Hisse Senedi Fiyatlarındaki Sürpriz Haberlerin Bulaşıcılık Etkisi ve Süreklilik

Bu çalışmada hisse senedi piyasalarındaki sürpriz haberlerin ülkeler arasında yayılması olgusu değerlendirilmiştir. Bu amaçla Arjantin, Brezilya, Meksika, Rusya ve Türkiye'nin Eylül 1995-Şubat 2003 arasındaki günlük hisse senedi piyasası endeksi verileri toplanmıştır. Yapılan değerlendirme sonrasında bir yıldan daha uzun bir dönemde Brezilya hisse senedi piyasası endeksinin koşulsuz olarak ortalamasından sapma olasılığının düştüğü, Türkiye endeksinin koşulsuz olarak ortalamasından sapma olasılığının arttığı anlaşılmıştır. Tek değişkenli koşullu değişen varyans modellerindeki ARCH ve GARCH terimlerinin katsayı tahminlerinin istatistik! belirginliği bu piyasalardaki sürpriz haberlerin bulaşıcılığına ilişkin bazı kanıtlar olarak değerlendirilmiştir. Ayrıca malî piyasa verilerinin varyans denklemlerinde sıkça karşılaşılan sürekliliğin yapısal değişikliklerin hesaba katılmasıyla iyileştiği ortaya çıkmıştır.

The Effects of Contagion of the Surprises of Stock Market Returns and Persistence

This study examines the propagation of surprises across countries by using the stock market returns. The emprical analysis is based on the database which includes the daily stock market indices of Argentina, Brazil, Mexico, Russia and Turkey between September 1995-February 2003. This study has revealed that although the unconditional probability of deviation from the mean of Brazilian daily stock market index is decreasing for the period longer than one year, the unconditional probability of deviation from the mean of Turkish daily stock market index is increasing for the same period. The statistical significance of the estimates of ARCH and GARCH coefficients of the univariate generalized autoregressive conditional heteroscedaslicity (GARCH) model also provides some proofs of the propagation of surprises across the stock markets. In addition,'this study indicates that taking the structural changes into account improves the frequent evidence of persistence for the financial market data.

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