Küresel krizlerin bulaşıcılığı: İMKB koşulu değişkenliği üzerinde krizlerin bulaşma etkisinin analizi

Bu çalışmada ARMA-EGARCH modelleri kullanılarak 1990 yılı sonrası gerçekleşen başlıca 4 küresel krizin İMKB koşullu değişkenliği üzerinde yarattığı bulaşıcılık etkisi incelenmiştir Elde edilen bulgular Meksika, Güneydoğu Asya ve Rusya krizlerinin İMKB-100 endeksi koşullu değişkenliği üzerinde istatistiksel olarak anlamlı etkilere yol açtığı, dolayısıyla bu krizlerin bulaştığı yönündedir Diğer yandan yaşanmakta olan son finansal krizin başladığı varsayılan 11 09 2008 tarihinden itibaren ilk bir yıllık donemde Dow Jones Bileşik endeksinden İMKB-100 endeksi koşullu değişkenliği yönüne bir bulaşıcılık etkisine rastlanılmamıştır Ancak bu etki, krizin başlamasının ardındaki ikinci bir yıllık dönem olan 14 09 2009-07 09.2010 döneminde kedisini göstermektedir Elde edilen bulgulara göre kriz dönemlerinde RTS endeksi hariç İMKB ve diğer piyasalarda koşullu değişkenliğin piyasaya giren bilgiye karşı asimetrik reaksiyon gösterdiği, olumsuz haberlerin değişkenlik üzerinde yarattığı etkinin olumlu haberlere gore daha yüksek olduğu görülmüştür. Diğer yandan tüm kriz dönemlerinde ve tüm endekslerde piyasaya giren bilginin belirli bir sure kalıcı etkisinin var olduğuna dair delillere ulaşılmıştır.

Financial crises contagion: Analysis of the crise contagion on the conditional volatility of ISE

In this research we analysed the contagion of 4 major global crises that are ocurred after 1990 on ISE conditional variance by using ARMA-EGARCH models The evidence shows that Mexico, Southeast Asia and Russia crises have statistically significant effects on ISE conditional variance, so they are contaminated to ISE. On the other hand we could not reach an evidence of contagion towards Dow Jones Composite Index to ISE-100 Index during the first 1 year period of the last global crises that is assumed to be started in 11th September 2008. But the contagion is seen in the second 1 year period (14th September 2009-7th September 2010) The evidence shows that, during the crises periods, ISE and other indexes except RTS have asymmetric reactions to the information In these periods, bad news create higher impacts on conditional variance than good news On the other hand new information have consistent effects on conditional variances in all crise periods and in all indices.

