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Avrasya Ekonometri �statistik ve Ampirik Ekonomi DergisiYl:2021 Say: 19 Alan: Nicel Karar Yntemleri

Sreyya MRE
TRKYE BORSASI LE GELM VE GELMEKTE OLAN LKE BORSALARI ARASINDAK VOLATLTE YAYILIMININ ANALZ
 
Uluslararas borsalarn birbirini etkileme gcn tespit etmek amacyla Trkiye Borsas ile gelimi ve gelimekte olan lkelerin borsalar arasndaki volatilite yaylm 24.03.2015-21.04.2021 tarihlerine ait gnlk veriler kullanlarak aratrlmtr. Analizde ok deikenli GARCH modelleri snfnda deerlendirilen DCC-GARCH modeli kullanlmtr. Elde edilen bulgulara gre BIST100 volatilitesi ile IDX ve MOEX volatilitesi arasnda karlkl volatilite etkileimi bulunamamtr. BIST100 ile NSE30, CAC40, DAX arasnda tek ynl volatilite etkileimi bulunurken BIST100 ile DJIA ve NIFTY50 borsalar arasnda ise ift ynl volatilite etkileimi bulunmutur.

Anahtar Kelimeler: Trkiye Borsas, Gelimi ve Gelimekte Olan lke Borsalar, ok Deikenli GARCH Modelleri


ANALYSIS OF VOLATILITY SPILLOVER BETWEEN TURKEY EXCHANGE AND DEVELOPED AND DEVELOPING COUNTRY EXCHANGES
 
The volatility spread between the Turkish Stock Exchange and the stock markets of developed and developing countries was investigated using daily data from 24.03.2015-21.04.2021 in order to determine the power of international stock exchanges to influence each other. In the analysis, DCC-GARCH model evaluated in the multivariate GARCH models class was used. According to the findings, no mutual volatility spillover was found between BIST100 volatility and IDX and MOEX volatility. One-way volatility spillover was found between BIST100 and NSE30, CAC40, DAX, while bidirectional volatility spillover was found between BIST100 and DJIA and NIFTY50 exchanges.

Keywords: Turkey Stock Exchange, Developed and Developing Country Stock Exchanges, Multivariate GARCH Models


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