EXAMINATION OF VOLATILITY STRUCTURE BETWEEN TURKISH STOCK MARKET AND COMMODITY MARKETS: A PERSPECTIVE FOR THE PERIOD OF 2015-2019

Commodity markets, both in the past and in modern times, have had an extraordinary economic impact on individuals and societies. Although it is not known exactly when and where commodity markets started, it is thought that it started about 6000 years ago with rice trade in China. Commodities, as raw material providers used in production, have an intensive usage area. This study aims to examine the global commodity prices such as gold ounce price, silver ounce price, copper price, Brent crude oil price, and natural gas prices, and the volatility structure in the Borsa Istanbul 100 index, representing the Turkey Stock Market. For this purpose, daily closing prices for the period of 2015 January-2019 December were examined in the study. To investigate the time evolution of correlations between the commodities and stock market, the dynamic conditional correlation (DCC) GARCH model is used. The results show that the volatility between the BIST 100 index and commodity prices has constant effects and a comprehensive volatility clustering arises.

TÜRK BORSASI İLE EMTİA PİYASALARI ARASINDAKİ OYNAKLIK YAPISININ İNCELENMESİ: 2015-2019 PERİYODU İÇİN BİR PERSPEKTİF

Emtia piyasaları gerek geçmişte ve gerekse modern zamanlarda, bireyler ve toplumlar üzerinde olağanüstü bir ekonomik etkiye sahip olmuştur. Emtia piyasalarının tam olarak ne zaman ve nerede başladığı kesin olarak bilinemese de yaklaşık 6000 yıl önce Çin’de pirinç ticareti yapılmasıyla başladığı sanılmaktadır. Emtialar, üretimde kullanılan hammadde sağlayıcıları olarak yoğun kullanım alanına sahiptir. Bu çalışmanın amacı, küresel emtia fiyatları olarak altın ons fiyatı, gümüş ons fiyatı, bakır fiyatı, Brent tipi ham petrol varil fiyatı ile doğal gaz fiyatları ile Türk Borsasını temsilen Borsa İstanbul 100 endeksi bağlamında oynaklık yapısının incelenmesidir. Bu amaçla çalışmada 2015 Ocak-2019 Aralık periyodu için günlük kapanış değerleri ele alınmıştır. Emtialar ve menkul kıymet borsası arasındaki korelasyonu araştırmak için dinamik koşullu korelasyon (DCC) GARCH yöntemi kullanılmıştır. Bulgular, BIST 100 endeksi ile emtia fiyatları arasındaki oynaklığın sürekli etkilere sahip olduğunun ve kapsamlı bir volatilite kümelenmelerinin oluştuğu sonucunu vermektedir.

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