Finansal Piyasa Volatilitesi ve Ekonomi

AKAY KANALICI, Hülya; NARGELEÇEKENLER, Mehmet

Finansal Piyasa Volatilitesi ve Ekonomi

Hülya AKAY KANALICI, (Uludağ Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bursa, Türkiye)

Mehmet NARGELEÇEKENLER (Uludağ Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bursa, Türkiye)

Ankara Üniversitesi SBF Dergisi

3 4

Yıl: 2006 Cilt: 61 Sayı: 4 Sayfa Aralığı: 5 - 36 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022

Finansal Piyasa Volatilitesi ve Ekonomi

Öz:

Son yıllarda finansal piyasaların önemi artmış ve bu piyasalarda meydana gelen değişiklikler daha yakından izlenir hale gelmiştir, Bu nedenle finansal değişkenlerin volatilitesinin neden belirli düzeylerin üzerine çıktığı akademik' çevreler için önemli bir araştırma konusu olmuştur. Yüksek volatilite, kısa süre içinde değişkenlerin değerlerinin belirli bir ortalamadan uzaklaşması anlamına gelmektedir. Yatırımcı için olumsuz nokta, bu ani iniş ve çıkışların belirli bir temel nedene bağlı olmamasıdır. Bu ise özellikle küçük yatırımcı üzerinde olumsuz etkiler doğurarak piyasadan uzaklaşmalarına neden olur. Bu bağlamda volatilitenin kaynaklarının araştırılması ve bunun ekonomideki temel gelişmelerden ne denli etkilendiğinin irdelenmesi, diğer gelişmekte olan finansal piyasalarda olduğu gibi ülkemiz için de önemlidir. Bu çalışmada finansal volatilite, hisse senetleri ve döviz kuru dikkate alınarak incelenmektedir. Ayrıca çalışmada, IMKB Ulusal 100 kapanış fiyatları ve TL/Dolar satış fiyatı kullanılarak Türkiye'deki finansal volatilite tahmin edilmeye çalışılmıştır. Dolar kuru için uygun volatilite denklemi ARCH(2) modeli ve IMKB 100 için uygun volatilite denklemi ise GARCH(1,2) modeli bulunmuştur.

Anahtar Kelime: hisse senedi finansal piyasalar döviz kuru dalgalanmaları arch-garch kararsızlık imkb ulusal 100 endeksi

Konular: İşletme İktisat İşletme Finans

Financial Market Volatility and Economy

Öz:

In recent years, the importance of financial markets has increased and the changes in these markets have begun to be closely monitored. The question of why the financial market volatility is so high has become an important research area. Excess volatility means that the value of variables deviates from a certain average in short periods. The difficulty in finding a specific reason for this volatility is one of the main problems of investors. Due to this volatility, some of the investors leave the market. In this context, examining the sources of volatility and clarifying the relationship between volatility and other economic variables seem to be very important for the developing markets and for our country. In this paper, financial volatility is discussed by referring to stock prices and exchange rates. In addition, by using the variables of ISE data and TL/$ rate, financial volatility in Turkey is estimated. ARCH(2) volatility equation model is found appropriate for the exchange rate and GARCH(1,2) volatility equation model is found apropriate for ISE.

Anahtar Kelime: ise national 100 index stock financial markets exchange rate volatility arch-garch volatility

Konular: İşletme İktisat İşletme Finans

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

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APA	AKAY KANALICI H, NARGELEÇEKENLER M (2006). Finansal Piyasa Volatilitesi ve Ekonomi. , 5 - 36.
Chicago	AKAY KANALICI Hülya,NARGELEÇEKENLER Mehmet Finansal Piyasa Volatilitesi ve Ekonomi. (2006): 5 - 36.
MLA	AKAY KANALICI Hülya,NARGELEÇEKENLER Mehmet Finansal Piyasa Volatilitesi ve Ekonomi. , 2006, ss.5 - 36.
AMA	AKAY KANALICI H,NARGELEÇEKENLER M Finansal Piyasa Volatilitesi ve Ekonomi. . 2006; 5 - 36.
Vancouver	AKAY KANALICI H,NARGELEÇEKENLER M Finansal Piyasa Volatilitesi ve Ekonomi. . 2006; 5 - 36.
IEEE	AKAY KANALICI H,NARGELEÇEKENLER M "Finansal Piyasa Volatilitesi ve Ekonomi." , ss.5 - 36, 2006.
ISNAD	AKAY KANALICI, Hülya - NARGELEÇEKENLER, Mehmet. "Finansal Piyasa Volatilitesi ve Ekonomi". (2006), 5-36.

APA	AKAY KANALICI H, NARGELEÇEKENLER M (2006). Finansal Piyasa Volatilitesi ve Ekonomi. Ankara Üniversitesi SBF Dergisi, 61(4), 5 - 36.
Chicago	AKAY KANALICI Hülya,NARGELEÇEKENLER Mehmet Finansal Piyasa Volatilitesi ve Ekonomi. Ankara Üniversitesi SBF Dergisi 61, no.4 (2006): 5 - 36.
MLA	AKAY KANALICI Hülya,NARGELEÇEKENLER Mehmet Finansal Piyasa Volatilitesi ve Ekonomi. Ankara Üniversitesi SBF Dergisi, vol.61, no.4, 2006, ss.5 - 36.
AMA	AKAY KANALICI H,NARGELEÇEKENLER M Finansal Piyasa Volatilitesi ve Ekonomi. Ankara Üniversitesi SBF Dergisi. 2006; 61(4): 5 - 36.
Vancouver	AKAY KANALICI H,NARGELEÇEKENLER M Finansal Piyasa Volatilitesi ve Ekonomi. Ankara Üniversitesi SBF Dergisi. 2006; 61(4): 5 - 36.
IEEE	AKAY KANALICI H,NARGELEÇEKENLER M "Finansal Piyasa Volatilitesi ve Ekonomi." Ankara Üniversitesi SBF Dergisi, 61, ss.5 - 36, 2006.
ISNAD	AKAY KANALICI, Hülya - NARGELEÇEKENLER, Mehmet. "Finansal Piyasa Volatilitesi ve Ekonomi". Ankara Üniversitesi SBF Dergisi 61/4 (2006), 5-36.