AN EXAMINATION ON VOLATILITY SPILLOVER EFFECT BETWEEN THE STOCK MARKETS: THE CASE OF CHINA, RUSSIA AND TURKEY

Yıl 2020, , 249 - 264, 31.12.2020

Fatih Yiğit , Musa Atgür

https://doi.org/10.11611/yead.729896

Öz

Today, with the liberalization of international capital flows, the free orientation of savings and funds to the capital markets that will generate the highest return has made different financial markets interactive. After the most recent 2008 global financial crisis, fluctuations in stock markets brought discussions on the international finance structure. This study examines the volatility spillover from China and Russia stock markets to Turkish stock market. In this context, the period between January 1, 2009 and August 9, 2017 is examined with daily data, and the dynamic conditional correlation multivariate GARCH (DCC-MGARCH) model is applied. Stock market price index data of all three countries (BIST, SHANGAI, RTS) is used for modelling. Results indicate the presence of volatility spillover from China and Russia stock markets to Turkish stock market.

Anahtar Kelimeler

Stock Markets, Volatility Spillover, DCC-MGARCH

HİSSE SENEDİ PİYASALARI ARASINDA OYNAKLIK YAYILIMI ETKİSİ ÜZERİNE BİR İNCELEME: ÇİN, RUSYA VE TÜRKİYE ÖRNEĞİ

Öz

Uluslararası sermaye akımlarının serbestleştirilmesi ile birlikte günümüzde, tasarruf ve fonların en yüksek getiriyi sağlayacak sermaye piyasalarına serbestçe yönelmesi, farklı finansal piyasaları birbiriyle etkileşimli hale getirmiştir. En son gerçekleşen 2008 küresel finans krizi sonrasında, hisse senedi piyasalarında yaşanan dalgalanmalar uluslararası finansal yapıya yönelik tartışmaları da beraberinde getirmiştir. Bu çalışma, Çin ve Rusya hisse senedi piyasalarından Türkiye hisse senedi piyasasına oynaklık yayılımını incelemektedir. Bu kapsamda, günlük veriler ile 1 Ocak 2009 ve 9 Ağustos 2017 dönemi incelenmiş, dinamik koşullu çok değişkenli GARCH (DCC-MGARCH) modeli kullanılmıştır. Modelleme için her üç ülkenin hisse senedi piyasası fiyat endeksi (BIST, SHANGAI, RTS) verileri kullanılmıştır. Sonuçlar, Çin ve Rusya hisse senedi piyasalarından Türkiye hisse senedi piyasasına doğru oynaklık yayılımının varlığını işaret etmektedir.

