Avrupa Gayrimenkul Ve Hisse Senedi Piyasaları Arasındaki Oynaklık Yayılımı: Çok Değişkenli Garch Yaklaşımı

Son yıllarda, hisse senedi ve gayrimenkul piyasasındaki fiyatlarda meydana gelen önemli değişiklikler, bu piyasalarda oynaklığın artmasına neden olmuştur. Bu makale, 1985-2007 yılları arasında Avrupa ülkelerindeki gayrimenkul ve hisse senedi piyasalarındaki dinamik getiri ve oynaklık yayılımını VAR-BEKK-GARCH modeli kullanılarak araştırmaktadır. Makalede, Danimarka, Finlandiya, İrlanda ve İspanya’da gayrimenkul piyasalarından hisse senedi piyasalarına şok ve oynaklık yayılım etkileri tespit edilmiştir. İspanya, İsveç ve İtalya’da ise hisse senedi piyasalarından gayrimenkul piyasalarına doğru bir oynaklık yayılımının söz konusu olduğu gözlenmektedir. Buna karşın, Belçika’da hisse senedi ve gayrimenkul piyasaları arasında herhangi bir yayılma olduğuna dair bir kanıt bulunmamaktadır. Genel olarak, bu ampirik bulgular, gelişmiş risk yönetimi ve daha etkin portföy çeşitlendirme potansiyeli sayesinde yerli ve yabancı yatırımcılar ile politika yapıcılar için piyasalar arası oynaklık yayılmalarında yeni anlayışlar ortaya koymaktadır.

Anahtar Kelimeler:

Gayrimenkul Piyasaları, Hisse senedi Piyasaları, Oynaklık Yayılımı, Çok Değişkenli GARCH Modeli

Volatility Transmission Between Housing and Stock Markets In Europe: A Multivariate Garch Perspective

Over the past decade, the significant changes in the prices of stock and real estate markets have intensified the interest of heightened concern about volatility in these markets. This paper deals with the dynamic return and volatility transmissions across real estate and stock markets in European countries over the period from 1985:Q1 through 2017:Q1. Using VAR-BEKK-GARCH model, we find significant evidence supporting shock and volatility spillover effects from real estate to stock markets in Denmark, Finland, Ireland and Spain whereas evidence running from stock to real estate markets is found in Spain, Sweden and Italy. In contrast, there is no evidence of any such spillovers in Belgium. Overall, these empirical findings provide fresh insights and policy implications in cross-market volatility spillovers for domestic and international investors, and also policy makers, through the potential for improved risk management and more efficient portfolio diversification.

Keywords:

Real Estate Markets, Stock Markets, Volatility Spillover, Multivariate GARCH,

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