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COVID-19 DÖNEMİNDE HİSSE SENEDİ PİYASASINDA BULAŞMA ETKİSİ

Yıl 2023, Cilt: 11 Sayı: 3, 112 - 126, 20.10.2023

Osman Emre Arlı Berkan Ataş

https://doi.org/10.52122/nisantasisbd.1347687

Öz

Bulaşma etkisi (contagion effect) bir piyasada meydana gelen fiyat hareketliliğinin yayılarak başka bir piyasaya sirayetini ifade etmektedir. Varlık piyasası dalgalanma geçişkenliği, finansal kriz dönemlerinde, volatilite ve korelasyonlardaki değişikliklerle ilişkili risklerin ötesinde önemli bulaşma risklerine yol açabilir. Bu kanallar, varlık getirilerinin yüksek dereceli anlamsız değişikliklerinde meydana gelen şokların iletimini içerir ve varlık piyasaları arasındaki volatilite ve ortalama getiriler arasındaki etkileşimdeki değişikliklerden kaynaklanan eşçarpıklıklarda oynamalar meydana getirmektedir. Bu çalışmada Covid-19 pandemisi döneminde BIST hisse senetleri piyasası ve altın, döviz, ham petrol volatilitesi üzerindeki bulaşma etkisi araştırılmıştır. Çalışmada volatilite bulaşma etkisini ölçmek için korelasyon, eşçarpıklık, eşbasıklık ve eşvolatilite testleri uygulanmıştır. Çalışmanın sonuçları bahsi geçen piyasalar arasında yüksek momentler üzerinden bulaşma etkisi olduğunu göstermektedir. Sonuçlarımız, varlık yönetimi, bulaşma olaylarının daha iyi anlaşılması ve finansal istikrar gözetimi için ihtiyati önlem araçların geliştirilmesi açısından önem arz etmektedir.

Anahtar Kelimeler

Bulaşma etkisi Eşçarpıklık Covid-19

Kaynakça

  • Al-Deehani, T., & Moosa, I. A., (2006). “Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-series Approach”, Emerging Markets Finance Trade 42 (4), 78–89.
  • Apergis, N., Christou, C., & Kynigakis I., (2019). “Contagion across US and European financial markets: Evidence from the CDS markets”, Journal of International Money and Finance, 96, 1-12.
  • Bayraktar, A., (2020). “COVID-19 Pandemisinin Finansal Etkileri: BİST İmalat Sektörü Uygulamasi”, Electronic Turkish Studies, 15 (8), 3415-3427.
  • Black, F., (1972). “Capital Market Equilibrium with Restricted Borrowing”, The Journal of Business, 45 (3), 444–454.
  • Brunnermeier, M. K., & Pedersen, L. H., (2009). “Funding Liquidity and Market Liquidity”, Review of Financial Studies, 22 (6), 2202–2238.
  • Cayon, E., & Thorp, S., (2014). “Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds”, Emerging Markets Finance Trade 50, 122–139
  • Doğan, E., Özdemir, O., & Özarslan Doğan, B., (2022). “Covid-19 Pandemic and Speculative Behaviors: An Empirical Evidence of Stock Markets”, Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11 (2), 462-479
  • Fernandez, V., (2005). “Time-Scale Decomposition of Price Transmission in International Markets”, Emerging Markets Finance & Trade 41 (4), 57–90.
  • Forbes, K., & Rigobon, R., (2002). “No Contagion, Only Interdependence: Measuring Stock Market Comovements”, The Journal of Finance, 57(5), 2223–2261.
  • Fry-Mckibbin, R., Martin, V. L., & Tang, C., (2010). “A New Class of Tests of Contagion with Applications”, Journal of Business & Economic Statistics, 28 (3), 423–437.
