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Journals / OPUS Uluslararası Toplum Araştırmaları Dergisi / 2020 / Cilt: 16 - Sayı: 30

Financial Connectedness in Emerging Markets

Gelişmekte Olan Piyasalarda Finansal Bağlantılılık

Eray GEMİCİ
Pages
3134–3160
Publication Date
2020-10-31
DOI
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AI Summary & Key Takeaways

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

Considering the findings obtained from the study, it is thought that the study is important for portfolio managers and market regulators in portfolio diversification and for estimating market volatility.

📌 3 Key Takeaways

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Objective & Hypothesis:This study aims to examine the financial connectedness between emerging E7 (Brazil, Russia, India, China, Indonesia, Mexico and, Turkey) stock markets.
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Key Findings & Data:For this purpose, the connectedness between E7 stock markets was examined using the Diebold and Yilmaz (2009,2012) method for the period of 02 July 1997 - 24 June 2020.
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Conclusion & Impact:Considering the findings obtained from the study, it is thought that the study is important for portfolio managers and market regulators in portfolio diversification and for estimating market volatility.
🔬Design:Research Article
📍Scope:2009 Verileri
⚙️Variables:Finansal bağlantılılık · toplam yayılma endeksi · gelişmekte olan piyasalar

Abstract

This study aims to examine the financial connectedness between emerging E7 (Brazil, Russia, India, China, Indonesia, Mexico and, Turkey) stock markets. For this purpose, the connectedness between E7 stock markets was examined using the Diebold and Yilmaz (2009,2012) method for the period of 02 July 1997 - 24 June 2020. The findings of the study revealed that the total volatility spillover index among E7 country stock markets was low level. It was seen that the highest financial risk transition and risk receiving to other countries originated from the Mexican and Brazilian stock markets, respectively. On the other hand, the Chinese stock market remained at a low level in terms of risk transmission and risk receiving compared to the markets of the other six countries. In addition, the total volatility index was analyzed according to the 200-day rolling windows approach and the highest financial risk transition between E7 country stock markets was determined as the COVID-19 pandemic period. However, according to the 200-day rolling windows approach, the period in which the financial risk transition between E7 country stock markets is the highest indicates the COVID-19 pandemic period. Considering the findings obtained from the study, it is thought that the study is important for portfolio managers and market regulators in portfolio diversification and for estimating market volatility.

Özet

Bu çalışma, gelişmekte olan E7 ülke borsaları (Brezilya, Rusya, Hindistan, Çin, Endonezya, Meksika ve Türkiye) arasındaki finansal bağlantılılığı incelemeyi amaçlamaktadır. Bu amaç doğrultusunda 02 Temmuz 1997-24 Haziran 2020 dönemi için E7 ülke borsaları arasındaki finansal bağlantılılık Diebold ve Yılmaz (2009,2012) yöntemi ile incelenmiştir. Çalışmada elde edilen bulgular, E7 ülke borsaları arasındaki toplam volatilite yayılım endeksinin düşük seviyede olduğunu ortaya koymuştur. Özellikle diğer ülkelere doğru en yüksek finansal risk geçişinin ve risk alışının sırasıyla Meksika ve Brezilya borsalarından kaynaklandığı görülmüştür. Diğer yandan Çin borsası, diğer altı ülke piyasalarına göre risk yayma ve risk alma noktasında düşük seviyede kalmıştır. Ayrıca toplam volatilite endeksi 200 günlük kayan pencereler yaklaşımına göre incelenmiş ve E7 ülke borsaları arasındaki finansal risk geçişinin en yüksek olduğu dönem COVID-19 pandemi dönemi olarak tespit edilmiştir. Çalışmadan elde edilen bulgular dikkate alındığında çalışmanın portföy çeşitlendirmesinde ve piyasa volatilitesinin tahmin edilmesi için portföy yöneticileri ve piyasa düzenleyiciler için önem arz ettiği düşünülmektedir

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Cite This Article

GEMİCİ, E. (2020). Financial Connectedness in Emerging Markets. OPUS Uluslararası Toplum Araştırmaları Dergisi, Cilt: 16 - Sayı: 30, 3134–3160. https://ajindex.com/articles/76630

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