KÜRESEL LİKİDİTE KOŞULLARININ BORSA İSTANBUL ENDEKSLERİNE ETKİLERİ
Date
2022-01-18
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Abstract
Küreselleşme ve finansal serbestleşmenin bir sonucu olarak, bir ülkenin
finansal piyasasında yaşanan bir değişiklik yerel bir etkiyle sınırlı kalmamakta, diğer
finansal piyasalara da yayılmaktadır. Bu tez çalışmasında, küresel likidite koşullarının
Borsa İstanbul üzerindeki etkilerinin analiz edilmesi amaçlanmıştır. Bu kapsamda,
01.01.2010 – 31.03.2020 tarihleri arası BIST 100 endeksi log-getirileri ile VIX
endeksinin günlük kapanış verileri, bir Çok Değişkenli GARCH model spesifikasyonu
olan Sabit Koşullu Korelasyon GARCH (CCC-GARCH) yöntemi ve Gecikmesi
Dağıtılmış Otoregresif (ARDL) model kullanılarak analiz edilmiştir. Çalışmada VIX
endeksi, global likiditeyi temsilen vekil değişken olarak kullanılmıştır. Elde edilen
ampirik sonuçlar, beklentilerle paralel olarak VIX ve BIST 100 endeksleri arasında
negatif korelasyon olduğu, BIST 100 endeksinin küresel finansal piyasalarla tam
entegre olduğu ve dolayısıyla küresel likidite koşullarında meydana gelen bir şokun
BIST 100 endeksini de etkilediği yönündedir.
Description
The Impacts of Global Liquidity Conditions on
Borsa Istanbul Indices, MA Thesis
ABSTRACT: As a result of globalization and financial liberalization, a change in the financial market of a country is not limited to a local effect, but spreads to other financial markets. In this thesis, it is aimed to analyze the impact of global liquidity conditions on Borsa Istanbul. For this purpose, BIST 100 index log-returns and daily closing data of VIX index were analyzed by utilizing Constant Conditional Correlation GARCH (CCC-GARCH) method, which is a Multivariate GARCH model specification, and Autoregressive Distributed Lag (ARDL) model for the period between January 2010 and March 2020. VIX index was used as a proxy variable representing global liquidity. The empirical results obtained are consistent with a priori expectations that there is a negative correlation between the VIX and BIST 100 indices. The BIST 100 index is fully integrated with the global financial markets and therefore a shock occurring in the global liquidity conditions also affects the BIST 100 index.
ABSTRACT: As a result of globalization and financial liberalization, a change in the financial market of a country is not limited to a local effect, but spreads to other financial markets. In this thesis, it is aimed to analyze the impact of global liquidity conditions on Borsa Istanbul. For this purpose, BIST 100 index log-returns and daily closing data of VIX index were analyzed by utilizing Constant Conditional Correlation GARCH (CCC-GARCH) method, which is a Multivariate GARCH model specification, and Autoregressive Distributed Lag (ARDL) model for the period between January 2010 and March 2020. VIX index was used as a proxy variable representing global liquidity. The empirical results obtained are consistent with a priori expectations that there is a negative correlation between the VIX and BIST 100 indices. The BIST 100 index is fully integrated with the global financial markets and therefore a shock occurring in the global liquidity conditions also affects the BIST 100 index.
Keywords
business