194103

ULUSLARARASI ÇEŞİTLENDİRME, FİNANSAL BULAŞMA VE KÜRESEL FİNANSAL KRİZ İLİŞKİSİ ÜZERİNE BİR ÇALIŞMA

Çalışmanın amacı küresel finansal kriz öncesi, süreci ve sonrasında gelişmiş ve gelişen hisse senedi piyasaları arasındaki getiri ilişkilerini ortaya koymak, uluslararası çeşitlendirme yararının geçerli olup olmadığını ve finansal bulaşma etkisinin var olup olmadığını incelemektir. Bu amaçla çalışma 31 Ocak 1990-21 Eylül 2012 döneminde 24 gelişmiş ve 21 gelişen piyasa için gerçekleştirilmiştir. Ulaşılan sonuçlar finansal kriz öncesi dönemde nispeten düşük olan hisse senedi getirileri arasındaki ilişkilerin finansal kriz süresinde yükseldiğini, finansal kriz sonrası süreçte ise düştüğünü, ancak finansal kriz öncesi döneme göre hala yüksek olduğunu göstermektedir. Bulgular finansal kriz döneminde oldukça azalan uluslararası çeşitlendirmenin yararlarının finansal kriz sonrası dönemde az da olsa arttığı, ancak finansal kriz öncesi döneme göre hala çok düşük olduğunu göstermektedir. Elde edilen bulgular finansal kriz sürecinde hem gelişmiş hem de gelişen piyasalar arasında finansal bulaşma etkisinin varlığını gösterir niteliktedir.

Anahtar Kelimeler:

Uluslararası Çeşitlendirme, Finansal Bulaşma, Finansal Kriz, Risk-Getiri, Sharpe Oranı, Korelasyon

The purpose of the study is the global financial crisis before, during and after the return correlations between developed and developing stock markets to demonstrate the benefits of international diversification, and whether it is valid to examine whether there is the effect of financial contagion. For this purpose, the study was carried out for 24 developed and 21 emerging market in the period of January 31 1990-21 September 2012. The results achieved show in the period before the financial crisis, the relationship between stock returns are relatively low, increased during the financial crisis, the fall in the period after the financial crisis, but is still high compared to the period before the financial crisis. Findings show that the benefits of international diversification is reduced during the financial crisis rather slightly increased in the period after the financial crisis, but it is still very low compared to the period before the financial crisis. The findings indicate evidence of the existence of financial contagion effects during the period of financial crisis between developed and emerging markets.

Keywords:

International Diversification, Financial Contagion, Financial Crisis, Risk-Return, Sharpe Ratio, Correlation,

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