İSMAİL ÇELİK, ARİFE ÖZDEMİR, SEMRA DEMİR GÜLBAHAR

Gelişmekte Olan Ülkelerde Getiri ve Volatilite Yayılımı: NIMPT Ülkelerinde VAR-EGARCH Uygulaması

Bu çalışmada yatırımcılara yeni bir ufuk açmak için Euromonitor International tarafından NIMPT olarak adlandırılan beş ülkenin (Nijerya, Endonezya, Meksika, Filipinler ve Türkiye) piyasaları arasındaki getiri ve volatilite yayılımları çok değişkenli VAR-EGARCH modeli ile incelenmiştir. Çalışma da 28.01.2013-26.01.2017 periyodu içerisindeki gün sonu verilerden faydalanılmıştır. Çalışmanın sonucunda NIMPT ülkeleri arasında korelasyon seviyesinin uluslararası portföy çeşitlendirmesine uygun olarak düşük olduğu gözlenmiştir. Endonezya, Meksika, Nijerya, Filipinler ve Türkiye hisse senedi piyasalarının kullanışlı bilgi ve piyasa etkinliği konusunda diğerlerine karşı üstünlüğe sahip olmadığı sonucuna ulaşılmıştır. Getiri yayılımıyla benzer şekilde bilgi şoklarının da ülkeler arasında çok yönlü olacak şekilde asimetrik olarak yayıldığı ve istatistiki olarak büyük kısmının anlamlı olduğu anlaşılmıştır. Son olarak, Nijerya borsası haricindeki tüm ülke borsalarında negatif bilgi şoklarının daha baskın olduğu yani piyasaya ulaşan olumsuz bilginin piyasalarda olumlu bilgilere nazaran daha fazla oynaklığa sebep olduğu ve kaldıraç etkisi en yüksek iki ülkenin Türkiye ve Meksika olduğu tespit edilmiştir.

Return and Volatility Spillover in Developing Countries: VAR-EGARCH Application to NIMPT Countries

In this study, the returns and volatility spreads between the markets of Nigeria, Indonesia, Mexico, Philippines and Turkey referred to as NIMPT by Euromonitor International, are examined by VAR-EGARCH model. We have used the day-end data in the period of 28.01.2013- 26.01.2017. As a result, we have observed that the level of correlation between NIMPT countries was low and this is in line with international portfolio diversification. Indonesia, Mexico, Nigeria, the Philippines and Turkey have not achieved superiority over the other in terms of useful information and market activity. Similar to the spread of returns, we have understood that information shocks spread asymmetrically across countries, and statistically significant parts of them. Finally, we have determined that negative information shocks are more prevalent in all stock markets except the Nigerian stock exchange, that the negative information reaching the market leads to more volatility than positive information on the market, and that the two countries with the highest leverage effect are Turkey and Mexico.

