EMRAH İSMAİL ÇEVİK, KIRAÇ Nüket ÇEVİK, SERHAN GÜRKAN

Abd Almanya ve Türkiye hisse senedi piyasaları arasndaki ilişkinin MS-VAR modeli ile analizi

Bu çalışmada ABD, Almanya ve Türkiye hisse senedi piyasaları arasındaki dinamik ilişkiler Markov Rejim Değişim-Vektör Otoregresif (MS-VAR) model ile araştırılmıştır. Elde edilen sonuçlara göre, MS-VAR modelin piyasalar arasındaki ilişkileri betimlemede doğrusal VAR modele göre daha iyi sonuçlar verdiği belirlenmiştir. Ayrıca; düzgünleştirilmiş geçiş olasılıklarına göre, MS-VAR modelden elde edilen rejimlerin kazandıran ve kaybettiren piyasa dönemleri olarak adlandırılabileceği sonucuna varılmıştır. Rejimlere bağlı Granger nedensellik testi ve etki-tepki analizi sonuçları hisse senedi piyasaları arasındaki ilişkilerin kazandıran ve kaybettiren piyasa dönemlerine göre farklılaştığını göstermektedir.

Analyzing relationship among stock markets of Us, Germany and Turkey with MS-VAR odel

In this study, the presence of dynamic relations among stock markets of the US, Germany and Turkey is examined by means of Markov regime switching-Vector Autoregressive (MS-VAR) model. Empirical results suggest that the MS-VAR model provides a better characterization of relation among stock markets than the linear VAR model. In addition, it is determined that regimes are obtained from the MS-VAR model can be named as bear and bull markets according to smoothed transition probabilities. Regime-dependent Granger causality test and impulse-response functions results show that the^relations among the stock markets have varied due to bear and bull market periods.

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