A MARKOV AUTOREGRESSIVE DYNAMIC CAUSALITY ANALYSIS FOR WORLD EQUITY MARKETS IN CRISIS PERIOD
<!--
/* Font Definitions */
@font-face
{font-family:"Cambria Math";
panose-1:2 4 5 3 5 4 6 3 2 4;
mso-font-charset:0;
mso-generic-font-family:auto;
mso-font-pitch:variable;
mso-font-signature:-536870145 1107305727 0 0 415 0;}
@font-face
{font-family:Calibri;
panose-1:2 15 5 2 2 2 4 3 2 4;
mso-font-charset:0;
mso-generic-font-family:auto;
mso-font-pitch:variable;
mso-font-signature:-536870145 1073786111 1 0 415 0;}
/* Style Definitions */
p.MsoNormal, li.MsoNormal, div.MsoNormal
{mso-style-unhide:no;
mso-style-qformat:yes;
mso-style-parent:"";
margin-top:0cm;
margin-right:0cm;
margin-bottom:10.0pt;
margin-left:0cm;
line-height:115%;
mso-pagination:widow-orphan;
font-size:11.0pt;
font-family:Calibri;
mso-fareast-font-family:Calibri;
mso-bidi-font-family:"Times New Roman";
mso-ansi-language:EN-US;
mso-fareast-language:EN-US;}
.MsoChpDefault
{mso-style-type:export-only;
mso-default-props:yes;
font-size:10.0pt;
mso-ansi-font-size:10.0pt;
mso-bidi-font-size:10.0pt;
font-family:Calibri;
mso-ascii-font-family:Calibri;
mso-fareast-font-family:Calibri;
mso-hansi-font-family:Calibri;}
@page WordSection1
{size:612.0pt 792.0pt;
margin:70.85pt 70.85pt 70.85pt 70.85pt;
mso-header-margin:35.4pt;
mso-footer-margin:35.4pt;
mso-paper-source:0;}
div.WordSection1
{page:WordSection1;}
-->
We apply the Markov process for causality analysis proposed
by Psaradakis et al. (2005) on world equity markets. By estimating a Markov
switching autoregression model, we test the existence of a dynamic causality
relationship between major equity indices. The empirical evidence shows that
the proposed dynamic model successfully captures the causality relationship in
equity markets controlling for the global volatility (VIX) index in crisis
periods. The research has originality in applying Markov switching autoregression
model in equity markets and also providing recent empirical evidence on
causality relationships in equity markets in crisis periods.
DÜNYA BORSALARININ KRİZ DÖNEMİNDEKİ MARKOV OTOREGRESİF NEDENSELLİK ANALİZİ
<!--
/* Font Definitions */
@font-face
{font-family:"Cambria Math";
panose-1:2 4 5 3 5 4 6 3 2 4;
mso-font-charset:0;
mso-generic-font-family:auto;
mso-font-pitch:variable;
mso-font-signature:-536870145 1107305727 0 0 415 0;}
@font-face
{font-family:Calibri;
panose-1:2 15 5 2 2 2 4 3 2 4;
mso-font-charset:0;
mso-generic-font-family:auto;
mso-font-pitch:variable;
mso-font-signature:-536870145 1073786111 1 0 415 0;}
@font-face
{font-family:"Segoe UI";
mso-font-alt:Calibri;
mso-font-charset:162;
mso-generic-font-family:swiss;
mso-font-pitch:variable;
mso-font-signature:-520084737 -1073683329 41 0 479 0;}
/* Style Definitions */
p.MsoNormal, li.MsoNormal, div.MsoNormal
{mso-style-unhide:no;
mso-style-qformat:yes;
mso-style-parent:"";
margin-top:0cm;
margin-right:0cm;
margin-bottom:10.0pt;
margin-left:0cm;
line-height:115%;
mso-pagination:widow-orphan;
font-size:11.0pt;
font-family:Calibri;
mso-fareast-font-family:Calibri;
mso-bidi-font-family:"Times New Roman";
mso-ansi-language:EN-US;
mso-fareast-language:EN-US;}
span.apple-converted-space
{mso-style-name:apple-converted-space;
mso-style-unhide:no;}
.MsoChpDefault
{mso-style-type:export-only;
mso-default-props:yes;
font-size:10.0pt;
mso-ansi-font-size:10.0pt;
mso-bidi-font-size:10.0pt;
font-family:Calibri;
mso-ascii-font-family:Calibri;
mso-fareast-font-family:Calibri;
mso-hansi-font-family:Calibri;}
@page WordSection1
{size:612.0pt 792.0pt;
margin:70.85pt 70.85pt 70.85pt 70.85pt;
mso-header-margin:35.4pt;
mso-footer-margin:35.4pt;
mso-paper-source:0;}
div.WordSection1
{page:WordSection1;}
-->
Çalışmada,
dünya borsaları arasındaki nedensellik Psaradakis (2005) tarafından ortaya
atılan Markov süreciyle analiz edilmektedir. Markov değişim otoregresif modeli
tahmin edilerek önde gelen borsalar arasındaki dinamik nedensellik ilişkisinin
varlığı test edilmektedir. Ampirik bulgular önerilen dinamik modelin borsalar
arasındaki ilişkiyi kriz dönemlerindeki küresel oynaklığı kontrol ederek
başarılı bir şekilde gösterdiğine işaret etmektedir. Çalışma, borsalara Markov
değişim otoregresif modelinin uygulanması ve kriz dönemlerinde borsalar
arasındaki nedensellik ilişkisine yönelik ampirik bulgular sunması açılarından
orijinallik taşımaktadır.