Gelişmekte olan ülke borsalarında risk ve getiri ilişkisi: 2008 Küresel kriz Örneği

Bu çalışmanın amacı gelişmekte olan ülke borsalarındaki risk getiri ilişkisini 2008 küresel krizi bağlamında araştırmaktır. Çalışmada datastream veri tabanından Haziran 03, 2004 ile Haziran 03, 2014 dönemi kapsamında günlük frekansta sağlanan ve Morgan Stanley Capital International - Emerging Market endeksine dahil olan on iki ülkenin borsa serileri GARCH-M yöntemi ile analiz edilmiştir. Küresel finans krizinin etkisinin daha iyi araştırılması için veriler üç ayrı dönemde analiz edilmiştir. GARCH-M modeline göre risk ve getiri arasında anlamsız ilişki bulunmuştur. Dolayısıyla gelişmekte olan ülkelerde risk primi zaman bağlı olarak değişmemekte ve yatırımcılar üstlendikleri riske karşılık ilave beklenen getiri kazanamamaktadırlar

PDF

___

Alagidede, Paul ve Panagiotidis, Thedore. 2009. “Modelling Stock Returns in Africa's Emerging Equity Markets.” International Review of Financial Analysis 18:1-11.
Arouri, M. E. Hedi; Fredj Jawadi ve Duc K. Nguyen . 2010. The Dynamics of Emerging Stock Markets. Springer.
Bekaert, Geert ve Harvey, R. Campbell. 2002. “Research in Emerging Markets Finance: Looking to the Future.” Emerging Markets Review 3:429-448.
Bekaert, Geert: Erb, Claude; Harvey, R. Campbell ve Viskanta, Tadas .1998. “ Distributional Characteristics Of Emerging Market Returns and Asset Allocation.” The Journal of Portfolio Management 24:102-116.
Chong, C. Yoke .2011. “Effect of Subprime Crisis on US Stock Market Return and Volatility”. Global Economy and Finance Journal, 4:102-111.
Choudhry, Taufiq .1996. “Stock Market Volatility and The Crash of 1987: Evidence From Six Emerging Markets”. Journal of International Money and Finance 15:969-981.
Çağıl, Gülcan, VE Mustafa Okur (2010). “Küresel Krizinin İMKB Hisse Senedi Piyasası Üzerindeki Etkilerinin GARCH Modelleri ile Analizi.” Marmara Üniversitesi İİBF Dergisi 28:573-585.
De Santis, Giorgio ve İmrohoglu, Selahattin .1997. “Stock Returns and Volatility in Emerging Financial Markets”. Journal of international Money and Finance 16:561-579.
BDDK .2008. Çalışma Tebliği ABD Mortgage Kriz. Ankara
Eichengreen, Barry .2010. “Lessons of the Crisis for Emerging Markets.” International Economics and Economic Policy 7:49-62.
Engle, Robert; David M. Lilien ve Russell P. Robins .1987. “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model.” Econometrica: Journal of the Econometric Society 391-407.
Friedman, Hershey; Linda W. Friedman ve Robert W. Kolb .2008. “The Global Financial Crisis of 2008: What Went Wrong?”. Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future .31-36.
Glosten, Lawrence; Ravi, Jagannathan ve David E. Runkle .1993. “On the Relation Between the Expected Value and The Volatility of the Nominal Excess Return on Stocks.” The Journal of Finance 48:1779-1801.
Haque, Mahfuzul; Hassan M. Kabir ve Maroney Neal .2004. “An Empirical Examination of Stability, Predictability and Volatility of Middle Eastern and African Emerging Stock Markets.” Review of Middle East Economics and Finance 2:19-42.
Kutlu, H. Ali ve Savaş Demirci .2011. “Küresel Finansal Krizi (2007-?) Ortaya Çıkaran Nedenler, Krizin Etkileri, Krizden Kısmi Çıkış ve Mevcut Durum.” Muhasebe ve Finansman Dergisi 3:34-44.
Li, Qui; Yang Jian; Cheng Hsiao ve Young-Jae Chang .2005. “The Relationship Between Stock Returns and Volatility in International Stock Markets.” Journal of Empirical Finance 12:650-665.
Lin, Justin Yifu. 2008. “The Impact of the Financial Crisis on Developing Countries.” Korea Development Institute 31
Maitland, Maureen ve David Blitzer .2011. “S&P/case-shiller home price indices 2010, a year in review.” Standard and Poor Indices .1–17.
Muradoglu, Gülnur; Berument, Hakan ve Metin, Kıvılcım .1999. “Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE).” Multinational Finance Journal 3:223-252.
Salman, Faris .2002. “Risk-Return-Volume Relationship in an Emerging Stock Market.” Applied Economics Letters 9:549-552.
Shin, Jaeun .2005. “Stock Returns and Volatility in Emerging Stock Markets.” International Journal of Business and Economics 4:31-43.
Tsay, Ruey .2010. Analysis of Financial Time Series. John Wiley & Sons.
www.tepav.org.tr. (Erişim Tarihi: 20.05.2014).
www.worldbank.org (Erişim Tarihi: 12.08.2013).