Yabancı Merkez Bankası Para Politikalarının BİST 100 Endeksi Volatilitesine Etkileri
Ulusal ve uluslararası yatırımcılar, yatırım kararlarını verirken merkez bankalarının uyguladıkları politikaları yakından takip etmektedirler. Çünkü söz konusu politikalar ülkenin makroekonomik ve finansal faktörleri üzerinde etkili olmaktadır. Ülkelerin yüksek derecede ekonomik entegresyonu nedeniyle sadece ulusal merkez bankasının değil, uluslararası merkez bankalarının faiz kararları da ülkenin finans sektörünü yakından etkilemektedir. Bu çalışmanın amacı 02.01.2004- 31.01.2017 dönemi için TCMB, Amerikan Merkez Bankası, Avrupa Merkez Bankası, Hindistan Merkez Bankası, Rusya Merkez Bankası ve Brezilya Merkez Bankaları’nın finansal istikrarı sağlamak amacıyla uyguladığı para politikaların ve faiz kararlarının hisse senedi piyasası üzerindeki etkilerini incelemektir. Bu amaçla BIST-100 endeksine ilişkin günlük kapanış verileri kullanılmış ve ARMA (9,9)-GJR-GARCH(1,1) modellemesinden yararlanılmıştır. Yapılan analiz sonuçlarına gore söz konusu tüm merkez bankalarının para politikası değişim kararlarının ayı piyasası koşulları altında BIST 100 endeksi oynaklığında artışa yol açtıkları gözlemlenmiştir. Boğa piyasası koşulları altında ise sadece FED ve ECB para politikası değişim kararları BIST 100 endeksi oynaklığında artışa sebep olmaktadır. Buna ek olarak ayı piyasası ortamının boğa piyasası ortamına kıyasla daha oynak ve daha kalıcı piyasalar oldukları sonucuna ulaşılmıştır. Araştırma bulguları portföy yöneticileri ve piyasa düzenleyicilerinin kararlarını etkileyici nitelikte olması amacı taşımaktadır
The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility
National and international investors are closely monitoring the policies implemented bycentral banks when making investment decisions. These policies influence the macroeconomic andfinancial factors of the countries. Due to the high level of worldwide economic integration, interestrate decisions of the international central banks are simultaneously affecting the stability ofinternational financial system. The aim of this study is to examine the effects of the monetary policiesand the interest rate decisions implemented by various central banks (CBRT, The Federal Reserve,the European Central Bank, the Central Bank of India, the Central Bank of the Netherlands, theCentral Bank of the Russian Federation and the Central Bank of Brazil) for the period of 02.01.2004-31.01.2017 on the stock markets. With this purpose, the daily closing price data for the BIST-100index has been modeled with ARMA (9,9) -GJR-GARCH (1,1).Results of the analyses indicate that the monetary policy decisions made by FED, ECB, CBI,CBN, CBR and CBB cause an increment of volatility in BIST 100 index under bear market conditions.In bull market, however only the monetary policy decisions made by FED and ECB increase thevolatility in BIST 100 index. In addition, the bear market environment is found to be more volatileand persistent compared to the bull market environment. The findings of th
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