Author :
DOI : 10.29228/ijbemp.49244
Year-Number: 2021-1
Yayımlanma Tarihi: 2021-06-18 12:58:20.0
Language : Türkçe
Konu : Finans
Abstract
Çalışmanın amacı, zımni volatilite, gerçekleşen volatilite, döviz kuru ve likiditenin Borsa İstanbul 100 (BİST100) endeksinin getirisi üzerindeki asimetrik etkilerini araştırmaktır. 02 Ocak 2012-30 Kasım 2020 dönemine ait günlük verileri kapsayan çalışmada, gerek değişkenlerin gerekse bu değişkenler ile kurulan modelin doğrusal olmaması nedeniyle, Markov Rejim Değişimi yöntemi kullanılmıştır. Analiz sonuçları, ele alınan dönemde iki farklı getiri rejiminin varlığını ortaya koymaktadır. Zımni volatiliteyi temsil eden CBOE VIX endeksinin her iki rejimde de BİST100 getirisi üzerinde negatif ve anlamlı bir etkisinin olduğu görülmüştür. Dolar/TL döviz kuru da her iki rejimde negatif katsayı almakla beraber yalnızca yüksek getirili dönemde anlamlı bulunmuştur. Likiditeyi temsilen işlem hacmi devir hızı oranı kullanılmıştır ve her iki rejimde de istatistiksel olarak anlamlı bulunmuştur. Ancak katsayısı yüksek getirili dönemde pozitif iken düşük getirili dönemde negatiftir. Volatilite değişkeni ise anlamlı bulunmamıştır. Bulgular Borsa İstanbul’un küresel piyasalardaki gelişmelerden etkilendiğini ve işlem hacminin piyasanın genel trendini desteklediğini ortaya koymaktadır.
Keywords
Abstract
This study investigates the assymetric effects of implied volatility, realized volatility, exchange rate and liquidity on Borsa İstanbul 100 (BİST100) index returns. Data covers the period from 02 January 2012 to 30 November 2020. Since the variables and model doesn’t satisfy the linearity conditons, Markov Switching Model is prefered. Results confirm the existance of two significant regimes for BİST100 returns. Implied volatility proxied by CBOE VIX index is found to be significant with its negative coefficients in both regimes. Dollar/TL exchange rate has negative coefficients in both regimes but significant only in regimes of expansion. Turnover ratio used as the proxy of liquidity and is found significant in both states. But coefficients of liquidity suggest that its impact is assymetric over two states. Liquidity affects index returns positively during the regimes of expansion and negatively during contraciton. Realized volatility is not significant in any states. Results suggest that Borsa İstanbul exposed influences from global financial markets and investors follow the general trend of the market.
Keywords
- Abbas, G., Bashir, U., Wang, S., Zebende, G. F. and Ishfaq, M. (2019), “The Return and Volatility Nexus Among Stock Market and Macroeconomic Fundamentals for China”, Physica A, 526,
- Acar Boyacıoğlu, M. ve Çürük, C. (2016), “Döviz Kuru Değişimlerinin Hisse Senedi Getirisine Etkisi: Borsa İstanbul 100 Endeksi Üzerine bir Uygulama”, Muhasebe ve Finansman Dergisi, 70, 143-156.
- Alkan, B. and Çiçek, S. (2020), “Spillover Effect in Financial Markets in Turkey”, Central Bank Review, 20, 56-64.
- Altunöz, U. (2016), “Döviz Kuru ile Hisse Senedi Fiyatları Arasındaki İlişkinin Ampirik Analizi: Gelişen Ülkeler Örneği”, Uluslararası Yönetim, İktisat ve İşletme Dergisi, ICAFR Özel Sayısı, 12(12), 663-671.
- Amihud, Y., (2002), “Illiquidity and Stock Returns: Cross-Section and Time-Series Effects”, Journal of Financial Markets, 5(1): 31-56.
- Angelidis, T., Andrikopoulos, A. (2010), “Idiosyncratic Risk, Returns and Liquidity in the London Stock Exchange: A Spillover Approach”, International Review of Financial Analysis, 19, 214
- Assefa, T. A. and Mollick, A. V. (2014), “African Stock Market Returns and Liquidity Premia”, Journal of International Financial Markets, Institutions & Money, 32, 325-341.
