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Çalışmanın amacı gelişmiş ve gelişmekte olan piyasa ekonomilerinin yer aldığı 19 ülkeye ait hisse senedi endekslerinde Ocak 2000 ve Haziran 2019 dönemi arasında oynaklık ve getiri yayılmalarının incelenmesi ve bulguların Türk hisse senedi piyasası (Borsa İstanbul) özelinde yorumlanmasıdır. Çalışmada Diebold ve Yılmaz (2009) yayılma endeksi yöntemi kullanılmış ve sonuç olarak ABD ve İngiltere’nin yayılım etkisinin en yüksek olduğu ülkeler olduğu bulunmuştur. Öte yandan, Türkiye’ye gelen ve Türkiye’den diğer ülkelere giden net yayılım etkisinin diğer ülkelere kıyasla yüksek seviyelerde olmadığı görülmektedir. Türkiye’de hisse senedi piyasası getirileri ve fiyat oynaklıkları çoğunlukla kendi iç şoklarından kaynaklanmaktadır. Son olarak, finansal stresin yüksek olduğu Mortgage krizi, Lehman Brothers iflası, Brexit referandumu gibi küresel olaylarda toplam yayılımın arttığı sonucuna ulaşılmıştır. Anahtar Kelimeler: Hisse Senedi Piyasası, Finansal Bulaşma, Oynaklık Yayılımı, Varyans Ayrıştırması, Finansal Kriz JEL Sınıflandırması: E44, F36, G11, G15
The aim of the study is to study the spread of gambling and return in the stock index of 19 countries where developed and developing market economies are involved between January 2000 and June 2019 and to interpret the findings in the Turkish stock market (Borsa Istanbul) specifically. The study used the diffusion index method Diebold and Yılmaz (2009) and found that the results were the countries with the highest diffusion impact of the United States and the UK. On the other hand, the net spread effect coming to Turkey and from Turkey to other countries is not seen at a higher level compared to other countries. In Turkey, stock market revenue and price scores are mostly due to their own internal shocks. Finally, the result was that the overall spread in global events such as Mortgage crisis, Lehman Brothers bankruptcy, Brexit referendum, where financial stress was high, increased. Keywords: Stock Market, Financial Influence, Game Distribution, Variance Division, Financial Crisis JEL Classification: E44, F36, G11, G15
The purpose of this study is to examine the volatility and return spillover effect in the stock indices of 19 developed and developing market economies during the period between January 2000 and June 2019, and it is also aimed to examine the findings specifically for Turkish stock exchange market (Borsa Istanbul). In the study, spillover index method of Diebold and Yılmaz (2009) is used and as a result, it is found that the USA and the UK have the highest spillover effect among other countries. On the other hand, the net effect spillover from Turkey to other and from other countries to Turkey are not at their high levels compared to others. In Turkey, return on equity markets and price volatility stems mainly from its internal shocks. Finally, it has been concluded that total spillover has increased in the crucial global events such as Mortgage crisis, Lehman Brothers bankruptcy, and Brexit referendum where financial stress is at its highest level. Key Words: Equity Market, Financial Contagion, Volatility Spillover, Variance Decomposition, Financial Crisis JEL Classification: E44, F36, G11, G15
Journal Type : Ulusal
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