PAY PİYASALARI ARASINDAKİ OYNAKLIK YAYILIMI: DOĞU ASYA PİYASALARI ÖRNEĞİ

Yıl 2023, Sayı: 4, 95 - 111, 25.10.2023

İbrahim Halil Uçar , Erkan Alsu

Öz

Bu çalışmada, pay piyasaları arasındaki oynaklık yayılımı incelenmektedir. Bu kapsamda, Borsa İstanbul (BIST), IDX (Endonezya), KLSE (Malezya), KOSPI (Güney Kore) ve SET (Tayland) endeksleri arasındaki getiri ve oynaklık yayılımı, 4 Ocak 2010 ile 30 Aralık 2022 döneminde beş değişkenli asimetrik genelleştirilmiş otoregresif koşullu değişen varyans GARCH modellerinden EGARCH ve TGARCH modelleri kullanılarak incelenmiştir. EGARCH ve TGARCH modellerinden elde edilen ortalama denklemi bulgularına göre, Borsa İstanbul’un (BİST) gelişmekte olan (ASEAN) endekslerinin gecikmeli getirilerinden etkilendiği ve Borsa İstanbul’un oynaklığı üzerinde en güçlü etkinin, SET (Tayland) ve IDX (Endonezya) endeksleri olduğu tespit edilmiştir. Çalışmanın sonuçlarına göre, Borsa İstanbul (BİST) ile ilişkili haberlerde asimetrilerin var olduğunu ve kötü haberlerin ya da negatif şokların Borsa İstanbul’un oynaklığında daha etkili olduğu saptanmıştır.

