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

Yıl 2020, Cilt: 27 Sayı: 3, 741 - 758, 25.12.2020
https://doi.org/10.18657/yonveek.686545

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

Kaynakça

  • Akça, K. ve Öztürk, S.S. (2016) The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets. International Review of Finance. 16 (1): 169-178.
  • Alfreedi, A.A. (2019) Shocks and Volatility Spillover Between Stock Markets of Developed Countries and GCC Stock Markets, Journal of Taibah University for Science. 13 (1): 112-120.
  • Bayramoğlu, M. F. ve Abasız, T. (2017). Gelişmekte Olan Piyasa Endeksleri Arasında Volatilite Yayılım Etkisinin Analizi. Muhasebe ve Finansman Dergisi. Nisan (2017): 183-200.
  • Beirne, J.; Caporale, G.M.; Schulze-Ghattas, M. ve Spagnolo, N. (2013). Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. Review of International Economics. 21 (5): 1060-1075.
  • Büyükşalvarcı, A. (2010). Ekonomik Krizler ve Portföy Çeşitlendirmesi: İMKB Endeksleri Üzerine Faktör Analizi Uygulaması. Muhasebe ve Finansman Dergisi. (47): 229-243.
  • Chevallier, J., Dguyen, D.G., Siverskog, J. ve Uddin, G.S. (2018). Market Integration and Financial Linkages Among Stock Markets in Pacific Basin Countries. Journal of Empirical Finance. 46 (2018): 77-92.
  • Cronin, D. (2014). The interaction between money and asset markets: A spillover index approach. Journal of Macroeconomics, 39, 185–202.
  • Çelik, İ.; Özdemir, G. ve Gülbahar, S.D. (2018). Gelişmekte olan Ülkelerde Getiri ve Volatilite Yayılımı. Finans Politik ve Ekonomik Yorumlar. 55 (636): 9-24.
  • Demirgil, H. ve Gök, İ.Y. (2014). Türkiye ve Başlıca AB Piyasaları Arasında Asimetrik Volatilite Yayılımı. Yönetim ve Ekonomi Araştırmaları Dergisi. 23 (2014): 315-340.
  • Diebold, F.X. ve Yılmaz, K. (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to to Global Equity Markets. The Economic Journal. 119 (January): 158-171.
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. Special Section 1: The Predictability of Financial Markets, 28(1), 57-66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Dornbusch, R., Park, Y. C. ve Claessens, S. (2000). Contagion: Understanding How It Spreads. The World Bank Research Observer. 15(2): 177-197. Gallati, R. (2003). Risk Management and Capital Adequacy. US: McGraw-Hill.
  • Gamba-Santamaria, S.; Gomez-Gonzalez, J. E.; Hurtado-Guarin, J. L. ve Melo-Velandia, L. F. (2017). Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. Empir Econ. (2019) 56: 1581-1599.
  • Gamba-Santamaria, S.; Gomez-Gonzalez, J. E.; Hurtado-Guarin, J. L. ve Melo-Velandia, L. F. (2017). Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. Empir Econ. (2019) 56: 1581-1599.
  • Garman, M. B., & Klass, M. J. (1980). On the Estimation of Security Price Volatilities from Historical Data. The Journal of Business, 53(1), 67-78. JSTOR.
  • 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.
  • Hung, N.T. (2019). Return and volatility spillover across equity markets between China and Southeast Asian countries. Journal of Economics, Finance and Administrative Science. 24 (47): 66-81.
  • Kırkulak Uludağ, B. ve Ezzat, H. (2017). Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. Journal of Yasar University. 12 (45): 32-47.
  • Longin, F. ve Solnik, B. (2001). Extreme Correlation of International Equity Markets. The Journal of Finance. 56(2): 649-676.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance. 7 (1): 77-91.
  • Özdemir, L. ve Vurur, S. (2019), "Volatility Spillovers Between BIST100 Index and S&P500 Index", Grima, S., Özen, E., Boz, H., Spiteri, J. ve Thalassinos, E. (Ed.) Contemporary Issues in Behavioral Finance (Contemporary Studies in Economic and Financial Analysis, Vol. 101), Emerald Publishing Limited, pp. 29-43.
  • Polat, O. (2018). Hisse Senedi Piyasalarında Finansal Bağlantılılık Analizi. Politik Ekonomik Kuram, 2(1), 73–86.
  • Sahar, N. ve Shah, S.Z.A. (2017). Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries. Journal of Islamic Business and Management. 7 (1): 68-86.
  • Sujan, N. ve Govil, M. (2013). International Diversification – Can It Reduce Systematic Risk? Quest- Journal of Management and Research. 3(2): 81-92.
  • Taşdemir, M. ve Yalaman, A. (2010). Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence from Turkey and Brazil. Turkish Economic Association. Discussion Paper. 2010/8. https://www.researchgate.net/publication/254451592_InterRegional_Volatility_Spillovers_Between_Emerging_Capital_Markets_Evidence_From_Turkey_And_Brazil (accessed: 10.12.2019)
  • Tsai, I.C. (2014). Spillover of Fear: Evidence from the Stock Markets of Five Developed Countries. International Review of Financial Analysis. 33 (2014): 281-288.
  • Yarovaya, L.; Brzeszczyński, J. ve Lau, C.K.M. (2016). Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. International Review of Financial Analysis. 43 (2016): 96-114.
  • Zhou, X., Zhang, W., & Zhang, J. (2012). Volatility spillovers between the Chinese and world equity markets. Pacific-Basin Finance Journal, 20(2), 247–270.