  • Fry-Mckibbin, R., & Hsiao, C. Y., (2018). “Extremal Dependence Tests for Contagion”, Econometric Reviews. 37 (6), 626-649.
  • Gökbulut, R. İ., (2017). “An Empirical Analysis of Volatility Transmission Between BIST and International Stock Markets”, Ekonomik ve Sosyal Araştırmalar Dergisi, 13 (1), 141-159.
  • Harvey, C. R., & Siddique, A., (2000). “Conditional Skewness in Asset Pricing Tests”, The Journal of Finance, 55, 1263–1295.
  • Hasler, M., & Ornthanalai, C., (2018). “Fluctuating Attention and Financial Contagion”, Journal of Monetary Economics, 99, 106–123.
  • Hui, E. C. M., & Chan, K. K. K., (2021). "New Test of Contagion with Application on The Brexit Referendum," Physica A: Statistical Mechanics and its Applications, 564.
  • Kara, A., Hacihasanoglu Y. S., & Unalmis D., (2021). "Financial Contagion and The Role of Firm Characteristics," Finance Research Letters, 38.
  • King, M. A., & Wadhwani S., (1990). “Transmission Of Volatility Between Stock Markets”, The Review of Financial Studies, 3 (1), 5–33.
  • Kostakis, A., Muhammad K., & Siganos A., (2012). “Higher Co-Moments and Asset Pricing on London Stock Exchange”, Journal of Banking & Finance. 36 (3), 913–922.
  • Kraus, A., & Litzenberger R., (1976). “Skewness Preferences and The Valuation of Risk Assets”, The Journal of Finance, 31 (4), 1085–1100.
  • Lestano, L., & Kuper G. H., (2015). “Correlation Dynamics in East Asian Financial Markets”, Emerging Markets Finance Trade, 52 (2), 382-399.
  • Lintner, J., (1965). “The Valuation of Risk Assets and The Selection of Risky Investments In Stock Portfolios And Capital Budgets”, The Review of Economics and Statistics, 47 (1), 13–37.
  • Liu, Y., & Hongbing O., (2014). “Spillover and Comovement: The Contagion Mechanism of Systemic Risks Between the U.S and Chinese Stock Markets”. Emerg. Markets Finance Trade, 50, 109–121.
  • Olbrys, J., (2013). “Price And Volatility Spillovers in The Case of Stock Markets Located in Different Time Zones”, Emerging Markets Finance & Trade, 49, 145–157.
  • Özden, D., & Ural, M., (2020). “Küresel Finans Krizinin Finansal Bulaşıcılık Modeli ile BİST30 Endeksinde Analizi”, İzmir İktisat Dergisi, 35 (4), 857-877.
  • Poti, V., & Wang, D., (2010). “The Coskewness Puzzle”, Journal of Banking & Finance, 34 (8), 1827–1838.
  • Sharpe, W. F., (1964). “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, The Journal of Finance, 19 (3), 425–442.
  • Smith, D. R., (2007). “Conditional Coskewness and Asset Pricing”, Journal of Empirical Finance, 14 (1), 91–119.
  • Tabak, B. M., Miranda, R. D. C., & Medeiros M. D. S., (2016). “Contagion in CDS, Banking and Equity Markets”, Economic Systems, 40 (1), 120-134,
  • Wen F., Tong, X., & Ren X., (2022). “Gold or Bitcoin, Which Is the Safe Haven During The COVID-19 Pandemic?” International Review of Financial Analysis, 81.
  • You, J., Liu C., & Du, G., (2014). “With Economic Integration Comes Financial Contagion? Evidence from CHINA”, Emerging Markets Finance & Trade, 50 (3), 62–80.

