Hisse Senedi Piyasalarında Finansal Bağlantılılık Analizi

Yıl 2018, Cilt: 2 Sayı: 1, 73 - 86, 31.07.2018

Onur Polat

https://doi.org/10.30586/pek.411538

Cited By: 6

Öz

Ülkeler arası finansal bağlantılılık nedeniyle,
finansal istikrarsızlık/çalkantı dönemlerinin bulaşıcı etkileri hızla
yayılabilmektedir. Bu durum, küresel finansal piyasalar arası bağlantılılığın
ölçülebilmesi ve anlaşılabilmesinin önemine işaret etmektedir. Bu çalışma,
Diebold ve Yılmaz (2009, 2012) metodolojilerini kullanarak 9 ülke (G-7, Norveç
ve Türkiye) finansal sistemleri arasındaki bağlantılılığı araştırmaktadır. Ek
olarak, toplam yayılma endeksinin 200-günlük kayan pencerelerdeki dinamiği
bilinen finansal stres olaylarıyla verilmektedir.

Anahtar Kelimeler

Finansal Bağlantılılık, Finansal Bulaşıcılık, Yayılma Tablosu, Toplam Yayılma Endeksi

Kaynakça

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