- Bae, J., Kim, C.-J. and Nelson, C. R. (2007), “Why are Stock Returns and Volatility Negatively Correlated?”, Journal of Empirical Finance, 14, 41-58.
- Baker, M., Wurgler, J., (2006), “Investor Sentiment and the Cross-Section of Stock Returns”, The Journal of Finance, 61, 1645–1680.
- Bams, D. and Honarvar, I. (2021), “VIX and Liquidity Premium”, International Review of Financial Analysis, 74, 101655.
- Batten, J. A. and Vo, X. V. (2014), “Liquidity and Return Relationships in an Emerging Market”, Emerging Markets Finance and Trade, 50(1), 5-21.
- Bayçelebi, B. E. ve Ertuğrul, M. (2020), “BIST Banka Endeksi Volatilitesinin GARCH Modelleri Kullanılarak Modellenmesi”, Anadolu Üniversitesi Sosyal Bilimler Dergisi, 20(1), 233-244.
- Baumöhl, E., Kocenda, E., Lyocsa, S. and Vyrost, T. (2018), “Networks of Volatility Spillovers among Stock Markets”, Physica A, 490, 1555-1574.
- Berke, B. (2012), “Döviz Kuru ve İMKB100 Endeksi İlişkisi: Yeni bir Test”, Maliye Dergisi, 163, 243-257.
- Bhattacharya, S. N., Bhattacharya, M. and Basu, S. (2019), “Stock Market and its Liquidity: Evidence from ARDL Bound Testing Approach in the Indian Context”, Cogent Economics & Finance, 7(1), 1586297.
- Boloupremo, T. (2020), “Stock Market Liquidity and Firm Performance in the Nigerian Stock Exchange”, International Journal of Commerce and Finance, 6(1), 31-40.
- Bouri, E., Gupta, R., Hosseini, S. and Lau, C. K. M. (2018), “Does Global Fear Predict Fear in BRICS Stok Markets? Evidence from a Bayesian Graphical Structural VAR Model”, Emerging Markets Review, 34, 124-142.
- Bollerslev, T., Engle, R.F. & Nelson, D.B. (1994), “ARCH Models”, in Handbook of Econometrics Volume IV. Edited by R.F. Engle and D.L McFadden. Elsevier Science. (Aktaran Korkmaz, T. ve Bostancı, A. (2011), “RMD Hesaplamalarında Volatilite Tahminleme Modellerinin Karşılaştırılması ve Basel II Yaklaşımına Göre Geriye Dönük Test Edilmesi: İMKB 100 endeksi uygulaması”, Business and Economics Research Journal, 2(3), 1-17.)
- Brana, S. and Prat, S. (2016), “The Effects of Global Excess Liquidity on Emerging Stock Market Rerturns: Evidence From a Panel Threshold Model”, Economic Modelling, 52, 26-34.
- Broock, W. A., Scheinkman, J. A., Dechert, W. D. and LeBaron, B. (1996), “A Test for Independence Based on the Correlation Dimension”, Econometric Reviews, 15(3), 197-235.
- Carr, P. and Wu, L. (2017), “Leverage Effect, Volatility Feedback and Self-Exciting Market Disruptions”, Journal of Finance and Quantitative Analysis, 52(5), 2119-2156.
- Chandra, A. and Thenmozhi, M. (2015), “On Asymmetric Relationship of India Volatility Index (India VIX) With Stock Market Return and Risk Management”, Decision, 42(1), 33-55.
- Chang, Y. Y., Faff, R. and Hwang, C.-Y. (2010), “Liquidity and Stock Returns in Japan: New Evidence”, Pacific-Basin Finance Journal, 18, 90-115.
- Chen, P. (2018), “Understanding International Stock Market Comovements: A Comparison of Developed and Emerging Markets”, International Review of Economics and Finance, 56, 451
- Cheuathonghua, M., Padungsaksawasdi, C., Boonchoo, P. and Tongurai, J. (2019), “Extreme Spillovers of VIX Fear Index to International Equity Markets”, Financial Markets and Portfolio Management, 33, 1–38.
- Chiang, T. C. and Zheng, D. (2015). Liquidity and Stock Returns: Evidence from International Markets. Global Finance Journal, 27, 73-97.
- Chkili, W. and Nguyen, D. K. (2014), “Exchange Rate Movements and Stock Market Returns in a Regime-Switching Environment: Evidence from BRICS Countries”, Research in International Business and Finance, 31, 46-56.