PDF

___

ABOU-ZAID, Ahmet S.; (2011), “Volatility spillover effects in emerging MENA stock markets”, Review of Applied Economics, 7(1-2), pp. 107-127.
BAELE, Lieven; (2005), “Volatility spillover effects in European equity markets: evidence from a regime-switching model”, Journal of Financial and Quantitative Analysis, 40(2), pp. 1-76.
BAHADUR, Surya, Ranjana KOTHARİ ve Rajesh Kumar THAGURATHİ; (2016), “Volatility spillover effect in Indian stock market”, Janapriya Journal of Interdsciplinary Studies, (5), pp. 83-101.
BALA, Dahiru A. and Taro TAKIMOTO; (2016), “Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skew-t approach”, Discussion Paper Series, (4).
BAYRAMOĞLU, Mehmet Fatih, Tezcan ABASIZ; (2017), “Gelişmekte olan piyasa endeksleri arasında volatilite yayılım etkisinin analizi”, Muhasebe ve Finansman Dergisi, ss.183- 200.
BEER, Francisca and Fred HEBEIN; (2008), “An assessment of the stock market and exchange rate dynamics in industrialized and emerging markets”, International Business & Economics Research Journal Ağustos, 7( 8).
BHUYAN, Rafiq, Mohammad I. ELİAN, Mohsen BAGNİED and Talla Mohammed AL-DEEHANİ; (2015), “Return and volatility link ages among G-7 and selected emerging markets”, International Journal of Economics and Finance, 7(6), pp. 153-165.
BOLLERSLEV, Tim; (1986), “Generalized autoregressive conditional heteroskedasticity”, Journal of Econometrics, 31, pp. 307-327.
BROOKS, Chris; (2008), Introductory econometrics for finance, 2. Baskı, Cambridge University Press, New York.
BÜBERKÖKÜ, Önder; (2013), “Kriz döneminde yükselen piyasa ekonomileri, Euro bölgesi ve ABD piyasaları arasındaki volatilite yayılmasının incelenmesi: Varyansta-granger-nedensellik testinden kanıtlar”, Ekonomik Yaklaşım, http://www. ekonomikyaklasim.org/eyc2013/?download=Paper%20208. pdf, 27.01.2017.
DEDİ, Lidija and Burhan F. YAVAS; (2016), “Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies”, Cogent Economics& Finance, 4 (1), 1266788.
DEMİRGİL, Hakan ve İbrahim.Y. GÖK; (2014), “Türkiye ve başlıca AB pay piyasaları arasında asimetrik volatilite yayılımı”, Yönetim ve Ekonomi Araştırmaları Dergisi, 23.
DEĞİRMENCİ, Nurdan ve Zehra ABDİOĞLU; (2017), “Finansal piyasalar arasındaki oynaklık yayılımı”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, (54), ss.107-125.
ENGLE, Robert F. , Giampiero M. GALLO and Margherita VELUCCHI; (2008), “A MEM-Based analysis of volatility spillovers in East Asian financial markets”, Universitàdegli Studding Firenze, Working Paper 09.
ENGLE, Robert F.; (1982), “Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation”, Econometrica, 50, pp. 987-1008.
Euromonitor International; (2016), “New emerging markets Nigeria, Indonesia, Mexico, The Philippines and Turkey”, www. euromonitor.com/new-emerging-markets-nigeria.../report, 01.03.2017.
GUJARATI, Damodar N.; (2006), Temel ekonometri, 4. Baskı, (Çeviri Ümit Şenesen ve Gülay Günlük Şenesen), Literatür Yayıncılık, İstanbul.
ISLAM, Raisul, M. Talhatul ISLAM and A. Hannan CHOWDHURY; (2013), “Testing for global volatility spillover, financial contagion and structural break in fifteen economies from two regions: a diagonal VECH matrix and EGARCH (1,1) approach”, International Journal of Economics and Finance, 5(5), pp. 159-170.
JOSHI, Prashant; (2011), “Return and volatility spillovers among Asian stock markets”, SAGE Open, 1(1), pp. 1-8.
JEBRAN, Khalil, Shihua CHEN, Irfan ULLAH, Sultan Sikandar MİRZA; (2017), “Does volatility spillover among stock markets varies from normal to turbulent periods? Evidence from emerging markets of Asia”, The Journal of Finance and Data Science, (3), pp. 20-30.
KANAS, Angelos; (1998), “Volatility spillovers across equity markets: European evidence”, Applied Financial Economics, 8, pp. 245-256.
KİSHOR, Nawal and Raman Preet SİNGH; (2014), “Stock return volatility effect: study of BRICS”, Transnational Corporations Review, 6(4), pp. 406-418.
KIRKULAK ULUDAĞ, Berna ve Hassan EZZAT; (2017), “Volatility spillover effect in MENA stock markets: evidence from pre-and post- egyptian revolution”, Journal of Yasar University, 12(45), ss.32-47.
KORMAZ, Turhan ve E. İsmail ÇEVİK; (2009), “Zımni volatilite endeksinden gelişmekte olan piyasalara yönelik volatilite yayılma etkisi”, BDDK Bankacılık ve Finansal Piyasalar, 3(2), ss. 87-105.
KOUTMOS, Gregory; (1996), “Modeling the dynamic interdependence of major European stock markets”, Journal of Business Finance & Accounting, 23(7), pp. 975-988.
KOUTMOS, Gregory. and Geoffrey BOOTH; (1995), “Asymmetric volatility transmission in international stock markets”, Journal of International Money and Finance, 14, pp. 747-762.
KUMAR, Anoop S. ve B KAMAİAH; (2017), “Returns and volatılıty spıllover between asıan equıty markets: a wavelet approach”, Economıc Annals, Volume LXII, No. 212, pp. 63-83.
MAJDOUB, Jihed and Walid MANSOUR; (2014), “Islamic equity market integration and volatility spillover between emerging and US stock markets”, North American Journal of Economics and Finance, 29, pp. 452–470.
MCMILLAN, David Gordon, Burcu BERKE and Oscar BAJORUBIO; (2016), “The behavior of asset return and volatility spillovers in Turkey: A tale of two crises”, https://www.researchgate.net/publication/307569390, 27.01.2017.
MUKHERJEE, Kedar N. and R. K. MISHRA; (2010), “Stock market integration and volatility spillover: India and its major Asian counterparts”, Research in International Business and Finance, 24, pp. 235–251.
NELSON, Daniel B.; (1991), “Conditional heteroskedasticity in asset returns: A new approach”, Econometrica, 59 (2), pp. 347-370.
NG, Angela; (2000), “Volatility spillover effects from Japan and the US to the Pacific–Basin”, Journal of International Money and Finance, 19, pp. 207–233).
ÖZER, Mustafa, Serap KAMIŞLI ve Melik KAMIŞLI; (2016), “Do volatility spillovers among G7 stock markets symmetric or asymmetric”, Proceedings Of 7th European Business Research Conference, 15 - 16 Aralık, University of Roma Tre, Roma, İtalya.
QİAN, Peh Ying ve John Francis DİAZ; (2017), “Volatility integration of global stock markets with the Malaysian stock market: A Multivariate GARCH approach”, Malaysian Journal of Economic Studies, 54(1), pp. 83–117.
SHIH, Feng-Ming and Ming-Chieh WANG; (2009), “Dynamic volatility spillover effects”, The Journal of Human Resource and Adult Learning, 5(2), pp. 45-57.
SYRIOPOULOS, Theodore, Beljid MAKRAM and Adel BOUBAKER; (2015), “Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis”, International Review of Financial Analysis, 39, pp. 7-18.
TARI, Recep; (2014), Ekonometri, Umuttepe Yayınları, Kocaeli.
WORTHINGTON, Andrew and Helen HIGGS; (2004), “Transmission of equity returns and volatility in Asian developed and emerging markets: a multivariate GARCH analysis”, International Journal of Finance and Economics, 9(1), pp. 71-80.
XIAO, Ling and Gurjeet DHESI; (2010), “Volatility Spillover and Time-Varying Conditional Correlation between the European and US Stock Markets”, Global Economy and Finance Journal, 3(2), pp.148-164.
YAVUZ, Nilgün Ç.; (2015), Finansal Ekonometri, Der Yayınları, İstanbul.