PDF

___

1. Akel, Veli (2011), Kriz Dönemlerinde Finansal Piyasalar Arasındaki Volatilite Yayılma Etkisi, Detay Yayıncılık, Ankara.
2. Alper, Emre ve Kamil Yılmaz (2004), "Volatility and Contagion: Evidence from the Istanbul Stock Exchange", Economics Systems, Vol: 28, No:4, ss.353-367.
3. Back, In-Mee, Arindam Bandopadhyaya ve Chan Du (2005), "Determinants of Market-Assessed Sovereign Risk: Economic Fundamentals or Market Risk Appetite?", Journal of International Money and Finance, Vol.24, ss.533-548.
4. Baig, Taimur ve Man Goldfajn (1998), "Financial Market Contagion in the Asian Crisis", IMF Working Paper Series, No:98/155.
5. Bernadette, Andresso-O'Callaghan ve Lucia Morales (2009), "The Current Global Financial Crisis: Do Asian Stock Markets Show Contagious or Interdependency Effects?", XVth Euro-Asia Conference at Pau, 10 & 11 September, 2009.
6. Bollerslev, Tim (1986), "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, Vol.31, ss.307-327.
7. Coudert, Virginie ve Mathieu Gex (2007), "Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators", CEPII Working Paper, No.2007-02.
8. Çelikkol, Hakan, Soner Akkoç ve Yasemin Deniz Akarım (2010), "The Impact of Bankrupcy of Lehman Brothers on the Volatility Structure of ISE-100 Price Index", Journal of Money, Investment and Banking, Vol.18, ss.5-12.
9. De Bandt, Olivier ve Philipp Hartmann (2000), "Systemic Risk: A Survey", European Central Bank Working Paper Series, No. 35, Kasım.
10. Diebold, Francis X. Ve Kamil Yılmaz (2008), "Measuring Financial Asset Return and Volatility Spillovers with Application to Global Equity Markets", NBER Working Paper Series, No. 13811.
11.Drazen, Allan (1998), "Political Contagion in Currency Crisis", Working paper, University of Maryland and NBER, Mart.
12. Edwards, Sebastian ve Raul Susmel (2001), "Volatility Dependence and Contagion in Emerging Equity Markets", Journal of Development Economics, Vol.66, ss.505-532.
13.Engle, Robert F. (1982), "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, Vol.50, ss.987-1008.
14.Gai, Prasana ve Nicholas Vause (2006), "Measuring Investors' Risk Appetite", International Journal of Central Banking, Vol.2, No.1, ss. 167-188.
15.Gerlach, Stefan ve Frank Smets (1995), "Contagious Speculative Attacks", European Journal of Political Economy, Sayı 1, Şubat, ss.45-63.
16. Hernandez, Leanardo F. ve Rodrigo O. Valdes (2001), "What Drives Contagion Trade, Neighborhood, or Financial Links?", International Review of Financial Analysis, No: 10, ss.203-218.
17.lwatsubo, Kentaro ve Kazuyuki Inagai (2006), "Measuring Financial Market Contagion Using Dually-Traded Stocks of Asian Firms", Journal of Asian Economics conference on Financial System Reform and Monetary Policy in Asia, 15-16 Eylül, Tokyo, Japonya. (erişim 29.11.2012: http://www.apeaweb.org/confer/ hk07/ papers/iwatsubo-inagaki.pdf)
18. Khallouli, Wajih and Rene P. Sandretto (2010), "Testing for 'Contagion' of the Subprime Crisis on the Middle East and North African Stock Markets: A Markov Switching EGARCH Approach", WP 1022, Groupe D'Analyse et de Theorie Economique Lyon-St Etienne.
19.Kaminsky, Graciela L. ve Carmen M.Reinhart (2000), "On Crises, Contagion and Confusion", Journal of International Economics, Vol.51, ss.145-168.
20. Kumar, Manmohan S. ve Avinash Persaud (2002), "Pure Cointagion and Investors' Shifting Risk Appetite: Analytical Issues and Empirical Evidence", International Finance, Vol.5, No.3, ss.401-426.
21.Kuusk, Andres ve Tiuu Paas (2010), "Contagion of Financial Crises with Emphasis on CEE Economies", University of Tartu Working Papers, Sayi:66.
22. Kod res, Laura E. ve Matthew Pritsker (2002), "A Rational Expectations Model of Financial Contagion", Journal of Finance, C. LVII, No. 2, Nisan.
23. Masson, Paul (2006), "Contagion: Monsoonal Effects, Spillovers and Jumps between MultipleEquilibria", The Asian Financial Crisis: Causes, Contagion and Consequences, Ed.by Pierre-Richard Agenor, Marcus Miller, David Vines and Axel Weber, World Bank Institute, Center for Economic Policy Research, Global Economic Institutions, Cambridge University Press, ss.265-280.
24. Moledina, Amyaz A., Terry L. Roe ve Mathew Shane (2003), Measurement of Commodity Price Volatility and the Welfare Consequences of Eliminating Volatility, Minneapolis, MN: University of Minnesota, Economic Development Centre.
25.Moser, Thomas (2003) "What is International Financial Contagion?", International Finance, Sayı 6, 2003, ss. 157-178.
26.McKinnon, Roland I. ve Huw Pill (1998), "International Overborrowing: A Decomposition of Credit and Currency Risks", World Development, Vol. 26, No:7, ss.1267-1282.
27. Nelson, Daniel B. (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach", Econometrica, Vol.59, No.2, ss.347-370.
28.Özengin, Oya (2008), "Volatility Spillover Between The Stock Market and The Foreign Exchange Market In Turkey", Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitütüsü, İngilizce İşletme Ana Bilim Dalı İngilizce Finansman Programı, Yüksek Lisans Tezi.
29.Uchezuba, David Ifeany (2010), Measuring Asymmetric Price and Volatility Spillover in the South African Poultry Market, Faculty of Natural and Agricultural Sciences Department of Agricultural Economics University of Free State Bloemfontein, Doktora Tezi.
30.Valdes, Rodrigo (1997), "Emerging Market Contagion: Evidence and Theory", Working paper, Central Bank of Chile, ss.1-68.
31. Van Rijckeghem, Caroline ve Beatrice Weder (2001), "Source of Contagion: is it Finance or Trade?", Journal of International Economics, Sayı: 54, s.296.
32. WorldBank, http://econ.worldbank.org/WBSITE/EXTERNAL/EXTDEC/EXTRE SEARCH/EXTPROGRAMS/EXTMACROECO/0,,contentMDK:20889756~pageP K:64168182~piPK:64168060~theSitePK:477872,00.html, 10.07.2010.