KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR

Öz

Bu çalışmanın amacı, Türkiye’nin 05.01.2010-31.12.2019 dönemi için CDS primleri ile hisse senedi piyasaları arasındaki oynaklık yayılım etkisini ve yayılımın yönünü çok değişkenli GARCH modelleri ve varyansta nedensellik testiyle ortaya koymaktır. Bu doğrultuda çalışmada ilk olarak, seriler için en uygun oynaklık modeli araştırılmış, ARMA (0,1)-FIAPARCH (1,1) modelinin olduğu belirlenmiştir. Daha sonra, seriler arasındaki oynaklık yayılım etkisi DCC-FIAPARCH (1,1) modeli ile araştırılmış, seriler arasında istatistiksel açıdan anlamlı ve negatif bir oynaklık yayılım etkisinin olduğu bulguları elde edilmiştir. Çalışmada son olarak, seriler arasındaki yayılımının yönü Hafner ve Herwartz (2006) varyansta nedensellik testi ile araştırılmış, oynaklık yayılımının karşılıklı olduğu tespit edilmiştir.

Anahtar Kelimeler

• CDS Primleri
• Hisse Senedi Piyasaları
• Çok Değişkenli GARCH Modelleri
• Varyansta Nedensellik Testi
• Oynaklık Yayılım Etkisi

VOLATILITY SPILLOVER EFFECT AMONG CREDIT DEFAULT SWAP PREMIUM AND STOCK MARKETS: EVIDENCES FROM TURKEY

Öz

The purpose of this study is to put forward volatility spillover effect and direction of spillover between CDS premiums and stock markets by the period 01.05.2010-12.31.2019 for Turkey with multivariate GARCH models and causality in variance test. In this direction, firstly in the study, the most suitable volatility model for both series has been investigated, it has been determined that there is an ARMA (0,1)-FIAPARCH (1,1) model. Then, the volatility spillover effect between series has been investigated by DCC-FIAPARCH model, it has been concluded that there is a statistically significant and negative volatility spillover effect between series. Finally in the study, the direction of the spillover between series, has been investigated by Hafner and Herwartz (2006) causality in variance test, it has been determined that the volatility spillover between series is bidirectional.

Anahtar Kelimeler

• CDS Premium
• Stock Markets
• Multivariate GARCH Models
• Causality in Variance Test
• Volatility Spillover Effect

Kaynakça

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