Abstract
Over the last two decades, Asian economies and
stock exchange markets by attaining a growth rate well above the world average,
have been influential role in the global financial system. Volatility in these markets
directly effect the asset distribution, hedging management and monetary
policies of other financial markets. Consequently, measuring volatility
spillover between these markets has been important for investors, fund manager and policy makers.
The aim of this research
is to investigate the volatility spillover between Asean-5 countries financial markets and
Turkish financial markets including 22 years periods. We use DCC-GARCH model to capture time varying volatility
between these markets. The main contributions of study to the literature is to
provide a evidence of volatility transmission in the Asean-5 countries and
identifies time- varying volatility across Asian stock markets and Turkish
financial markets. Results show that there is a dynamic conditional correlation
relation between Turkish and Asian financial
market.
Keywords
References
- Akel, V. (2015). Kırılgan Beşli Ülkelerinin Hisse Senedi Piyasaları Arasındaki Eşbütünleş- me Analizi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 11(24), 75-96.
- Balli, F., Hajhoj, H. R., Basher, S. A., & Ghassan, H. B. (2015). An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern count- ries. International Review of Economics & Finance, 39, 311-325.
- Bekaert, G., Harvey, C. R., & Lundblad, C. (2005). Does financial liberalization spur growth?. Journal of financial Economics, 77(1), 3-55.
- Bhatti, G. A., Islam, T., & Rehman, A. (2015). Portfolio Diversification in Global Equity Markets and the Role of Global Financial Crisis. Pakistan Journal of Commerce and Social Sciences, 9(1), 69-95.
- Click, R. W., & Plummer, M. G. (2005). Stock market integration in ASEAN after the Asi- an financial crisis. Journal of Asian Economics, 16(1), 5-28.
- Çelik, T., & Boztosun, D. (2010). Türkiye Borsası ile Asya Ülkeleri Borsaları Arasındaki Entegrasyon İlişkisi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 57- 71.
- Darrat, A. F., & Zhong, M. (2002). Permanent and Transitory Driving Forces in the Asian‐ Pacific Stock Markets. Financial Review, 37(1), 35-51.
- Diaz, J. F., Tan, G. L., & Qian, P. Y. (2015). Return and Volatility Transmissions in Asia’s Top Emerging Economies. Euro-Asian Journal of Economics and Finance, 3(3), 125-132. Engle, R. F., & Susmel, R. (1993). Common volatility in international equity markets. Jour- nal of Business & Economic Statistics, 11(2), 167-176.
- Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generali- zed autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350.
- Eun, C. S., & Shim, S. (1989). International transmission of stock market movements. Journal of financial and quantitative Analysis, 24(02), 241-256.
- Evlimoğlu, U. ve F. Çondur (2012). İMKB ile Bazı Gelişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Karşılıklı Bağlantıların Küresel Kriz Öncesi ve Sonrası Dönem için İncelenmesi. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. No. 1, 31-58. Hsien-Yi, L. E. E. (2011). Contagion in International Stock Markets During the sub Prime Mortgage Crisis. Review of Economic and Business Studies.
- Hui, T. K. (2005). Portfolio diversification: a factor analysis approach. Applied Financial Economics, 15(12), 821-834.
- Lean, H. H., & Teng, K. T. (2013). Integration of world leaders and emerging powers into the Malaysian stock market: A DCC-MGARCH approach. Economic Modelling, 32, 333- 342.
- Lin, W. L., Engle, R. F., & Ito, T. (1994). Do bulls and bears move across borders? Inter- national transmission of stock returns and volatility. Review of Financial Studies, 7(3), 507-538.
- Liu, Y. A., & Pan, M. S. (1997). Mean and volatility spillover effects in the US and Paci- fic-Basin stock markets. Multinational Finance Journal, 1(1), 47-62.
- Lupu, I. (2012). The Theory of International Financial Contagion. Financial Studies, 4(58), 35-42.
- Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
- Mitra, A., & Iyer, V. (2015). Transmission of Volatility Across Asia-Pacific Stock Markets: Is There a Pattern?. Available at SSRN 2565468.
- Padhı, P., & Lagesh, M. (2012). Volatılıty Spıllover And Tıme-Varyıng Correlatıon Among The Indıan, Asıan And Us Stock Markets. Journal Of Quantitative Economics, 10(2).
- Pana, E., & Nguyen. T. (2014). Financial Integration and Diversification Benefits:China and ASEAN4 Countries. In Midwest Finance Association Annual Meeting Paper.
- Siddiqui, S. (2009). Examining associations between S&P CNX Nifty and selected Asian & US stock markets. The Journal of Business Perspective, 13(1), 19-30.
- Singh, A., & Kaur, P. (2015). Stock Market Linkages: Evidence From the US, China and India During the Subprime Crisis. Timisoara Journal of Economics and Business, 8(1), 137-162.
- Yang, J., Kolari, J. W., & Min, I. (2003). Stock market integration and financial crises: the case of Asia. Applied Financial Economics, 13(7), 477-486.
- Yilmaz, K. (2010). Return and volatility spillovers among the East Asian equity markets. Journal of Asian Economics, 21(3), 304-313.
Abstract
20 yılı aşkın süredir, Asya ekonomileri ve
borsaları dünya ortalamasının üstünde büyüme oranları ile dikkat çekmekte ve
küresel finansal sistemde etkili rol oynamaktadır. Söz konusu ülkelerin
borsalarındaki volati- lite, diğer ülkelerin varlık dağılımlarını, hedging
yönetimi ve para politikalarını doğrudan etkilemektedir. Dolayısıyla Asya
ülkeleri ile diğer ülke borsaları arasındaki volatilite etkileşimini tespit
etmek yatırımcılar, fon yöneticileri ve politika yapıcılar açısından önem arz
etmektedir. Bu çalışmanın amacı Asya -5’lisi ülke- ler ile Türkiye finansal
piyasaları arasındaki risk transferini 22 yıllık dönem için analiz etmektir.
Çalışmada yöntem olarak DCC-GARCH
modeli kullanılmış ve zamana bağlı değişen volatilite böylece tespit edilmiştir. Çalışmanın literatüre katkısı Asya borsaları
ile Türkiye borsası
arasında volatilite etkileşimini açığa çıkarma- sıdır. Sonuç olarak Asya borsaları ve
Borsa İstanbul arasında dinamik koşullu korelasyon ilişkisinin olduğu ve
borsaların birbirlerine olan etkilerinin zamana bağlı olarak değiştiği tespit edilmiştir.
References
- Akel, V. (2015). Kırılgan Beşli Ülkelerinin Hisse Senedi Piyasaları Arasındaki Eşbütünleş- me Analizi. Uluslararası Yönetim İktisat ve İşletme Dergisi, 11(24), 75-96.
- Balli, F., Hajhoj, H. R., Basher, S. A., & Ghassan, H. B. (2015). An analysis of returns and volatility spillovers and their determinants in emerging Asian and Middle Eastern count- ries. International Review of Economics & Finance, 39, 311-325.
- Bekaert, G., Harvey, C. R., & Lundblad, C. (2005). Does financial liberalization spur growth?. Journal of financial Economics, 77(1), 3-55.
- Bhatti, G. A., Islam, T., & Rehman, A. (2015). Portfolio Diversification in Global Equity Markets and the Role of Global Financial Crisis. Pakistan Journal of Commerce and Social Sciences, 9(1), 69-95.
- Click, R. W., & Plummer, M. G. (2005). Stock market integration in ASEAN after the Asi- an financial crisis. Journal of Asian Economics, 16(1), 5-28.
- Çelik, T., & Boztosun, D. (2010). Türkiye Borsası ile Asya Ülkeleri Borsaları Arasındaki Entegrasyon İlişkisi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 57- 71.
