Cilt 8 Sayı 2 (2020): Business & Management Studies: An International Journal
Makaleler

TÜRKİYE, İTALYA, YUNANİSTAN VE RUSYA MENKUL KIYMET PİYASALARINDA VOLATİLİTE YAYILIMI ETKİSİNİN İNCELENMESİ

Murat BERBEROĞLU
Dr. Öğr. Üyesi, Artvin Çoruh Üniversitesi

Yayınlanmış 2020-06-25

Anahtar Kelimeler

  • Volatility Spillover Effect, Financial Markets, Stock Market, VAR-MGARCH-Diagonal VECH Analysis
  • Volatility Yayılım Etkisi Finansal Piyasalar Menkul Kıymetler Borsası VAR-MGARCH-Diagonal VECH Analizi

Nasıl Atıf Yapılır

BERBEROĞLU, M. (2020). TÜRKİYE, İTALYA, YUNANİSTAN VE RUSYA MENKUL KIYMET PİYASALARINDA VOLATİLİTE YAYILIMI ETKİSİNİN İNCELENMESİ. Business & Management Studies: An International Journal, 8(2), 1576–1598. https://doi.org/10.15295/bmij.v8i2.1475

Özet

Bu çalışmada, çeşitli ülkelerin borsalarındaki volatilitenin yayılma etkileri incelenmiştir. Volatilite yayılma etkisi literatürde sıcak hava dalgası ve meteor yağmuru olmak üzere iki şekilde ortaya çıkmaktadır. Bu noktadan hareketle Türkiye, İtalya, Rusya ve Yunanistan'ın borsalarında bu iki etki incelenmiştir. Araştırmada eş bütünleşme, ARCH-LM, VAR ve son olarak VAR-MGARCH analizleri kullanılmıştır. Analiz sonuçlarına göre, Volatilite yayılma etkisinin tüm borsalarda etkili olduğu sonucuna varılmıştır. Ayrıca, kısa vadede ısı dalgası hipotezi etkili olurken süre uzadığında meteor yağmuru hipotezinin daha etkili olduğu belirlenmiştir.

İndirmeler

İndirme verileri henüz mevcut değil.

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