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Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2017 Say: 8 Alan: statistik-Saysal Yntemler-Ekonometri

zlem Gkta
ALTIN BORSASI LE G-7 LKE BORSALARI ARASINDAK VOLATLTE ETKLEM
 
Bu almann amac, altn borsas ile G-7 lke borsalar arasndaki volatilite etkileiminin ve aktarmnn aratrlmasdr. Bu kapsamda altn fiyat endeksi ile G-7 lke borsalar endeksleri arasndaki volatilite etkileimini aratrmak iin ok Deikenli Stokastik Volatilite modellerinden Dinamik Korelasyonlu ok Deikenli Stokastik Volatilite (DC-MSV) modeli kullanlmtr. Gnlk veriler kullanlarak Almanya, ABD, Birleik Krallk, Fransa, talya, Japonya ve Kanada lke borsalarnn fiyat endeksleri ile Altn fiyat endeksi arasndaki volatilite etkileimi ikili yaplar eklinde tahmin edilmitir. ngiltere Borsas hari G-7 lke borsalar ile Altn borsas arasndaki volatilite etkileimi (aktarm) bulunmamaktadr. Buna karlk ngiltere Borsas ile Altn borsas arasndaki volatilite aktarm tek ynl olarak Altn borsasndan ngiltere borsasna doru belirlenmitir.

Anahtar Kelimeler: G-7 lkeleri, Stokastik Volatilite, Volatilite Etkileimi


VOLATILITY TRANSMISSION AMONG G-7 STOCK MARKETS AND GOLD MARKET
 
The aim of the study is to analyze volatility spillover and transmission among the Gold Market and G-7 Stock Markets. Towards to the purpose of the study, volatility spillover among the Gold Market and G-7 Stock Markets is investigated with Dynamic Correlation Multivariate Stochastic Volatility model. Data used for analyze are daily and volatility spillover among the price indices of Canada, France, Germany, Italy, Japan, the United Kingdom and the United States and Gold price index were estimated for dual structures. There is no volatility transmission between the G-7 country Stock Markets and the Gold Market, except for the United Kingdom Stock Market. On the other hand volatility transmission between the United Kingdom Stock Market and Gold market was determined unidirectional from gold market to the United Kingdom stock market.

Keywords: G-7 Countries, Stochastic Volatility, Volatility Spillover


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