Türkiye ve Abd pay piyasaları arasında getiri ve volatilite yayılımı: çok değişkenli garch analizi ile ampirik bir araştırma*

Bu çalışmada, Türkiye ve ABD pay piyasaları arasındaki getiri ve volatilite yayılımının araştırılması amaçlanmıştır. Bu bağlamda, BIST 30 ve S&P 500 endeksleri baz alınarak, 2010-2012 dönemi için günlük kapanıştan-kapanışa veriler kullanılmış ve Johansen eşbütünleşme testi ve VAR-GARCH(1,1)-BEKK modeli uygulanmıştır. Buna göre ABD ve Türkiye pay piyasaları arasında uzun dönem bir ilişki olmadığı ve ABD pay piyasalarından Türkiye pay piyasaları üzerine hem getiri hem de volatilite anlamında tek yönlü bir yayılımın olduğu bulgularına erişilmiştir. Dolayısıyla, ABD pay piyasaları kaynaklı bilginin Türkiye pay piyasası üzerinde önemli bir etki oluşturduğu sonucuna varılmıştır.

Return and volatility spillover between Turkish and Us stock markets: an empirical examination with multivariate garch analysis

In this study, it is aimed that to examine the return and volatility spillover between Turkish and US stock markets. In this context, based on BIST 30 and S&P 500 indices, daily close to close data for 2010-2012 period is used and Johansen cointegration test and VAR-GARCH(1,1)-BEKK model are applied. The evidence is found that US and Turkish stock markets are not cointegrated and there is return and volatility spillover from US stock markets to Turkish stock market but not vice versa. Hence, it is concluded that the information originating in US stock markets has a siginificant effect on Turkish stock market.

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