Return and Volatility Connectedness in Electronic Warehouse Receipt Market of Turkey

Öz

Over the course of the last century, globalization and integration have increased significantly around the world. The rise in economic and financial globalization and integration has increased the connectedness between national economies and financial markets and secured an important place in the systemic risk spillover. It is important to analyze the issue in terms of different markets. Food prices around the world have increased significantly over the last 20 years. The price and volatility increase associated with food products lead to important socioeconomic and social problems. In this context, it will be important for decision-makers to assess the issue from the perspective of financial markets and to understand and reveal the dynamic structure of food commodity markets. This study aims to examine the connectedness of return and volatility in the Electronic Warehouse Receipt (EWR) market, where agricultural commodities are traded in Turkey, and to analyze its dynamic structure that changes over time. In this study, the Diebold-Yilmaz connectedness measurement method based on the forecast error variance decomposition after the VAR (p) model was used to analyze the connectedness between financial assets. According to the results of the static analysis performed, it was observed that while the return connectedness in the EWR market is very low, the volatility connectedness is at a higher level than the return connectedness. Based on the results of the dynamic analysis, no trend was observed in return connectedness; however, rapid increases and decreases were observed for certain periods. On the other hand, while an increasing trend was observed in the dynamic analysis of volatility connectedness, sudden increases and decreases were observed during periods of crisis. Of all agricultural commodities, it was observed that barley was the asset that sent the most net shock into the system. The EWR market in Turkey has come up recently. The market's structure, dynamics, and synchronization with other markets are still at a low level. The spillover effect of return and volatility shocks in the market are also low. The findings of this study can be used by producers, financial market participants and various decision makers for risk management, hedging and profit maximization purposes.

Anahtar Kelimeler

• Financial connectedness
• Electronic warehouse receipt
• Agricultural commodity market
• Agricultural finance
• Food prices volatility

Türkiye’nin Elektronik Ürün Senedi Piyasasında Getiri ve Volatilite Bağlantılılığı

Öz

Dünyada son yüzyıldan bu yana küreselleşme ve entegrasyon ciddi oranda yükselmiştir. Ekonomik ve finansal küreselleşme ve entegrasyondaki artış ülke ekonomileri ve finansal piyasalar arasındaki bağlantılılığı artırmakta ve sistematik riskin yayılmasında önemli bir yer tutmaktadır. Konunun farklı piyasalar özelinde incelenmesi önem arz etmektedir. Dünyada gıda fiyatları son 20 yılda önemli oranda artmıştır. Gıda ürünlerinde yaşanan fiyat ve volatilite artışları önemli sosyoekonomik ve toplumsal sorunları da beraberinde getirmektedir. Bu bağlamda konuya finansal piyasalar açısından bakmak ve gıda emtia piyasalarının dinamik yapısını anlamak ve ortaya koymak karar alıcılar açısından önemli olacaktır. Bu hedefle çalışmanın amacı Türkiye’de gıda emtialarının işlem gördüğü Elektronik Ürün Senedi (ELÜS) piyasasında getiri ve getiri volatilitesi bağlantılılığının incelenmesi ve zamanla değişen dinamik yapısının analizidir. Çalışmada finansal varlıklar arasındaki bağlantılılığın analizinde VAR (p) modeli sonrası tahmin hata varyans ayrıştırmasına dayalı Diebold-Yılmaz bağlantılılık ölçümü yöntemi kullanılmıştır. Gerçekleştirilen statik analiz sonuçlarına göre ELÜS piyasasında getiri bağlantılılığının oldukça düşük düzeyde iken volatilite bağlantılılığının getiri bağlantılılığına nazaran daha yüksek düzeyde var olduğu görülmüştür. Dinamik analiz sonucunda getiri bağlantılılığında herhangi bir trend görülmemiş, fakat belirli dönemlerde hızlı yükselişler ve düşüşler görülmektedir. Volatilite bağlantılılığının dinamik analizinde ise yükselen bir trend görülmekle birlikte kriz dönemlerinde ani yükseliş ve düşüşler görülmüştür. Tüm gıda emtiaları içerisinde sisteme en çok net şok yayan varlığın arpa olduğu görülmüştür. Türkiye’de ELÜS piyasası oldukça yakın bir geçmişe sahiptir. Piyasanın yapısı, dinamikleri ve diğer piyasalarla senkronizasyonu henüz düşük seviyededir. Piyasadaki getiri ve getiri volatilitesi şoklarının yayılma etkisi henüz düşük düzeydedir. Bu çalışmanın bulguları, üreticiler, finansal piyasa katılımcıları ve çeşitli karar alıcılar tarafından, risk yönetimi, hedge ve kar maksimizasyonu amaçlarıyla kullanılabilir.

Anahtar Kelimeler

• Finansal bağlantılılık
• Elektronik ürün senedi
• Gıda emtia piyasaları
• Tarım finansmanı
• Gıda fiyatları volatilitesi

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