The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries

KURT CİHANGİR, Çiğdem

The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries

Çiğdem Kurt CİHANGİR (Hitit Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Çorum, Türkiye)

Muhasebe ve Finansman Dergisi

5 0

Yıl: 2019 Cilt: 0 Sayı: 81 Sayfa Aralığı: 293 - 314 Metin Dili: İngilizce İndeks Tarihi: 02-07-2020

The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries

Öz:

In this study, the impact of commodity prices and capital inflows on the stock markets, which is from the fundamentalvariables influencing the economic and structural problems of emerging markets, has been investigated. The relationsbetween variables were analyzed using Johansen Cointegration Test, Vector Error Correction Model, Wald test andVariance Decomposition technique respectively. A long term relation among to the related emerging markets stock indicesand Gold Volatility Index (GVZ), Oil Volatility Index (OVX) and Fed fund rates were detected. It is determined that GVZ andOVX individually or together affect stock market indices and FED fund rates didn’t seem to have significant impact on thesestock indices. It can be specified that stock market indexes are more affected than GVZ. In general, some part of the variablesare defined such as importance to the emerging market economies to develop policies to respond to fluctuations in thecommodity prices and the changes in global liquidity.

Anahtar Kelime:

Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi

Öz:

Bu çalışmada, gelişmekte olan piyasaların ekonomik ve yapısal sorunlarını etkileyen temel değişkenlerden emtia fiyatlarının ve sermaye girişlerinin borsa üzerindeki etkisi incelenmiştir. Değişkenler arasındaki ilişkiler sırasıyla, Johansen Koentegrasyon Testi, Hata Düzeltme Modeli, Wald testi ve Varyans ayrıştırması teknikleri ile analiz edilmiştir. Buna göre, Altın Oynaklık Endeksi (GVZ), Petrol Oynaklık Endeksi (OVX) ve Fed faiz oranları ile ilgili borsa endeksleri arasında uzun dönem ilişki tespit edilmiştir. Ayrıca, borsa endeksleri üzerinde GVZ ve OVX’in tek tek veya birlikte etkili olduğu; ancak FED faiz oranlarının anlamlı bir etkisinin olmadığı; GVZ’nin, daha etkili olduğu belirlenmiştir. Genel itibariyle, gelişen piyasa ekonomilerinin, emtia fiyatlarındaki dalgalanmalar ve küresel likiditedeki değişimlere cevap verecek politikaların/stratejilerin uygulanmasında dikkate almaları gereken değişkenlerden bir kısmı belirlenmiştir.

Anahtar Kelime:

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

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APA	KURT CİHANGİR Ç (2019). The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. , 293 - 314.
Chicago	KURT CİHANGİR Çiğdem The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. (2019): 293 - 314.
MLA	KURT CİHANGİR Çiğdem The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. , 2019, ss.293 - 314.
AMA	KURT CİHANGİR Ç The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. . 2019; 293 - 314.
Vancouver	KURT CİHANGİR Ç The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. . 2019; 293 - 314.
IEEE	KURT CİHANGİR Ç "The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries." , ss.293 - 314, 2019.
ISNAD	KURT CİHANGİR, Çiğdem. "The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries". (2019), 293-314.

APA	KURT CİHANGİR Ç (2019). The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. Muhasebe ve Finansman Dergisi, 0(81), 293 - 314.
Chicago	KURT CİHANGİR Çiğdem The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. Muhasebe ve Finansman Dergisi 0, no.81 (2019): 293 - 314.
MLA	KURT CİHANGİR Çiğdem The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. Muhasebe ve Finansman Dergisi, vol.0, no.81, 2019, ss.293 - 314.
AMA	KURT CİHANGİR Ç The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. Muhasebe ve Finansman Dergisi. 2019; 0(81): 293 - 314.
Vancouver	KURT CİHANGİR Ç The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries. Muhasebe ve Finansman Dergisi. 2019; 0(81): 293 - 314.
IEEE	KURT CİHANGİR Ç "The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries." Muhasebe ve Finansman Dergisi, 0, ss.293 - 314, 2019.
ISNAD	KURT CİHANGİR, Çiğdem. "The Effect of Commodity Volatility Indexes and FED Fund Rates on the Stock Market Indices of Developing Countries". Muhasebe ve Finansman Dergisi 81 (2019), 293-314.