HİSSE SENEDİ PİYASALARINDA GETİRİ VE VOLATİLİTE YAYILIMI: 1996’DAN BUGÜNE BİR LİTERATÜR TARAMASI

Globalleşen dünyada finansal sınırların kalkmasıyla birlikteuluslararası yatırımlar artmış ve dünya piyasaları birbirlerini hem etkilemiş hemde birbirlerinden etkilenmişlerdir. Bu da hisse senedi piyasalarında getiri vevolatilite oynaklığına sebep olmuş dolayısıyla yatırımcıların alacaklarıkararlar üzerinde önemli bir etkiye sahip olmuştur. Bu çalışmada yatırımcılaraçısından son derece önemli olan getiri ve volatilite yayılımı üzerine yapılançalışmalar 1996 yılından itibaren bir araya toplanarak finans bilgisikullanıcılarına yol gösterilmeye çalışılmıştır.

RETURNS AND VOLATILITY SPİLLOVER IN THE STOCK MARKET: A LITERATURE REVIEW FROM 1996 TO PRESENT

Increased international investment together with the removalof the financial limits in the globalized world are influenced by globalmarkets each other and both have influenced each other. This makes led to returnand volatility in the stock market and has had a significant impact on thedecisions taken by the investor. In This study, which is extremely important interms of investors returns and volatility spread collected together since 1996,it has tried to show the way users of financial information.

Kaynakça

Alemdar, Aytaç (2010), “İmkb Endeksinde Oynaklığın Ekonometrik Olarak Modellenmesi Ve İmkb İle Bazı Uluslar Arası Borsa Endeksleri Arasındaki İlişkiler”, Gazi Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.

Abou-Zaid, Ahmed S. (2011), “Volatility Spillover Effects in Emerging Mena Stock Markets”, Review of Applied Economics, Vol. 07, No. 1-2

Bekaert, Geert-Harvey, Campbell R. (1995), “Emerging Equity Market Volatility”, Journal of Financial Economics, Vol. 43, (29-77).

Bala, Lakshmi Bala-Premaratne, Gamini (2004), “Stock Market Volatility: Examining North America, Europe and Asia”, In Far Eastern Meeting of the Econometric Society, No. 479.

Baur, Dirk G.-Fry, Renée A. (2009), “Multivariate Contagion and Interdependence”, Journal of Asian Economics, Vol.20, No. 4, (353-366).

Beirne, John-Caporale, Guglielmo Maria-Schulze-Ghattas, Marianne-Spagnolo, Nicola (2008), “Volatility Spillovers and Contagion from Mature to Emerging Stock Markets”, IMF Working Paper.

Borsa Terimleri Sözlüğü (2006), “Volatilite”, http://borsa.terimleri.com/Volatilite.html, (05.07.2015).

Connolly, Robert A.-Wang, F. Albert (1998), “Economic News And Stock Market Linkages: Evidence From The US, UK And Japan”, Proceedings of the Second Joint Central Bank Research Conference on Risk Management and Systemic Risk, Vol. 1, (211-240).

Chang, Tsangyao-Nieh, Chien-Chung- Wei, Ching-Chung (2006), “Analysis Of Long-Run Benefits From International Equity Diversification Between Taiwan And Its Majo rEuropean Trading Partners: An empirical Note”, Applied Economics, Vol. 38, No. 19, (2277-2283).

Chinzara, Z.-Aziakpono, M. J. (2009), “Dynamic Returns Linkages and Volatility Transmission Between South African and World Major Stock Markets”, Studies in Economics and Econometrics, ol. 33, No. 3, (69-94).

Dimitriou, Dimitrios-Mpitsios, Petros-Simos, Theodore (2011), “Dynamic Linkages and Interdependence Between Mediterranean Region EMU Markets During 2007 Financial Crisis”, MPRA Paper No. 37476.

Demirgil, Hakan-Gök, İbrahim Yaşar (2014), “Türkiye Ve Başlıca AB Pay Piyasaları Arasında Asimetrik Volatilite Yayılımı”, Yönetim ve Ekonomi Araştırmaları Dergisi, Sayı:23, (315-340).

Edwards, Sebastian-Susmel, Raul (2001), “Volatility Dependence and Contagion in Emerging Equity Markets”, Journal of Development Economics, Vol. 66, (505-532).

Ergun, Uğur-Nor, Abu Hassan Shaari Mohd (2010), “The Stock Market Relatıonshıp Between Turkey And The Unıted States Under Unıonısatıon”, Asian Academy of Management Journal of Accounting and Finance, Vol. 6, No. 2, (19–33).

Fujii, Eiji (2005), “Intra-and Inter Regional Causal Linkages of Emerging Stock Markets: Evidence from Asia and Latin America in and out of Crises”, Journal of International Financial Markets, Institutionsand Money, Vol. 15, (315- 342).

Filleti, Juliana de P.-Hotta, Luiz K.-Zevallos, Mauricio (2008), “Analysis of Contagion in Emerging Markets”, Journal of Data Science, Vol. 6, (601-626).