- Darrat, A. F., & Zhong, M. (2002). Permanent and Transitory Driving Forces in the Asian‐ Pacific Stock Markets. Financial Review, 37(1), 35-51.
- Diaz, J. F., Tan, G. L., & Qian, P. Y. (2015). Return and Volatility Transmissions in Asia’s Top Emerging Economies. Euro-Asian Journal of Economics and Finance, 3(3), 125-132. Engle, R. F., & Susmel, R. (1993). Common volatility in international equity markets. Jour- nal of Business & Economic Statistics, 11(2), 167-176.
- Engle, R. (2002). Dynamic conditional correlation: A simple class of multivariate generali- zed autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20(3), 339-350.
- Eun, C. S., & Shim, S. (1989). International transmission of stock market movements. Journal of financial and quantitative Analysis, 24(02), 241-256.
- Evlimoğlu, U. ve F. Çondur (2012). İMKB ile Bazı Gelişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Karşılıklı Bağlantıların Küresel Kriz Öncesi ve Sonrası Dönem için İncelenmesi. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. No. 1, 31-58. Hsien-Yi, L. E. E. (2011). Contagion in International Stock Markets During the sub Prime Mortgage Crisis. Review of Economic and Business Studies.
- Hui, T. K. (2005). Portfolio diversification: a factor analysis approach. Applied Financial Economics, 15(12), 821-834.
- Lean, H. H., & Teng, K. T. (2013). Integration of world leaders and emerging powers into the Malaysian stock market: A DCC-MGARCH approach. Economic Modelling, 32, 333- 342.
- Lin, W. L., Engle, R. F., & Ito, T. (1994). Do bulls and bears move across borders? Inter- national transmission of stock returns and volatility. Review of Financial Studies, 7(3), 507-538.
- Liu, Y. A., & Pan, M. S. (1997). Mean and volatility spillover effects in the US and Paci- fic-Basin stock markets. Multinational Finance Journal, 1(1), 47-62.
- Lupu, I. (2012). The Theory of International Financial Contagion. Financial Studies, 4(58), 35-42.
- Markowitz, H. (1952). Portfolio selection. The journal of finance, 7(1), 77-91.
- Mitra, A., & Iyer, V. (2015). Transmission of Volatility Across Asia-Pacific Stock Markets: Is There a Pattern?. Available at SSRN 2565468.
- Padhı, P., & Lagesh, M. (2012). Volatılıty Spıllover And Tıme-Varyıng Correlatıon Among The Indıan, Asıan And Us Stock Markets. Journal Of Quantitative Economics, 10(2).
- Pana, E., & Nguyen. T. (2014). Financial Integration and Diversification Benefits:China and ASEAN4 Countries. In Midwest Finance Association Annual Meeting Paper.
- Siddiqui, S. (2009). Examining associations between S&P CNX Nifty and selected Asian & US stock markets. The Journal of Business Perspective, 13(1), 19-30.
- Singh, A., & Kaur, P. (2015). Stock Market Linkages: Evidence From the US, China and India During the Subprime Crisis. Timisoara Journal of Economics and Business, 8(1), 137-162.
- Yang, J., Kolari, J. W., & Min, I. (2003). Stock market integration and financial crises: the case of Asia. Applied Financial Economics, 13(7), 477-486.
- Yilmaz, K. (2010). Return and volatility spillovers among the East Asian equity markets. Journal of Asian Economics, 21(3), 304-313.
Details
| Journal Section | Articles |
|---|---|
| Authors | |
| Publication Date | November 6, 2016 |
| Published in Issue | Year 2016 ICEBSS Special Issue |
Cite
Dergimiz EBSCOhost, ULAKBİM/Sosyal Bilimler Veri Tabanında, SOBİAD ve Türk Eğitim İndeksi'nde yer alan uluslararası hakemli bir dergidir.