Anahtar Kelimeler

Hisse Senedi Piyasaları, Oynaklık Yayılımı, DCC-MGARCH

Kaynakça

• Abbas, Q, Khan, S ve Shah, S. Z. A. (2013) “Volatility transmission in regional asian stock markets”, Emerging Markets Review, 16: 66-77.
• Abou-Zaid, A. S. (2011) “Volatility spillover effects in emerging MENA stock markets”, International Review of Applied Economics, 7(1-2): 107-127.
• Andrikopoulos, A., Samitas, A. ve Kougepsakis, K. (2014) “Volatility transmission across currencies and stock markets: GIIPS in crisis”, Applied Financial Economics, 19(24): 1261-1283.
• Bayramoğlu, F. M. ve Abasız, T. (2017) “Gelişmekte olan piyasa endeksleri arasında volatilite yayılım etkisinin analizi”, Muhasebe ve Finansman Dergisi, 74: 183-200.
• Cardona L., Gutiérrez M. ve Agudelo, D.A. (2017) “Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis”, Research in International Business and Finance, 39: 115–127.
• Chiou, I. (2011) “The volatility transmission of stock returns across Asia, Europe, and North America”, Managerial Finance, 37(5): 442-450.
• Chow, H. K. (2017) “Volatility spillovers and linkages in Asian stock markets”, Emerging Markets Finance and Trade, 53(12): 2770-2781.
• Dania, A. ve Malhotra, D. K. (2014) “Transmission of U.S. stock market implied volatility to equity markets of emerging markets”, The Journal of Wealth Management, 17(2): 45-54.
• Engle, R. (2002) “Dynamic conditional correlation: A simple class of multivariate GARCH models”, Journal of Business and Economic Statistics, 20(3): 339-350.
• Ezzati, P. (2013) “Analysis of Volatility Spillover Effects Two-Stage Procedure Based on a Modified GARCH-M”, University of Western Australia Discussion Paper 13.29.
• Gamba-Santamaria, S., Gomez-Gonzalez, J. E., Hurtado-Guarin, J. L. ve Melo-Velandia, L. F. (2017) “Stock market volatility spillovers: Evidence for Latin America”, Finance Research Letters, 20: 207-216.
• Gambhir, J. ve J. Bhandari (2011) “BRIC stock markets: An econometric analysis”, Asia-Pacific Business Review, 7(1): 102-110.
• Gökbulut, R. İ. (2017) “An empirical analysis of volatility transmission between BIST and international stock markets”, Ekonomik ve Sosyal Araştırmalar Dergisi, 13(1): 141-159.
• Gupta, D. ve Kamilla, U. (2015) “Dynamic linkages between implied volatility indices of developed and emerging financial markets: An econometric approach”, Global Business Review, 16(5): 46-57.
• Güloğlu B., Kaya, P. ve Aydemir, R. (2016) “Volatility yransmission among Latin American stock markets under structural breaks”, Physica A: Statistical Mechanics and Its Applications, 462: 330-340.
• Hung, N. T. (2019) “Return and volatility spillover across equity markets between China and Southeast Asian countries”, Journal of Economics, Finance and Administrative, 24(47): 66-81.
• Joshi, P. (2011) “Return and volatility spillovers among Asian stock markets”, Sage Open Journal, 1(1): 1-8
• Ke, J., Wang, L. ve Murray, L. (2010) “An empirical analysis of the volatility spillover effect between primary stock markets abroad and Chin”, Journal of Chinese Economic and Business Studies, 8(3): 315-333.
• Kim, J. Y., Kim, J. ve Kim, S. B. (2010) “Transmission of stock prices and volatility from the influential major markets on the emerging market: A case study of the Korean stock market”, Global Economic Review, 39(3): 247-268.
• Korkmaz, T. ve Çevik, E. İ. (2009) “Volatility spillover effect from volatility implied index to emerging markets”, Journal of BRSA Banking and Financial Markets, 3(2): 87-106.
• Mitra, I. ve Iyer, V. (2017) “Transmission of volatility across Asia-Pacific stock markets: Is there a pattern?”, IIM Kozhikode Society & Management Review, 6(1): 42-54.
• Nishimura, Y. ve Men, M. (2010) “The paradox of China’s international stock market co-movement evidence from volatility spillover effects between China and G5 stock markets”, Journal of Chinese Economic and Foreign Trade Studies, 3(3): 235-253.
• Palamalai, S., Kalaivani, M. ve Devakumar, C. (2013) “Stock market linkages in emerging Asia-Pacific markets”, SAGE Open, 3(4): 1-15.
• Rivas, A., Rahul, V., Rodriguez, A. ve P. Verma (2008) “International transmission mechanism of stock market volatilities”, Latin American Business Review, 9(1): 33-68.
• Roni, B., Abbas, G. ve Wang, S. (2018) “Return and volatility spillover effects: Study of Asian emerging stock markets”, Journal of Sytems Science and Inflation, 6(2): 97-119.
• Shamiri, A ve Isa, Z. (2010) “Volatility transmission: what do Asia-Pacific markets expect?”, Studies in Economics and Finance, 27(4): 299-313.
• Sinha, P. ve Sinha, G. (2010) “Volatility spillover in India, USA and Japan Investigation of Recession Effects”, MPRA Working Paper, 21873.
• Thakolsri, S., Serthapramote, Y. ve Jiranyakul, K. (2016) “Implied volatility transmissions between Thai and selected advanced stock markets”, MPRA Working Paper, 35908.
• Vladimirova, E. (2018) “Volatility spillover effects: Evidence from emerging markets”, OSUVA Open Science.