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Hisse Senedi Piyasaları Arasında Yayılma Etkisinin Analizi
2024
Journal:  
Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty
Author:  
Abstract:

Bu çalışmada, G-20 ülkelerinin hisse senedi piyasaları arasında yayılma etkisinin olası varlığının tespit edilmesi amaçlanmıştır. Bu amaçla 2 Ocak 1995-29 Ocak 2021 tarihleri arasında günlük hisse senedi kapanış fiyatları kullanılarak, G-20 ülkelerinin hisse senedi piyasaları arasında yayılma etkisinin olası varlığı Hong (2001) tarafından geliştirilen ortalamada ve varyansta nedensellik testi ile araştırılmıştır. Ortalamada nedensellik sonuçlarına göre, ABD, İngiltere, Almanya, Fransa, Kanada, Rusya ve Meksika’dan Türkiye’ye doğru ve Türkiye’den de Çin, Hindistan ve Güney Afrika’ya doğru tek yönlü; Japonya, Avustralya, Güney Kore, Brezilya, Arjantin ve Endonezya ile Türkiye arasında çift yönlü nedensellik ilişkisi tespit edilmiştir. Varyansta nedensellik test sonuçlarına göre ise çalışmada yer alan tüm hisse senedi piyasaları arasında çift yönlü ve güçlü volatilite yayılımı olduğu belirlenmiştir.

Keywords:

The Analysis Of The Spillover Effect Among Stock Markets
2024
Author:  
Abstract:

In this paper, it is aimed to determine the possible existence of spillover effect among the stock markets of G-20 countries. For this purpose, between January 2, 1995 and January 29, 2021, using the daily closing prices, the possible existence of the spillover effect between the stock markets of the G-20 countries was investigated with the causality test in the mean and variance developed by Hong (2001). According to the causality results in mean, it is unidirectional from USA, England, Germany, France, Canada, Russia and Mexico to Turkey and from Turkey to China, India and South Africa; A bidirectional causality relationship was found between Turkey and Japan, Australia, South Korea, Brazil, Argentina and Indonesia. According to the causality test results in variance, it was determined that there was a strong bidirectional volatility spread among all stock markets in the study.

Keywords:

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Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty

Field :   Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

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Article : 469
Cite : 748
2023 Impact : 0.244
Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty