VOLATİLİTY SPİLLOVERS BETWEEN OİL PRİCES AND STOCK RETURNS: DEVELOPED AND DEVELOPİNG COUNTRİES CASE

Abstract

In recent years, it has been seen that breaking, shock and crises appearing in the markets have reached regional and even global dimensions with the influence of contagion. From each of the affected markets together it has led to the investigation of the spillover effect of volatility and return. In this study, the interaction between petroleum markets and stock market was investigated with the help of the VAR-GARCH model, as revealed by Ling and McAleer 2003 . The reason for choosing this model is also to show whether there is a spillover effect of the shocks and volatility occurring in these markets at the same time. For this purpose, the relationship between stock markets and oil markets of developed and developing countries has been investigated

Keywords

• Oil Prices
• Stock Returns
• Volatility Spillover

PETROL FİYATLARI İLE HİSSE SENEDİ GETİRİLERİ ARASINDA VOLATİLİTENİN YAYILMA ETKİSİ: GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ÖRNEĞİ

Öz

Son yıllarda piyasalarda görünen kırılma, şok ve krizlerin bulaşma etkisiyle, bölgesel hatta küresel boyutlara ulaştıkları görülmektedir. Piyasaların birbirinden etkilenmesi beraberinde volatilite ve getirinin yayılma etkisinin araştırılmasına neden olmuştur. Bu çalışmada petrol piyasaları ve hisse senedi piyasaları arasındaki etkileşim, Ling ve McAleer 2003 tarafından ortaya koyulan VAR-GARCH modeli yardımıyla incelenmiştir. Bu modelin seçilmesinin nedeni aynı zamanda bu piyasalardaki oluşan şoklar ve oynaklığın karşılıklı geçiş etkisinin bulunup bulunmadığını ortaya koymaktır. Bu amaçla gelişmiş ve gelişmekte olan ülkelerin hisse senedi piyasalarıyla, petrol piyasaları arasındaki ilişki araştırılmıştır. Elde edilen sonuçlara göre, petrol getirilerinin Meksika hariç bütün ülkelerde anlamlı olduğu, ABD ve İngiltere için pozitif diğer ülkeler için ise negatif etkisi olduğu tespit edilmiştir. Bu iki ülke petrol rezervi bakımından etkili ülkeler olmamasına rağmen, petrolün çıkarılma ve pazarlama aşamalarındaki etkinliğinden kaynaklandığı düşünülmektedir. Diğer ülkelerdeki negatif etki ise ülkelerin petrole bağımlılığının göstergesidir. Petrol şoklarının Hindistan ve Brezilya hariç tüm ülkelerde anlamlı etkisi tespit edilmiştir. Barsky ve Kilian 2004 ve Kilian 2006, 2009 çalışmalarında şokların etkisini anlamak için, şokları kaynaklarına göre ayırmanın gerekliliğinden bahsetmiştir. Sabit koşullu korelasyon katsayılarına bakıldığında, bütün ülkelerde anlamlı olduğu görülmektedir. Katsayılar çok büyük olmadığından, hisse senedi piyasalarının en önemli belirleyicisi diyemeyiz. Ancak önemli etkenlerden biri olduğu söylenebilir.

Anahtar Kelimeler

• Petrol Fiyatları
• Hisse Senedi Getirileri
• Volatilite Yayılımı

Kaynakça

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