Gebka, Bartosz- Serwa, Dobromil (2006), “Are Financial Spillovers Stable Across Regimes? Evidence from the 1997 Asian Crisis”, Journal of International Financial Markets, Institutionsand Money, Vol. 16, No. 4, (301-317).

Grobys, Klaus (2010), “Have Volatility Spillover Effects of Cointegrated European Stock Markets Increased Over Time?”, The Review of Finance and Banking Vol. 02, No. 2, (83—94).

Gök, İ. Yaşar (2013), “Türkiye ve AB pay piyasaları arasında getiri ve volatilite yayılımı: çok değişkenli VAR EGARCH modeli ile ampirik bir araştırma”, Yüksek Lisans Tezi, Süleyman Demirel Üniversitesi Sosyal Bilimler Enstitüsü, Isparta.

Hamao, Ysushi-Masulis, Ronald W.-Ng, Victor (1990), “Correlations in Price Changes and Volatility across International Stock Markets”, The Review of Financial Studies, Vol. 3, No. 2, (281-307).

Horvath, Roman-Poldauf, Petr (2011), “International Stock Market Comovements: What Happened During The Financial Crisis?”, MPRA Paper No. 35317.

Harju, Kari- Hussain, Syed Mujahid (2011), Intraday Seasonalities and Macroeconomic News Announcements”, European Financial Management, Vol. 17, No. 2, (367–390).

Joshi, Prashant (2011), “Return and Volatility Spillovers Among Asian Stock Markets”, SAGE Open, Vol.1, No. 8, DOI: 10.1177/2158244011413474.

Kanas, Angelos (1998), “Volatility Spillovers Across Equity Markets: European Evidence”, Applied Financial Economics, Vol. 8, No. 3, (245—256).

Kim, Suk-Joon, (2005), “Information Leadership in the Advanced Asia-Pacific Stock Market: Return Volatility Volume Information Spillover from the US and Japan”, Journal of the Japanese and International Economies, Vol. 19, (338-365).

Korkmaz, Turhan-Çevik, Emrah İsmail (2009), “Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi”, BDDK Bankacılık ve Finansal Piyasalar, Cilt:3, Say.2, (87-105).

Lamba, Asjeet S. (2001), “An Analysis of the Linkages Among African and World Equity Markets”, African Finance Journal, Vol. 3, No. 2, (1-25).

Lamba, Asjeet S. (2005), “An Analysis of the Short- and Long-Run Relationships Between South Asian and Developed Equity Markets”, International Journal of Business, Vol. 10, No. 4, (1083−4346).

Li, Yanan-Giles, David E. (2015), “Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets”, International Journal of Finance & Economics, Vol. 20, No. 2, (155–177).

Miyakoshi, Tatsuyoshi (2003), “Spillovers Of Stock Return Volatility To Asian Equity Markets From Japan And The US.”, Journal of International Financial Markets, Institutions and Money Vol.13, No.4, (383-399).

Mulyadi, Martin Surya (2009), “Volatility Spillover in Indonesia, USA, and Japan Capital Market”, MPRA Paper No. 16914.

Mukherjeea, Kedar Nath-Mishra, Ram Kumar (2010), “Stock Market Integration and Volatility Spillover: India and its Major Asian Counterparts”, Research in International Business and Finance, Vol. 24, No. 2, (235-251).

Nekhili, Ramzi-Mouhammad, Naeem (2010), “Volatility Spillovers Among the Gulf Arab Emerging Markets”, China-USA Business Review, Vol. 9, No. 4, (25-32).

Sok-Gee, Chan-Karim, Mohd Zaini Abd (2010), “Volatility Spillovers of the Major Stock Markets in ASEAN-5 with the US and Japanese Stock Markets”, International Research Journal of Finance and Economics, Vol.44, (156-168).

Tastan, Huseyin (2005), “Dynamic Interdependence and Volatility Transmission in Turkish and European Equity Markets”, Discussion Paper, TurkishEconomic Association, No.205/10.

Todorov, Galin-Bidarkota, Prasad (2013), “On International Financial Spillovers to Frontier Markets”, Int. J. Economics and Business Research, Vol.5, No.4, (433-452).

Tuna, Kadir-İsabetli, İlayda (2014), “Finansal Piyasalarda Volatilite ve Bist-100 Örneği”, Kocaeli Üniversitesi Sosyal Bilimler Dergisi, Vol. 27, (21 – 31).

Worthington, Andrew-Higgs, Helen (2004), “Transmission Of Equity Returns And Volatility In Asian Developed And Emerging Markets: A Multivariate Garch Analysis”, International Journal of Finance and Economics, Vol. 9, No. 1, (71-80).

Yalama, Abdullah, (2008), “Dünya Borsaları ve İMKB’de Oynaklık Yapısının Analizi Ve Oynaklık Etkileşimi”, Doktora Tezi, Anadolu Üniversitesi Sosyal Bilimler Enstitüsü, Eskişehir.