- Cingöz, F. ve Kendirli, S. (2019), “Altın Fiyatları, Döviz Kuru ve Borsa İstanbul Arasındaki İlişki”, Finans, Ekonomi ve Sosyal Araştırmalar Dergisi, 4(4), 545-554.
- Dahmene, M., Boughrara, A. and Slim, S. (2021), “Nonlinearity in Stock Returns: Do Risk Aversion, Investor Sentimentand, Monetary Policy Shocks Matter?”, International Review of Economics and Finance, 71, 676-699.
- Dimitriou, D. and Simos, T. (2011), “The Relationship Between Stock Returns and Volatility in the Seventeen Largest International Stock Markets: A Semi-Parametric Approach”, Modern Economy, 2(1), 1-8.
- Dinh, M. T. H. (2017), “The Returns, Risk And Liquidity Relationshipin High Frequency Trading: Evidence from Oslo Stock Market”, Research in International Business and Finance, 39, 30
- Dong, X. and Yoon, S.-M. (2019), “What Global Economic Factors Drive Emerging Asian Stock Market Returns? Evidence from a Dynamic Model Averaging Approach”, Economic Modelling, 77, 204-215.
- Dutt, T. and Humphery-Jenner, M. (2013), “Stock Return Volatility, Operating Performance and Stock Returns: International Evidence on Drivers of the ‘Low Volatility’ Anomaly”, Journal of Banking & Finance, 37, 999-1017.
- Economou, F., Panagopoulos, Y. and Tsouma, E. (2018), “Uncovering Asymmetries in the Relationship Between Fear and the Stock Market Using Hidden Co-intergration Approach”, Research in International Business and Finance, 44, 459-470.
- Erdoğan, S., Gedikli, A. and Çevik, E. İ. (2020), “Volatility Spillover Effects Between Islamic Stock Markets and Exchange Rates: Evidence from Three Emerging Markets”, Borsa İstanbul Review, 20(4), 322-333.
- Evci, S., Şak, N. ve Adana Karaağaç, G. (2016), “Altın Fiyatlarındaki Değişimin Markov Rejim Değişim Modelleriyle İncelenmesi”, Business and Economics Research Journal, 7(4), 67-77.
- Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance, 25(2), Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp.
- Gervais, S., Kaniel, R. and Mingelrin, D. H. (2001), “The High-Volume Return Premium”, The Journal of Finance, 56(3), 877-919.
- Gümrah, Ü. ve Çobanoğlu, C. (2018), “Türkiye Hisse Senedi Piyasasında Likidite ve Getiri İlişkisi”, Ömer Halisdemir Üniversitesi İİBF Dergisi, 11(2), 203-216.
- Gürgün, G. ve Canbaloğlu, B. (2020), “Hisse Senedi Piyasasında Likidite ve Getiri Oynaklığı İlişkisi: Borsa İstanbul Örneği”, İşletme Araştırmaları Dergisi, 12(1), 599-609.
- Hamilton, J. D. (1989), “A new Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle”, Econometrica, 57(2), 357-384.
- Hartian, K. R. and Sitorus, R. E. (2015). Liquidity and Returns: Evidences from Stock Indexes Around the World. Asian Economic and Financial Review, 5(1), 33-45.
- Hatipoğlu, M. and Tekin, B. (2017), “The Effects of VIX Index, Exchange Rate & Oil Prices on the BIST100 Index: A quantile regression approach”, Ordu University Journal of Social Science Research, 7(3), 627-634.
- Hull J.C., (2006), Optionen Futures und andere Derivate, Çev. Hendrik Hoffman, Pearson Studium, 6.Baskı, Münich. (Aktaran Korkmaz, T. ve Bostancı, A. (2011), “RMD Hesaplamalarında Volatilite Tahminleme Modellerinin Karşılaştırılması ve Basel II Yaklaşımına Göre Geriye Dönük Test Edilmesi: İMKB 100 Endeksi Uygulaması”, Business and Economics Research Journal, 2(3), 1-17.)
- Inaba, K.-I. (2020), “Information-Driven Stock Return Comovements Across Countries”, Research in International Business and Finance, 51, 101093.
- Ji, Q., Liu, B.-Y., Cunado, J. and Gupta, R. (2020), “Risk Spillover Between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data”, North American Journal of Economics and Finance, 51, 100846.