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

Yıl 2020, Cilt: 27 Sayı: 3, 741 - 758, 25.12.2020
https://doi.org/10.18657/yonveek.686545

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

Kaynakça

  • Akça, K. ve Öztürk, S.S. (2016) The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets. International Review of Finance. 16 (1): 169-178.
  • Alfreedi, A.A. (2019) Shocks and Volatility Spillover Between Stock Markets of Developed Countries and GCC Stock Markets, Journal of Taibah University for Science. 13 (1): 112-120.
  • Bayramoğlu, M. F. ve Abasız, T. (2017). Gelişmekte Olan Piyasa Endeksleri Arasında Volatilite Yayılım Etkisinin Analizi. Muhasebe ve Finansman Dergisi. Nisan (2017): 183-200.
  • Beirne, J.; Caporale, G.M.; Schulze-Ghattas, M. ve Spagnolo, N. (2013). Volatility Spillovers and Contagion from Mature to Emerging Stock Markets. Review of International Economics. 21 (5): 1060-1075.
  • Büyükşalvarcı, A. (2010). Ekonomik Krizler ve Portföy Çeşitlendirmesi: İMKB Endeksleri Üzerine Faktör Analizi Uygulaması. Muhasebe ve Finansman Dergisi. (47): 229-243.
  • Chevallier, J., Dguyen, D.G., Siverskog, J. ve Uddin, G.S. (2018). Market Integration and Financial Linkages Among Stock Markets in Pacific Basin Countries. Journal of Empirical Finance. 46 (2018): 77-92.
  • Cronin, D. (2014). The interaction between money and asset markets: A spillover index approach. Journal of Macroeconomics, 39, 185–202.
  • Çelik, İ.; Özdemir, G. ve Gülbahar, S.D. (2018). Gelişmekte olan Ülkelerde Getiri ve Volatilite Yayılımı. Finans Politik ve Ekonomik Yorumlar. 55 (636): 9-24.
  • Demirgil, H. ve Gök, İ.Y. (2014). Türkiye ve Başlıca AB Piyasaları Arasında Asimetrik Volatilite Yayılımı. Yönetim ve Ekonomi Araştırmaları Dergisi. 23 (2014): 315-340.
  • Diebold, F.X. ve Yılmaz, K. (2009). Measuring Financial Asset Return and Volatility Spillovers, with Application to to Global Equity Markets. The Economic Journal. 119 (January): 158-171.
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. Special Section 1: The Predictability of Financial Markets, 28(1), 57-66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Dornbusch, R., Park, Y. C. ve Claessens, S. (2000). Contagion: Understanding How It Spreads. The World Bank Research Observer. 15(2): 177-197. Gallati, R. (2003). Risk Management and Capital Adequacy. US: McGraw-Hill.
  • Gamba-Santamaria, S.; Gomez-Gonzalez, J. E.; Hurtado-Guarin, J. L. ve Melo-Velandia, L. F. (2017). Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. Empir Econ. (2019) 56: 1581-1599.
  • Gamba-Santamaria, S.; Gomez-Gonzalez, J. E.; Hurtado-Guarin, J. L. ve Melo-Velandia, L. F. (2017). Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. Empir Econ. (2019) 56: 1581-1599.
  • Garman, M. B., & Klass, M. J. (1980). On the Estimation of Security Price Volatilities from Historical Data. The Journal of Business, 53(1), 67-78. JSTOR.
