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Kriz Döneminde Yükselen Piyasa Ekonomileri, Euro Bölgesi ve ABD piyasaları Arasındaki Volatilite Yayılmasının İncelenmesi :Varyansta-Granger-Nedensellik Testinden Kanıtlar

Author

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  • Önder Büberkökü

    (FEAS, Çukurova University, Adana, Turkey)

Abstract

Bu çalışmada kriz dönemi de dikkate alınarak Yükselen piyasa ekonomileri (Emerging markets, EM) , Euro bölgesi ve ABD piyasaları arasındaki volatilite yayılması (volatility spillover) incelenmiştir.Euro bölgesi ve EM için MSCI bölge endeksleri ,ABD içinse MSCI ülke endeksi kullanılmıştır. Volatilite yayılmasının tespitinde Cheung-Ng(1996) tarafından önerilen varyansta-Granger-nedensellik (Granger-casuality-in-variance) testinden yararlanılmış ve bu amaçla AR(p)-EGARCH(p,q)-GED modeli kullanılmıştır.Çalışma bulguları , genel olarak,hem kriz öncesi dönemde hem de kriz dönemi dikkate alındığında ABD piyasalarındaki volatilitenin hem Euro hem de EM piyasalarını etkilediğini fakat bu piyasaların hiçbirinden etkilenmediğini göstermektedir.Ayrıca, EM piyasalarındaki volatilitenin her iki dönemde de Euro bölgesi volatilitesi üzerinde etkili olduğu fakat Euro bölgesindeki volatilitenin sadece kriz öncesi dönemde EM piyasalarını etkilediği anlaşılmaktadır.

Suggested Citation

  • Önder Büberkökü, 2013. "Kriz Döneminde Yükselen Piyasa Ekonomileri, Euro Bölgesi ve ABD piyasaları Arasındaki Volatilite Yayılmasının İncelenmesi :Varyansta-Granger-Nedensellik Testinden Kanıtlar," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 208, Ekonomik Yaklasim Association.
    • Handle: RePEc:eyd:cp2013:208
    Note: [English Title] Volatility spillovers across the Euro area, the US and emerging markets: Evidence from causality-in-variance testing [English Abstract] This study examines volatility spillovers across the Euro area, the US and emerging markets before and during the recent financial crisis period. To this end, the MSCI emerging, MSCI Euro and MSCI US indices are used. The dataset adopted herein consists of daily stock indices and covers the period from January 1, 2003 to April 30, 2013, comprising 2695 observations for each index. Cheung and Ng (1996) causality-in-variance test based on the AR(p)- EGARCH(p,q)–GED model is employed to examine volatility spillovers across these three markets. The results show that in both the pre-crisis period and the crisis period, there are volatility spillovers from the US market to the Euro area and emerging markets, but no such volatility spillovers from these two markets to the US. It is also found that volatility in emerging markets affected that in the Euro area in both periods, whereas the latter only significantly influenced emerging markets in the pre-crisis period. These results imply that the US market plays a dominant role in volatility spillovers and that country-specific shocks may be the main source of volatility for the US. Additionally, shocks originating in the Euro area in the crisis period affects only domestic volatility. Furthermore, MSCI BRIC and MSCI Europe indices are also used to get more comprehensive results. [English Keywords] Volatility spillover, Financial crisis, US, Euro area, Emerging markets
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    More about this item

    Keywords

    Volatilite yayılması; Finansal kriz; ABD; Euro bölgesi; Yükselen piyasa ekonomileri;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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