Anahtar Kelimeler

Pay piyasaları, Getiri ve Oynaklık Yayılımı, EGARCH, TGARCH, BİST

Kaynakça

• Adeleye, N. (2019). “GARCH Models Eviews”. Department of Economics and Development Studies, Covenant University, Nigeria, https://www.Cruncheconometrix.com.ng
• Angela L. & Ming–Shiun, P. (1997). “Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets”. Multinational Finance Journal, 1(1):47–62
• Arı. A. & Özcan. B. (2013). “Para Talebinin Belirleyenleri ve İstikrarı Üzerine Bir Uygulama: Türkiye Örneği”. Yönetim ve Ekonomi 20(2): 105-120.
• Blasco, N., Pilar Corredor. P. & Ferreruela, S. (2012). “Does Herding Affect Volatility? Implications for the Spanish Stock Market”. Quantitative Finance, 12(2): 311–327.
• Bodkhe,N., Sakthivel, P. & Kamaiah, B. (2012). “Correlation and Volatility Transmission Across International Stock Markets: A Bivariate GARCH Analysis”. International Journal of Economics and Finance, 4(3): 253-264.
• Bozma, G. & Başar, S. (2018). “Analyzing Volatility Transmissions Between Stock Markets of Turkey, Romania, Poland, Hungary and Ukraine Using M-GARCH Model”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36(4):1-16.
• Chakrabarti, G. (2011). “Financial Crisis and The Changing Nature of Volatility Contagion in The Asia-Pacific Region”. Journal of Asset Management, 12(3): 172–184.
• Chancharoenchai, K. & Dibooğlu, S. (2014). “Volatility Spillovers and Contagion During the Asian Crisis: Evidence from Six Southeast Asian Stock Markets”, Emerging Markets Finance and Trade, 42(2): 4–17.
• Chirila, V., Turturean, C. I. & Chirila, C. (2015). “Volatility Spillovers Between Eastern European and Euro Zone Stock Markets”. Transformations in BusinessveEconomics, 14(2): 464-477.
• Chua,L. C. & Tsiaplias, S. (2019). “Information Flows and Stock Market Volatility”. Journal of Applied Econometrics, 34: 129–148.
• Demirgil, H. & Gök, İ. Y. (2014). “Türkiye ve Başlıca AB Pay Piyasaları Arasında Asimetrik Volatilite Yayılımı”. Yönetim ve Ekonomi Araştırmaları Dergisi, 23:315-340.
• Gökbulut. R. İ. & Pekkaya, P. (2014). “Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets”, International Journal of Economics and Finance, 6(4):23-35
• Filippini. C. & Capannell, G. (2010). “Economic Integration in East Asia and Europe: Lessons from A Comparative Analysis”. The Singapore Economic Review, 55(1): 163–184
• Haglung, E. & Anderson, O. (2014). “Financial Econometrics: A Comparison of GARCH Type Model Performances when Forecasting VaR”. Bachelor of Science Thesis Fall 2014 Department of Statistics, Uppsala University, pp.1-22.
• Jebran, K. & Iqbal, A. (2016). “Examining Volatility Spillover between Asian Countries’ Stock Markets”. China Finance and Economic Review, 4(1): 1-13.
• Joshi, P. (2011). “Return and Volatility Spillovers Among Asian Stock Markets”, SAGE Open: 1–8.
• Khositkulporn, P. (2013). “The Factors Affecting Stock Market Volatility and Contagion: Thailand and South-East Asia Evidence”, Thesis submitted in partial fulfilment of the requirements for the degree of Doctor of Business Administration, School of Business Victoria University Melbourne, February 2013, pp.1-192.
• Kishor, N. & Singh, R. P. (2014). “Stock Return Volatility Effect: Study of BRICS”, Transnational Corporations Review, 6(4): 406-418.
• Kragel, J. (2009). “Managing the Impact of Volatility in International Capital Markets”, Dans Finance veThe Bien Commun, 2009/2 (N o 34-35):55 -59
• Liu, C. Y., Han, R. M. & Liu, J. (2006). “Empirical Study to the Price Volatility and Information Flow of China Stock”. Proceedings of The Fifth International Conference on Machine Learning and Cybernetics, Dalian, 13-16 August 2006, China, pp.3594-3599.
• Mallıkarjuna & Prabhakara, R. (2019). “Volatility Experience of Major World Stock Markets”, Theoretical and Applied Economics, 4(621): 35-52.
• Mamtha, D. & Srinivasan, S. K. (2016). “Stock Market Volatility Conceptual Perspective Through Literature Survey”, Mediterranean Journal of Social Sciences,7(1): 208-212.
• Maqsood, A., Safdar, S., Shafi, R. & Lelit, J. N. (2017). “Modeling Stock Market Volatility Using GARCH Models: A Case Study of Nairobi Securities Exchange (NSE)”, Scientif Research Publishing, Open Journal of Statistics, 7: 369-381.
• Mishra, B. & Rahman, M. (2010). “Dynamics of Stock Market Return Volatility: Evidence from The Daily Data of India and Japan”. International Business ve Economics Research Journal, 9(5): 79-83.
• Nasir, H. R. & Abdul, J. (2019). “Time Series Analysis (Stationarity, Cointegration and Causality”. Academic Press Environmental Kuznets Curve (EKC), pp.85-99.
• O’Brien, M., Karunanayake, I. & Valadkhani, A. (2010). “Financial Crıses and International Stock Market Volatility Transmission”. Australian Economic Papers September, pp.209-221
• Selvarajan, S. K. & Rahim, R. (2020). “Financial Integration and Economic Growth: Should Asia Emulate Europe?”, Journal of Economic Integration, 35(1): 191-213.
• Palamalai, S., Kalaivani, M. & Devakumar, C. (2013). “Stock Market Linkages in Emerging Asia-Pacific Markets”, SAGE Open October-December 2013, pp. 1–15.
• Raunig, B. & Scharler, J. (2010). “Stock Market Volatility and the Business Cycle”. Monetary Policy ve The Economy, Q2/2010: 53-63.
• Sang, J. L. (2009). “Volatility Spillover Effects Among Six Asian Countries, Routledge Taylor &Francis Group Applied Economics Letters, 16: 501–508
• Shahzad, F., Habib, U. E., Peilong, S. & Hamid, K. (2019). “Stock Returns and Asymmetric Volatility Spillover Dynamics Between Asian Emerging Market”. SAGE Article Global Business Review, pp.1–15.
• Şenol, Z. & Turkay, H. (2020). “Gelişmiş ve Gelişmekte Olan Borsalar Arasındaki Oynaklık Yayılımı”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(2): 361-385.
• Taştan, H. (2005). “Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets”. Discussion Paper Ağust 2005/10, pp.1-30.
• Tiwari, K. A., Dar, A. B. & Bhanja, N. (2013). “Stock Market Integration in Asian Countries: Evidence from Wavelet Multiple Correlations”, Journal of Economic Integration, 28(3): 441-456.
• Yalçın, D. & Aybars, A. (2022). “Testing For Herd Behavior in Borsa Istanbul During the Covid-19 Pandemic”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 44(1): 36-52
• Yanan, L. & Giles, D. (2015). “Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets”, International Journal of Finance, 20: 155–177
• Worthington, A. &vHiggs, H. (2004). “Transmission of Equity Returns and Volatility in Asian Developed and Emerging Markets: A Multivariate GARCH Analysis”, International Journal of Finance and Economics Int. J. Fin. Econ. 9: 71–80