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Makroekonomik Değişkenler Ve İmkb 100 Endeksi Arasındaki İlişkinin Belirlenmesi

Author

Listed:
  • Cem K. ARSLAN

    (Gaziosmanpaşa Üniversitesi)

  • Cumhur ERDEM

    (Gaziosmanpaşa Üniversitesi)

  • Meziyet Sema ERDEM

    (Gaziosmanpaşa Üniversitesi)

Abstract

Makro ekonomik değişkenler ile IMKB 100 endeksi arasındaki volatilite geçişliliği Ocak 1991 den Ocak 2004 kadar olan aylık veriler kullanılarak incelenmiştir. Değişkenler arasındaki volatilite geçişliliğinin testinde VAR modeli kullanılmıştır. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) modelinden, mevsimsellik ve kriz düzeltmesi yapılarak elde edilen şartlı varyanslar volatilite yerine kullanılmıştır. VAR modelinden elde edilen sonuçlara göre; faiz oranı, döviz kuru ve M1 para arzından IMKB 100 endeksine tek yönlü volatilite geçişliliğinin olduğu saptanmıştır.

Suggested Citation

  • Cem K. ARSLAN & Cumhur ERDEM & Meziyet Sema ERDEM, 2006. "Makroekonomik Değişkenler Ve İmkb 100 Endeksi Arasındaki İlişkinin Belirlenmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 21(239), pages 125-135.
    • Handle: RePEc:iif:iifjrn:v:21:y:2006:i:239:p:125-135
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    More about this item

    Keywords

    makro ekonomik değişkenler; garch; volatilite geçişliliği; ımkb;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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