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Çalışmada, Borsa İstanbul Endeksi (BİST-100) ile JP Morgan Gelişmekte Olan Ülkeler Tahvil Endeksi - Index Global (EMBI), Dow Jones Borsası Endüstri Endeksi (DJI), Amerikan Dolar Endeksi (DXY), Chicago Opsiyon Borsası Oynaklık Endeksi-CBOE (VIX) ve ham petrol fiyatlarını temsilen Brent Petrol (BrP) volatilite etkileşimi incelenmiştir. Veriler, 30.09.2009-05.07.2018 dönemine ait günlük getiri serileri olup, ekonometrik model olarak çok değişkenli GARCH (Genelleştirilmiş Otoregresif Koşullu Değişen Varyans) modellerinden zamana bağlı değişen korelasyonu dikkate alan DCC-GARCH modeli kullanılmıştır. Bulgular, BİST-100 ve ele alınan değişkenler arasında volatilitenin sürekli etkilere sahip olduğunu ve bu piyasalarda yoğun şekilde volatilite kümelenmelerinin oluştuğunu göstermektedir. Ham Petrol ve EMBI volatilitesi BİST-100 endeks volatilitesini azaltırken diğer değişkenlerdeki volatiliteler, BİST-100 endeksindeki volatiliteyi arttırmaktadır. Ayrıca, DXY, BİST-100 endeksi volatilitesini en çok etkileyen değişken olduğu söylenebilir.
In the study, the Stock Exchange Istanbul Index (BIST-100) and JP Morgan Developing Countries Bond Index - Index Global (EMBI), Dow Jones Stock Exchange Industry Index (DJI), American Dollar Index (DXY), Chicago Option Exchange Playing Index-CBOE (VIX) and Brent Petroleum (BrP) volatility interaction represented the prices of crude oil. The data is a daily return series of the period 30.09.2009-05.07.2018 and the DCC-GARCH model is used as an econometric model, taking into account the time-related variable correlation from the multi-variable GARCH (Generated Otoregressive Conditional Variant) models. The findings show that the volatility between BIST-100 and the variables addressed has continuous effects and that the volatility accumulations in these markets are intense. The volatility of raw oil and EMBI reduces the volatility of the BIST-100 index while the volatility of other variables increases the volatility of the BIST-100. In addition, it can be said that DXY is the variable that most affects the BIST-100 index volatility.
In this study, volatility spillovers analyzed between Istanbul Stock Market Index (BİST-100) and JP Morgan Emerging Markets Bond Index - Index Global (EMBI), Dow Jones Global Indexes (DJI), American Dollar Index (DXY), Chicago Board Options Exchange SPX Volatility Index (VIX) and Brent Oil (BrP) representing crude oil prices. The data are the daily return series in the period of 30.09.2009-05.07. 2018 and as an econometric model, DCC-GARCH model employed which takes into account the time-varying correlation of the multivariate GARCH (Generalized Autoregressive Conditional Heteroscedastic). Empirical results show that volatility has persistent features and there exists high volatility clustering in BIST-100 and in variables that are included in the study as global financial market indicators. While Crude oil (BrP) and EMBI volatility leads to reduce BIST-100 index volatility, other variables volatilities raise volatility in BIST-100 index. Furthermore, DXY volatility is the most significant variable on the volatility of BIST-100 index.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Ulusal
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