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Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2016 Say: VOL1S1 Alan: BOL

Aycan HEPSA, Buray YAAR AKALI
Trk Finans Piyasasnda lem Gren Bankalar le ABD Finans Piyasas Arasndaki Volatilite Etkileiminin Analizi
 
Bu almann amac Trk finans piyasasnda ilem gren bankalar ile ABD finans piyasas arasndaki volatilite etkileimini analiz etmektir. Borsa stanbulda ilem gren 10 adet bankaya ait hisse senetleri ile New York Borsasna ait 02.01.2009-14.03.2016 dnemini kapsayan gnlk getiri serilerinin kullanld almada, volatilite etkileimin aratrlmas aamasnda ok deikenli GARCH modellerinden olan DCC-GARCH modellerinden yararlanlmtr. Elde edilen ampirik bulgulara gre, New York Borsasnda ve Borsa stanbulda ilem gren banka hisse senetlerinin birounda volatilitenin srekli etkilere sahip olduu ve bu piyasada youn ekilde volatilite kmelenmelerinin olutuu anlalmaktadr. Ayrca New York Borsasnda meydana gelen volatil hareketler, Borsa stanbulda ilem gren bankalarn hisse senetleri volatilitesini arttrmaktadr. Borsa stanbulda ilem gren bankalarn getirileri ile New York Borsas getirileri arasnda zamana bal olarak deien (dinamik) pozitif ynl ve ok gl bir korelasyon ilikisi bulunmaktadr.

Anahtar Kelimeler: Volatilite Etkileimi, New York Borsas, Borsa stanbul, DCC-GARCH modeli


ANALYSIS OF VOLATILITY SPILLOVERS BETWEEN THE BANK STOCKS TRADED IN ISTANBUL STOCK EXCHANGE AND NEW YORK STOCK EXCHANGE
 
The aim of this study is to investigate the volatility spillovers between the bank stocks traded in Istanbul Stock Exchange and New York Stock Exchange. We use daily stock returns of the variables and also use DCC-GARCH models for examining the volatility spillovers the bank stocks traded in Istanbul Stock Exchange and New York Stock Exchange. According to the empirical results, we find out that there exists high volatility clustering in New York Stock Exchange and in most of bank stocks and the volatility has persistent features. Furthermore, an increase in the volatility of New York Stock Exchange also raises the volatility of most of the bank stock traded in Istanbul Stock Exchange. Lastly, there also exists a dynamic, positive and powerful correlation relationship between the returns of New York Stock Exchange and the bank stocks traded in Istanbul Stock Exchange.

Keywords: Volatility Spillovers, New York Stock Exchange, Istanbul Stock Exchange, DCC-GARCH model


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