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Journals / Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2018 / Cilt: 36 Sayı: 4

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

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

Gürkan Bozma
Selim Başar
Pages
1–15
Publication Date
2018-12-30
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

In addition, the conditional variance of the Turkey is affected by the long-run volatility of the Romanian stock market.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Due to technological advances, stocks and commodity markets have become single market.
📊
Key Findings & Data:In this study, the volatility between Turkey, Romania, Poland, Hungary and Ukrainian stock market was examined by using the VAR (1) M-GARCH model.
💡
Conclusion & Impact:In addition, the conditional variance of the Turkey is affected by the long-run volatility of the Romanian stock market.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Borsa · Oynaklık Geçişkenliği · Romanya

Abstract

Due to technological advances, stocks and commodity markets have become single market. There is a high degree of volatility among the stock markets especially opening in the same time frame. In this study, the volatility between Turkey, Romania, Poland, Hungary and Ukrainian stock market was examined by using the VAR (1) M-GARCH model. Before applying the VAR (1)-M-GARCH model, it was tried to be determined by using the Johansen Cointegration method based on the maximum likelihood method whether there is a long-run relationship between stock exchanges. A long-run relationship was determined among the stock market according to the Johansen Cointegration test. The volatility of stock exchange volatility is examined with the using VAR (1) -M-GARCH-BEKK model. As a result of the findings, the conditional variance of the Turkey (BIST-100) is affected by its short-run shocks and long-run volatility as well as the short-run shocks and the long-run volatility that have occurred in the Poland and Hungary stock markets. In addition, the conditional variance of the Turkey is affected by the long-run volatility of the Romanian stock market.

Özet

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.

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Cite This Article

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, Cilt: 36 Sayı: 4, 1–15. https://doi.org/10.17065/huniibf.346119

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