asimetrik Birleşik Eşbütünleşme testi ile analiz edilmiştir. Çalışma sonucunda, literatürdeki çalışmalardan farklı olarak Türkiye hisse senedi piyasası ile Avrupa hisse senedi piyasaları arasında uzun dönemde asimetrik ilişkiler tespit edilmiştir. Sonuçlar, Bosna Hersek ve Avusturya hisse senedi piyasası dışında Türkiye hisse senedi piyasası ile Avrupa hisse senedi piyasaları arasında uzun dönemde belirli bir asimetrik ilişki yapılarının varlığına işaret etmektedir. Dolayısıyla, Türkiye ve Avrupa hisse senedi piyasalarına yatırım yapan yatırımcıların asimetrik şoklara bağlı olarak portföy kararlarını revize etmeleri gerekmektedir.

Anahtar Kelimeler

• Hisse Senedi Piyasaları
• Asimetrik İlişki
• Örtük Asimetrik Birleşik Eşbütünleşme Testi

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