DÜNYA BORSALARININ KRİZ DÖNEMİNDEKİ MARKOV OTOREGRESİF NEDENSELLİK ANALİZİ

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

A MARKOV AUTOREGRESSIVE DYNAMIC CAUSALITY ANALYSIS FOR WORLD EQUITY MARKETS IN CRISIS PERIOD

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

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