ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL

Başar, Selim; Bozma, Gürkan

ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL

Gürkan BOZMA, (Iğdır Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Iğdır, Türkiye)

Selim BAŞAR (Atatürk Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, Erzurum, Türkiye)

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

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Yıl: 2018 Cilt: 36 Sayı: 4 Sayfa Aralığı: 1 - 16 Metin Dili: İngilizce İndeks Tarihi: 11-06-2019

ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL

Öz:

Due to technological advances,stocks and commodity markets havebecome single market. There is a highdegree of volatility among the stockmarkets especially opening in the sameperiod. In this study, the volatility between Turkey,Romania, Poland, Hungary and Ukrainian stockmarket is examined by using the VAR (1) M-GARCHmodel. Before applying the VAR (1)-M-GARCHmodel, it is tried to determine by using the JohansenCointegration method based on the maximumlikelihood method whether there is a long-runrelationship between stock exchanges. A long-runrelationship is determined among the stock marketaccording to the Johansen Cointegration test. Thevolatility of stock exchange volatility is examined byVAR (1) -M-GARCH-BEKK model. As a result ofthe findings, the conditional variance of the Turkey(BIST-100) is affected by its own short-run shocksand long-run volatility as well as the short-run shocksand the long-run volatility that have occurred in thePoland and Hungary stock markets. In addition, theconditional variance of the Turkey (BIST-100) isaffected by the long-run volatility of the Romanianstock market.

Anahtar Kelime:

Konular: İşletme İktisat

TÜRKİYE, ROMANYA, POLONYA, MACARİSTAN VE UKRAYNA BORSALARI ARASINDAKİ OYNAKLIK GEÇİŞKENLİĞİNİN M-GARCH MODELİ İLE ANALİZİ

Öz:

Teknolojik gelişmeler, hisse senetleri ve emtia piyasaları tek pazar haline gelmiştir. Özellikle aynı zaman diliminde açılan borsalar arasında yüksek derecede oynaklık olduğu literatürde sıklıkla incelenmiştir. Bu çalışmada, Türkiye, Romanya, Polonya, Macaristan ve Ukrayna borsaları arasındaki oynaklık VAR (1) M-GARCH modeli kullanılarak incelenmiştir. VAR (1) -M-GARCH modelini uygulamadan önce, hisse senedi borsaları arasında uzun dönemli bir ilişki olup olmadığı, maksimum olabilirlik yöntemi dayalı Johansen Eş-entegrasyon yöntemi kullanılarak belirlenmeye çalışılmıştır. Johansen Eşbütünleşme testine göre ele alınan borsalar arasında uzun dönemli bir ilişki olduğu tespit edilmiştir. Borsalar arasındaki oynaklık değişkenliği VAR (1) -M-GARCH-BEKK modeliyle incelenmiştir. Elde edilen bulgular sonucunda, Türkiye (BIST-100)'in koşullu varyansı, kendi kısa dönem şokları ve uzun dönem oynaklıkları ile Polonya ve Macaristan borsalarının kısa dönem şokları ve uzun dönem oynaklıklarından etkilenmektedir. Ayrıca, Türkiye'nin koşullu varyansı, Romanya borsasının uzun dönem oynaklığından etkilenmektedir.

Anahtar Kelime:

Konular: İşletme İktisat

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	Bozma G, Başar S (2018). ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. , 1 - 16.
Chicago	Bozma Gürkan,Başar Selim ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. (2018): 1 - 16.
MLA	Bozma Gürkan,Başar Selim ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. , 2018, ss.1 - 16.
AMA	Bozma G,Başar S ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. . 2018; 1 - 16.
Vancouver	Bozma G,Başar S ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. . 2018; 1 - 16.
IEEE	Bozma G,Başar S "ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL." , ss.1 - 16, 2018.
ISNAD	Bozma, Gürkan - Başar, Selim. "ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL". (2018), 1-16.

APA	Bozma G, Başar S (2018). ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36(4), 1 - 16.
Chicago	Bozma Gürkan,Başar Selim ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 36, no.4 (2018): 1 - 16.
MLA	Bozma Gürkan,Başar Selim ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol.36, no.4, 2018, ss.1 - 16.
AMA	Bozma G,Başar S ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2018; 36(4): 1 - 16.
Vancouver	Bozma G,Başar S ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2018; 36(4): 1 - 16.
IEEE	Bozma G,Başar S "ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL." Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36, ss.1 - 16, 2018.
ISNAD	Bozma, Gürkan - Başar, Selim. "ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL". Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 36/4 (2018), 1-16.