Türkiye ve Dünya Hisse Senedi Piyasaları Arasındaki Getiri ve Oynaklık Yayılımlarının Ölçülmesi: Yayılma Endeksi Yaklaşımı

Öz

Çalışmanın amacı gelişmiş ve gelişmekte olan piyasa ekonomilerinin yer aldığı 19 ülkeye ait hisse senedi endekslerinde Ocak 2000 ve Haziran 2019 dönemi arasında oynaklık ve getiri yayılmalarının incelenmesi ve bulguların Türk hisse senedi piyasası (Borsa İstanbul) özelinde yorumlanmasıdır. Çalışmada Diebold ve Yılmaz (2009) yayılma endeksi yöntemi kullanılmış ve sonuç olarak ABD ve İngiltere’nin yayılım etkisinin en yüksek olduğu ülkeler olduğu bulunmuştur. Öte yandan, Türkiye’ye gelen ve Türkiye’den diğer ülkelere giden net yayılım etkisinin diğer ülkelere kıyasla yüksek seviyelerde olmadığı görülmektedir. Türkiye’de hisse senedi piyasası getirileri ve fiyat oynaklıkları çoğunlukla kendi iç şoklarından kaynaklanmaktadır. Son olarak, finansal stresin yüksek olduğu Mortgage krizi, Lehman Brothers iflası, Brexit referandumu gibi küresel olaylarda toplam yayılımın arttığı sonucuna ulaşılmıştır. Anahtar Kelimeler: Hisse Senedi Piyasası, Finansal Bulaşma, Oynaklık Yayılımı, Varyans Ayrıştırması, Finansal Kriz JEL Sınıflandırması: E44, F36, G11, G15

Anahtar Kelimeler

• Hisse Senedi Piyasası
• Finansal Bulaşma
• Oynaklık Yayılımı
• Varyans Ayrıştırması
• Finansal Kriz

Return and Volatility Spillovers Between Turkish and World Equity Markets: Spillover Index Approach

Öz

The purpose of this study is to examine the volatility and return spillover effect in the stock indices of 19 developed and developing market economies during the period between January 2000 and June 2019, and it is also aimed to examine the findings specifically for Turkish stock exchange market (Borsa Istanbul). In the study, spillover index method of Diebold and Yılmaz (2009) is used and as a result, it is found that the USA and the UK have the highest spillover effect among other countries. On the other hand, the net effect spillover from Turkey to other and from other countries to Turkey are not at their high levels compared to others. In Turkey, return on equity markets and price volatility stems mainly from its internal shocks. Finally, it has been concluded that total spillover has increased in the crucial global events such as Mortgage crisis, Lehman Brothers bankruptcy, and Brexit referendum where financial stress is at its highest level. Key Words: Equity Market, Financial Contagion, Volatility Spillover, Variance Decomposition, Financial Crisis JEL Classification: E44, F36, G11, G15

Anahtar Kelimeler

• Equity Market
• Financial Contagion
• Volatility Spillover

Kaynakça

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