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GELİŞMEKTE OLAN PİYASALARDA VOLATİLİTENİN CHARMA İLE MODELLENMESİ: TÜRKİYE ÖRNEĞİ

Modelıng Volatılıty In Emergıng Markets By Usıng Charma: Turkısh Case

Journal Name:

  • Yönetim ve Ekonomi Araştırmaları Dergisi

Publication Year:

  • 2008

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
The aim of this study is to show Conditional Heteroskedastic Autoregressive Moving Average (CHARMA) model can be used modeling volatility in emerging markets. Turkish Stock market data is used in the study. Seasonal anomalies, economic crises (1994 crisis, Russia crisis, 2001 crisis) and trading volume change are also considered in the study. The results show that while returns are high on Friday and low on Monday, volatility is high on Monday and in crises periods but it is low in summer time. Trading volume change affects both returns and volatility positively. Results also show that volatility of stock returns in Istanbul Stock Exchange (ISE) depends on interactions between first two lagged deviations from average return.
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Abstract (Original Language): 
Bu çalışmanın amacı Koşullu Heteroskedastik Hareketli Ortalama(CHARMA) modelinin gelişmekte olan bir piyasa olan İMKB'nin getiri volatilitesinin modellemesinde kullanılabileceğini göstermektir. Çalışmada İMKB endeks verileri kullanılmıştır. Takvimsel faktörler, iktisadi krizler(1994 krizi, Rusya krizi, 2001 krizi) ve logaritmik işlem hacmi değişiminin etkileri de modelde incelenmiştir. Sonuçlar hisse senedi getirilerinin Cuma günü yüksek, pazartesi günü düşük olduğunu göstermektedir. Ayrıca getiri volatilitelerinin pazartesi günleri ve kriz periyotlarında yüksek, yaz döneminde düşük olduğu belirlenmiştir. İşlem hacmi değişimi hem getirileri hem de volatiliteyi pozitif yönde etkilemektedir. Çalışmada elde edilen önemli sonuçlardan biri de volatilitenin getiri sapmalarının ilk iki gecikmesi arasındaki etkileşime bağlı olduğu bulgusudur.
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  • 1
53-62
  • Turkish

REFERENCES

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