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İMKB’NİN LATİN AMERİKA BORSALARIYLA İLİŞKİSİ ÜZERİNE ÇOK DEĞİŞKENLİ GARCH MODELLEMESİ

Journal Name:

  • İstanbul Üniversitesi Sosyal Bilimler Dergisi

Publication Year:

  • 2010

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
Having financial integration of the emerging markets increases their sensitivity against global economic events. In this sense, the paper aims to estimate the relation between stock exchange markets in Turkey, Argentina and Brazil as being some of the emerging markets. In analyzing the relation with one of the Multivariate GARCH (MGARCH) methods, the findings of cross shock and volatility spillover on these three markets are interpreted. Accordingly, bidirectional shock spillover between ISE and BOVESPA and unidirectional volatiliy spillover from MERVAL to ISE are determined.
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Abstract (Original Language): 
Gelişmekte olan piyasaların finansal bütünleşme içinde olmaları, küresel ekonomik olaylar karşısında duyarlılıklarını artırmaktadır. Bu anlamda çalışmada gelişmekte olan piyasalardan Türkiye, Arjantin ve Brezilya’daki menkul kıymetler borsaları arasındaki ilişki değerlendirilmektedir. İlişkinin analizinde çokdeğişkenli GARCH (MGARCH) yöntemi kullanılarak, üç piyasanın aralarındaki karşılıklı şok ve volatilite saçılımı (volatility spillover) üzerine elde edilen bulgular yorumlanmıştır. Buna göre İMKB ile BOVESPA arasında çift yönlü şok saçılımı, MERVAL’den İMKB’ye tek yönlü volatilite saçılımı tespit edilmiştir.
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  • 1
25-32
  • Turkish

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