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Günümüz koşulları altında yatırımcıların karar verebilmesi için risk ve getiri arasındaki ilişkiyi ön planda tutması gerekmektedir. Volatilite riskin bir boyutunu ölçerken, diğer taraftan ise değişken veya değişkenlerin ortalamaya göre nasıl değiştiğini gösteren bir durumdur. Finansal piyasalar için risk çok önemli bir durumdur ve volatiliteye etki eden birçok faktör bulunmaktadır. Bu faktörler risk yönetimi ve yatırım kararı için volatilite modellemesi oldukça önemlidir. Küreselleşme ile birlikte volatilite de önem kazanmıştır. Çalışmanın temel amacı petrol ile E7 ülkelerin borsaları arasındaki getiri yayılımını incelemektir. 16.01.2005 – 24.10.2021 dönemine ait haftalık veriler getiri serisine dönüştürülerek kullanılmıştır. Petrol ile E7 ülkelerin borsaları arasındaki getiri yayılımı çok değişkenli GARCH modellerinden CCC-GARCH modeli ile analiz edilmiştir. CCC-GARCH modelinden elde edilen bulgulara göre Petrol, Türkiye, Brezilya, Endonezya, Rusya, Hindistan, Çin ve Meksika borsalarından volatilite kümelemesi oluştuğu saptanmıştır. Petrol ile Türkiye, Brezilya, Hindistan ve Meksika borsaları arasında çift yönlü volatilite etkileşimi belirlenmiştir. Petrol ile Endonezya, Rusya ve Çin borsaları arasında tek yönlü volatilite etkileşimi olduğu tespit edilmiştir.
under today's conditions, investors need to keep the relationship between risk and return in the forefront, while measuring a size of volatility risk, on the other hand, it is a condition that shows how variables or variables change according to the average, the risk for financial markets is very important and there are many factors that affect volatility, and volatility model for the decision of risk management and investment, together with the globalization of volatility, the main purpose of the study was to examine the return pedestrian between the exchanges of oil and e7 countries, according to the russian exchanges between 1605 – 241020, and the european exchanges, which have been converted from the model of foreign exchanges to the turkish market, and a multi-faceted oil model of foreign exchanges of the turkish market
Under today's conditions, investors need to prioritize the relationship between risk and return in order to make a decision. While volatility measures one dimension of risk, on the other hand, it is a situation that shows how the variable or variables change according to the mean. Risk is a very important situation for financial markets and there are many factors that affect volatility. Risk is a very important situation for financial markets and there are many factors that affect volatility. These factors are very important in volatility modeling for risk management and investment decision. With globalization, volatility has also gained importance. The main purpose of the study is to examine the return spread between oil and the stock markets of E7 countries. Weekly data for the period 16.01.2005 – 24.10.2021 were used by converting them into return series. The return spread between oil and the stock markets of E7 countries was analyzed with the CCC-GARCH model, one of the multivariate GARCH models. According to the findings obtained from the CCC-GARCH model; It has been determined that volatility clusters are formed from oil, Turkey, Brazil, Indonesia, Russia, India, China and Mexico stock markets. Two-way volatility interaction has been determined between oil and Turkey, Brazil, India and Mexico stock markets. It has been determined that there is a one-way volatility interaction between oil and Indonesia, Russia and China stock markets.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Uluslararası
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