PETROL, DOLAR KURU VE HİSSE SENEDİ PİYASASI ARASINDAKİ ORTALAMA-OYNAKLIK YAYILIM ETKİSİ: BIST100 UZERİNE BİR UYGULAMA

Öz

Petrol fiyatlarında ve dolar kurunda meydana gelen dalgalanmalar makroekonomik göstergeleri, firmaların üretim maliyetlerini ve satış gelirlerini etkiler, piyasa risk düzeyini yükseltir ve ekonomik istikrarsızlığa yol açabilir. Dolayısıyla, ekonomideki karar birimlerinin bu iki değişkendeki dalgalanmaları takip etmeleri, riski yönetebilmeleri açısından önem taşımaktadır. Dahası, finansal piyasa katılımcılarının daha iyi portföy dağılım kararları verebilmeleri için söz konusu değişkenler arasındaki oynaklık aktarım mekanizmasını anlamaları gerekmektedir.  Bu çalışmanın amacı, 18.09.2012-15.09.2017 dönemi için petrol fiyatları ve dolar kurundan BIST100 endeksine doğru ortalama ve oynaklık yayılımının etkilerini incelemek ve etki büyüklüğünü petrol fiyatları ve dolar kuru açısından karşılaştırmaktır. Yayılım etkilerini inceleyebilmek amacıyla, oynaklık modellerinden biri olan EGARCH modelinden yararlanılmıştır. Çalışma bulguları dolar kurunda meydana gelen şokların BIST100 endeks getirisini azaltıcı,  petrol fiyatlarındaki şokların ise arttırıcı bir etkiye sahip olduğunu işaret etmektedir. Bulgular oynaklık yayılımı açısından değerlendirildiğinde, dolar kurundan BIST100 endeksine doğru anlamlı pozitif etki görülürken, petrol fiyatlarından BIST100 endeksine doğru istatistiksel olarak anlamlı etki bulunamamıştır. Ek olarak, negatif şokların pozitif şoklara göre BIST100 endeks oynaklığı üzerinde daha etkili olduğu ifade edilebilir. Elde edilen bulgular, finansal piyasa katılımcıları açısından değerlidir.

Anahtar Kelimeler

• Finansal getiriler,Oynaklık yayılım etkisi,Finansal ekonometri

AVARAGE VOLATILITY SPREAD EFFECT BETWEEN THE OIL PRICES, DOLLAR EXCHANGE RATE AND THE STOCK MARKET: AN APPLICATION ON BIST-100

Öz

Fluctuations in oil prices and dollar exchange rates affect macroeconomic indicators, firms' production costs and sales revenues, raise market risk levels and may lead to economic instability. Therefore, it is important for the economic policy makers to follow the fluctuations of these two variables in order to manage the risk. Moreover, it is necessary for financial market participants to understand the mechanism of transfer of volatility between such variables in order to make better portfolio allocation decisions. The aim of this study is to examine the effects of average and volatility spread towards oil prices and dollar index to BIST100 index for the period of 18.09.2012-15.09.2017 and to compare the size of the effects  in terms of oil prices and dollar exchange rate. EGARCH model, one of the volatility models, was used to examine the diffusion effects. The findings of the study indicate that the shocks that occur in the dollar exchange rate have a decreasing impact on the BIST100 index and the oil shocks have an increasing effect. When the findings were evaluated in terms of volatility spillover, there was no statistically significant effect of oil prices on the BIST100 index, while a positive effect is observed in the dollar exchange rate towards the BIST100 index. In addition, positive shocks may be more effective on BIST100 index volatility than negative shocks. These findings are valuable in terms of financial market participants.

Anahtar Kelimeler

• Financial Return,Volatility Spillover Effect,Financial Econometrics

Kaynakça

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