Borsa İstanbul ve Gelişmiş Ülke Borsalarının Ortak Hareketi Üzerine Bir Çalışma

Bu çalışma Türkiye borsası ile Amerika, İngiltere, Almanya ve Japonya borsaları arasındaki ortak hareketi incelemeyi amaçlamaktadır. Çalışmada zamana bağlı değişen korelasyonu hesaplamak için 1995-2015 dönemini kapsayan aylık frekanslı veriler, GO-GARCH yöntemi kullanılarak analiz edilmiştir. Ampirik bulgular en az korelasyonun Borsa İstanbul ile Japonya borsası arasında var olduğunu göstermektedir. Küresel finansal kriz öncesi Türkiye borsası en fazla İngiltere borsası ile ortak hareket ederken, kriz sonrasında ise Almanya Borsası, Borsa İstanbul ile en fazla korelasyona sahip ülke olmuştur. Genel sonuçlar yatırımcıların koşullu korelasyonları dikkate alarak portföy teorisi kapsamında çeşitlendirme yapabileceklerini göstermektedir. Çalışmanın örneklemi kapsamında küresel kriz öncesi dönemde portföy çeşitlendirmesi için en uygun ülke Japonya olurken en elverişsiz ülke ise İngiltere olmaktadır. Küresel kriz sonrasında ise İngiltere portföy çeşitlendirmesi için en uygun ülke olurken Almanya en elverişsiz ülke olmaktadır.

Anahtar Kelimeler:

Ortak Hareket, Küresel Kriz, Portföy Teorisi, GO-GARCH

A Study of Co-Movements Between Borsa İstanbul and Developed Stock Markets

This paper aims to examine the co-movement between Turkish stock markets and USA, United Kingdom, Germany and Japan stock markets. We used GO-GARCH models in order to capture time-varying correlations during the 1995-2015 period by using monthly data. Empirical results show that Japanese stock market is the least correlated with Turkish stock market. While UK and Turkey exhibits higher degree co-movement before global financial crisis, Germany stock market became most correlated with Turkish stock market after global financial crisis. All these results imply that investors benefits from diversification based on conditional correlations within the scope of portfolio theory. In the pre-crisis period, while Japan is the most unsuitable country, England is the most suitable country for portfolio divesification. In the post-crisis period, while England is the most suitable country, Germany is the most unsuitable country for portfolio divesification

Keywords:

Co-movement, Global Crisis, Portfolio Theory, GO-GARCH,

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