Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi

Yıl 2019, Sayı: 81, 293 - 314, 09.01.2019

Çiğdem Kurt Cihangir

https://doi.org/10.25095/mufad.510682

Öz

Bu çalışmada, gelişmekte olan piyasaların ekonomik ve yapısal sorunlarını etkileyen temel değişkenlerden emtia fiyatlarının ve sermaye girişlerinin borsa üzerindeki etkisi incelenmiştir. Değişkenler arasındaki ilişkiler sırasıyla, Johansen Koentegrasyon Testi, Hata Düzeltme Modeli, Wald testi ve Varyans ayrıştırması teknikleri ile analiz edilmiştir. Buna göre, Altın Oynaklık Endeksi (GVZ), Petrol Oynaklık Endeksi (OVX) ve Fed faiz oranları ile ilgili borsa endeksleri arasında uzun dönem ilişki tespit edilmiştir. Ayrıca, borsa endeksleri üzerinde GVZ ve OVX’in tek tek veya birlikte etkili olduğu; ancak FED faiz oranlarının anlamlı bir etkisinin olmadığı; GVZ’nin, daha etkili olduğu belirlenmiştir. Genel itibariyle, gelişen piyasa ekonomilerinin, emtia fiyatlarındaki dalgalanmalar ve küresel likiditedeki değişimlere cevap verecek politikaların/stratejilerin uygulanmasında dikkate almaları gereken değişkenlerden bir kısmı belirlenmiştir.

Anahtar Kelimeler

Gelişen Piyasa Borsa Endeksleri, Emtia Volatilite Endeksleri GVZ, OVX, Fed Faiz Oranları, Johansen Koentegrasyon Testi, Varyans Ayrıştırması

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