CONTAGION EFFECT IN THE BIST STOCK MARKET

Yıl 2023, Cilt: 11 Sayı: 3, 112 - 126, 20.10.2023

Osman Emre Arlı Berkan Ataş

https://doi.org/10.52122/nisantasisbd.1347687

Öz

The contagion effect refers to the transfer of price fluctuations from one market to others. In periods of turmoil, the relationship between various asset markets can result in substantial risks of contagion that go further the typical risks connected with changes in volatility and correlation. This can occur through various channels, such as the spread of shocks caused by transformations in the statistical relationships on asset returns, including changes in the relationship between average yields and volatility across different markets. This paper analyses the contagion of the BIST stock market on the volatility of gold, foreign exchange, and crude oil markets during the Covid-19 period. The correlation, coskewness, cocurtosis, covolatility test applied to measure the volatility contagion. The result shows contagions among the mentioned markets through higher moments. Our results are essential for asset management and developing preventive measures for financial stability.

Anahtar Kelimeler

Contagion effect Coskewness Covid-19

Kaynakça

  • Al-Deehani, T., & Moosa, I. A., (2006). “Volatility Spillover in Regional Emerging Stock Markets: A Structural Time-series Approach”, Emerging Markets Finance Trade 42 (4), 78–89.
  • Apergis, N., Christou, C., & Kynigakis I., (2019). “Contagion across US and European financial markets: Evidence from the CDS markets”, Journal of International Money and Finance, 96, 1-12.
  • Bayraktar, A., (2020). “COVID-19 Pandemisinin Finansal Etkileri: BİST İmalat Sektörü Uygulamasi”, Electronic Turkish Studies, 15 (8), 3415-3427.
  • Black, F., (1972). “Capital Market Equilibrium with Restricted Borrowing”, The Journal of Business, 45 (3), 444–454.
  • Brunnermeier, M. K., & Pedersen, L. H., (2009). “Funding Liquidity and Market Liquidity”, Review of Financial Studies, 22 (6), 2202–2238.
  • Cayon, E., & Thorp, S., (2014). “Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds”, Emerging Markets Finance Trade 50, 122–139
  • Doğan, E., Özdemir, O., & Özarslan Doğan, B., (2022). “Covid-19 Pandemic and Speculative Behaviors: An Empirical Evidence of Stock Markets”, Kırklareli Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 11 (2), 462-479
  • Fernandez, V., (2005). “Time-Scale Decomposition of Price Transmission in International Markets”, Emerging Markets Finance & Trade 41 (4), 57–90.
  • Forbes, K., & Rigobon, R., (2002). “No Contagion, Only Interdependence: Measuring Stock Market Comovements”, The Journal of Finance, 57(5), 2223–2261.
  • Fry-Mckibbin, R., Martin, V. L., & Tang, C., (2010). “A New Class of Tests of Contagion with Applications”, Journal of Business & Economic Statistics, 28 (3), 423–437.
  • Fry-Mckibbin, R., & Hsiao, C. Y., (2018). “Extremal Dependence Tests for Contagion”, Econometric Reviews. 37 (6), 626-649.
  • Gökbulut, R. İ., (2017). “An Empirical Analysis of Volatility Transmission Between BIST and International Stock Markets”, Ekonomik ve Sosyal Araştırmalar Dergisi, 13 (1), 141-159.
  • Harvey, C. R., & Siddique, A., (2000). “Conditional Skewness in Asset Pricing Tests”, The Journal of Finance, 55, 1263–1295.
  • Hasler, M., & Ornthanalai, C., (2018). “Fluctuating Attention and Financial Contagion”, Journal of Monetary Economics, 99, 106–123.
  • Hui, E. C. M., & Chan, K. K. K., (2021). "New Test of Contagion with Application on The Brexit Referendum," Physica A: Statistical Mechanics and its Applications, 564.
  • Kara, A., Hacihasanoglu Y. S., & Unalmis D., (2021). "Financial Contagion and The Role of Firm Characteristics," Finance Research Letters, 38.
  • King, M. A., & Wadhwani S., (1990). “Transmission Of Volatility Between Stock Markets”, The Review of Financial Studies, 3 (1), 5–33.
  • Kostakis, A., Muhammad K., & Siganos A., (2012). “Higher Co-Moments and Asset Pricing on London Stock Exchange”, Journal of Banking & Finance. 36 (3), 913–922.
  • Kraus, A., & Litzenberger R., (1976). “Skewness Preferences and The Valuation of Risk Assets”, The Journal of Finance, 31 (4), 1085–1100.
  • Lestano, L., & Kuper G. H., (2015). “Correlation Dynamics in East Asian Financial Markets”, Emerging Markets Finance Trade, 52 (2), 382-399.
  • Lintner, J., (1965). “The Valuation of Risk Assets and The Selection of Risky Investments In Stock Portfolios And Capital Budgets”, The Review of Economics and Statistics, 47 (1), 13–37.
  • Liu, Y., & Hongbing O., (2014). “Spillover and Comovement: The Contagion Mechanism of Systemic Risks Between the U.S and Chinese Stock Markets”. Emerg. Markets Finance Trade, 50, 109–121.
  • Olbrys, J., (2013). “Price And Volatility Spillovers in The Case of Stock Markets Located in Different Time Zones”, Emerging Markets Finance & Trade, 49, 145–157.
  • Özden, D., & Ural, M., (2020). “Küresel Finans Krizinin Finansal Bulaşıcılık Modeli ile BİST30 Endeksinde Analizi”, İzmir İktisat Dergisi, 35 (4), 857-877.
  • Poti, V., & Wang, D., (2010). “The Coskewness Puzzle”, Journal of Banking & Finance, 34 (8), 1827–1838.
  • Sharpe, W. F., (1964). “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk”, The Journal of Finance, 19 (3), 425–442.
  • Smith, D. R., (2007). “Conditional Coskewness and Asset Pricing”, Journal of Empirical Finance, 14 (1), 91–119.
  • Tabak, B. M., Miranda, R. D. C., & Medeiros M. D. S., (2016). “Contagion in CDS, Banking and Equity Markets”, Economic Systems, 40 (1), 120-134,
  • Wen F., Tong, X., & Ren X., (2022). “Gold or Bitcoin, Which Is the Safe Haven During The COVID-19 Pandemic?” International Review of Financial Analysis, 81.
  • You, J., Liu C., & Du, G., (2014). “With Economic Integration Comes Financial Contagion? Evidence from CHINA”, Emerging Markets Finance & Trade, 50 (3), 62–80.
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Beşeri Coğrafya (Diğer)
Bölüm Araştırma Makalesi
Yazarlar

Osman Emre Arlı 0000-0002-7756-9372

Berkan Ataş 0000-0003-3049-3195

Yayımlanma Tarihi 20 Ekim 2023
Yayımlandığı Sayı Yıl 2023 Cilt: 11 Sayı: 3

Kaynak Göster

APA Arlı, O. E., & Ataş, B. (2023). CONTAGION EFFECT IN THE BIST STOCK MARKET. Nişantaşı Üniversitesi Sosyal Bilimler Dergisi, 11(3), 112-126. https://doi.org/10.52122/nisantasisbd.1347687
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