Çifte Kayıtlı Pay Senetlerinin Volatilite Yapısı Borsalara Göre Farklılaşır mı?

Çalışmanın amacı, Borsa İstanbul’a kote olup aynı zamanda yurt dışındaki piyasalarda işlem gören pay senetlerinin volatilite yapılarını ve kaldıraç etkilerini incelemektir. Bu amaçla çalışmada, altı adet Türk ADR’nin 01.01.2010 – 01.11.2021 dönemini kapsayan günlük frekanstaki fiyat verileri kullanılmıştır. Volatilite modellerinden, tek değişkenli asimetrik stokastik volatilite modelinin uygulandığı çalışmanın tahmin yöntemi, Markov Zinciri Monte Carlo olarak belirlenmiştir. Her pay senedinin hem yurt içi hem de yurt dışı piyasalar için ayrı ayrı modellendiği çalışma sonucunda elde edilen bulgular şu şekildedir: Pay senetlerinin ikinci kaydı OTC Market’te olan tüm firmaların pay senetlerine OTC Market’de gelecek olan bir volatilite şokunun BIST’tekinden daha kalıcı olduğu tespit edilmiştir. Bununla birlikte, OTC Market’deki pay senedi volatilitelerine gelen negatif şokların pozitif şoklara göre volatiliteyi BIST’e göre daha fazla artırdığı, dolayısıyla kaldıraç etkisinin OTC Market’te daha etkili olduğu sonucuna ulaşılmıştır. İkinci borsa kaydı NYSE’de olan pay senedi volatilitesinin ise BIST’te daha öngörülebilir olduğu belirlenmiştir. Ayrıca NYSE’deki pay senedi volatilitesinin kaldıraç etkisinin istatistiksel açıdan anlamlı olmadığı bulgusu elde edilmiştir.

Does The Volatility Structure of Double Registered Stocks Differentiate According to Stock Exchanges?

This study was conducted to investigate the volatility structures and leverage effects of double-registered stocks. Daily frequency price data of six Turkish ADRs covering the period 01.01.2010 - 01.11.2021 were used in present analyses. In this study, the univariate asymmetric stochastic volatility model was applied. Each stock was modeled separately for both domestic and foreign markets and following findings were obtained: A volatility shock that will come to the stocks whose second registration is in OTC Market was found to be more permanent than in BIST. Negative shocks to stock volatility in OTC Market increased the volatility more than positive shocks as compared to BIST, so the leverage effect was more effective in OTC Market. The volatility of the stocks, whose second stock market record was in New York Stock Exchange (NYSE), was more predictable in BIST. In addition, the leverage effect of stock volatility in NYSE was not found to be significant.

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