  • 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.
  • Hung, N.T. (2019). Return and volatility spillover across equity markets between China and Southeast Asian countries. Journal of Economics, Finance and Administrative Science. 24 (47): 66-81.
  • Kırkulak Uludağ, B. ve Ezzat, H. (2017). Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post- Egyptian Revolution. Journal of Yasar University. 12 (45): 32-47.
  • Longin, F. ve Solnik, B. (2001). Extreme Correlation of International Equity Markets. The Journal of Finance. 56(2): 649-676.
  • Markowitz, H. (1952). Portfolio Selection. The Journal of Finance. 7 (1): 77-91.
  • Özdemir, L. ve Vurur, S. (2019), "Volatility Spillovers Between BIST100 Index and S&P500 Index", Grima, S., Özen, E., Boz, H., Spiteri, J. ve Thalassinos, E. (Ed.) Contemporary Issues in Behavioral Finance (Contemporary Studies in Economic and Financial Analysis, Vol. 101), Emerald Publishing Limited, pp. 29-43.
  • Polat, O. (2018). Hisse Senedi Piyasalarında Finansal Bağlantılılık Analizi. Politik Ekonomik Kuram, 2(1), 73–86.
  • Sahar, N. ve Shah, S.Z.A. (2017). Stock Market Return and Volatility Spillovers: The Case of Selected Muslim Majority Countries. Journal of Islamic Business and Management. 7 (1): 68-86.
  • Sujan, N. ve Govil, M. (2013). International Diversification – Can It Reduce Systematic Risk? Quest- Journal of Management and Research. 3(2): 81-92.
  • Taşdemir, M. ve Yalaman, A. (2010). Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence from Turkey and Brazil. Turkish Economic Association. Discussion Paper. 2010/8. https://www.researchgate.net/publication/254451592_InterRegional_Volatility_Spillovers_Between_Emerging_Capital_Markets_Evidence_From_Turkey_And_Brazil (accessed: 10.12.2019)
  • Tsai, I.C. (2014). Spillover of Fear: Evidence from the Stock Markets of Five Developed Countries. International Review of Financial Analysis. 33 (2014): 281-288.
  • Yarovaya, L.; Brzeszczyński, J. ve Lau, C.K.M. (2016). Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures. International Review of Financial Analysis. 43 (2016): 96-114.
  • Zhou, X., Zhang, W., & Zhang, J. (2012). Volatility spillovers between the Chinese and world equity markets. Pacific-Basin Finance Journal, 20(2), 247–270.
Toplam 28 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Zeliha Can Ergün 0000-0003-3357-9859

Can Karabıyık 0000-0002-7255-7946

Yayımlanma Tarihi 25 Aralık 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 27 Sayı: 3

Kaynak Göster

APA Can Ergün, Z., & Karabıyık, C. (2020). Türkiye ve Dünya Hisse Senedi Piyasaları Arasındaki Getiri ve Oynaklık Yayılımlarının Ölçülmesi: Yayılma Endeksi Yaklaşımı. Yönetim Ve Ekonomi Dergisi, 27(3), 741-758. https://doi.org/10.18657/yonveek.686545