- Jin, X. (2017), “Time-Varying Return-Volatility Relation in International Stock Markets”, International Review of Economics and Finance, 51, 157-173.
- Jun, S.-G., Marathe, A. and Shawky, H. A. (2003), “Liquidity and Stock Returns in Emerging Equity Markets”, Emerging Markets Review, 4, 1-24.
- Just, M. and Echaust, K. (2020), “Stock Market Returns, Volatility, Correlation and liquidity During COVID-19 Crisis: Evidence from Markov Switching Approach”, Finance Research Letters, 37, 101775.
- Kale, S. and Akkaya, M. (2016), “The Relation Between Confidence Climate and Stock Returns: The Case of Turkey” Istanbul Conference of Economics and Finance, ICEF 2015, 22-23 October 2015, Istanbul, Turkey, Procedia Economics and Finance, 38, 150-162.
- Kaya, A. ve Çoşkun, A. (2015), “VIX Endeksi Menkul Kıymet Piyasalarının bir Nedeni midir? Borsa İstanbul Örneği”, C.Ü. İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(1), 175-186.
- Kaya, E. (2015), “Borsa İstanbul (BİST) 100 Endeksi ile Zımni Volatilite (VIX) Endeksi Arasındaki Eş-Bütünleşme ve Granger Nedensellik”, KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 17(28), 1-6.
- Kayhan, S., Bayat, T. ve Koçyiğit, A. (2013), “Enflasyon Hedeflemesi Rejiminde Öğrenme Süreci ve Asimetri: Markov Switching Yaklaşımı”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi,
- Korkmaz, T. ve Bostancı, A. (2011), “RMD Hesaplamalarında Volatilite Tahminleme Modellerinin Endeksi Uygulaması”, Business and Economics Research Journal, 2(3), 1-17.
- Lehkonen, H. and Heimonen, K. (2014), “Timescale-Dependent Stock Market Comovement: BRICs vs. Developed Markets”, Journal of Empirical Finance, 28, 90-103.
- Leirvik, T., Fiskerstrand, S. R. and Fjellvikas, A. B. (2017), “Market Liquidity and Stock Returns in Norvergian Stock Market”, Finance Research Letters, 21, 272-276.
- Li, Y. and Giles, D. E. (2013), “Modellin Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets”, University of Victoria, Econometrics Working Paper EWP1301.
- Li, Q., Yang, J., Hsiao, C. and Chang, Y.-J. (2005), “The Relationship Between Stock Returns and Volatility in International Stock Markets”, Journal of Empirical Finance, 12, 650-665.
- Marshall, B. R. and Young, M. (2003), “Liquidy and Stock Returns İn Pure Order-Driven Markets: Evidence from Australian Stock Market”, International Review of Financial Analysis, 12, 173
- Martinez, M. A., Nieto, B., Rubio, G. and Tapia, M. (2005), “Asset Pricing and Systematic Liquidity Risk: An Emprical İnvestigation of the Spanish Stock Market”, International Review of Economics and Finance, 14, 81-103.
- Narayan, P. K. and Zheng, X. (2011), “The Relationship Between Liquidity and Returns on the Chinese Stock Market”, Journal of Asian Economics, 22, 259-266.
- Pandey, A. and Sehgal, S. (2017), “Volatility Effect and the Role of Firm Quality Factor in Returns: Evidence from the Indian Stock Market”, IIMB Management Review, 29, 18-28.
- Ramsey, J. B. (1969), “Tests for Specification Errors in Classical Linear Least Squares Regression Analysis”, Journal of the Royal Statistical Society, Series B., 31 (2), 350–371.
- Reis, Ş. G. ve Aydın, N. (2014), “Pay Likiditesi ve Finansal Performans Arasındaki Nedensellik İlişkisi: Borsa İstanbul Uygulaması”, Gaziantep University Journal of Social Sciences, 13(3),
- Sarwar, G. (2012), “Is VIX an Investor Fear Gauge in BRIC Equity Market?”, Journal of Multinational Financial Management, 22, 55-65.
- Sarwar, G. and Khan, W. (2017), “The Effect of US Stock Market Uncertainty on Emerging Market Returns”, Emerging Markets Finance and Trade, 53(8), 1796-1811.
- Su, X. (2020), “Measuring Extreme Risk Spillovers Across İnternational Stock Markets: A Quantile Variance Decomposition Analysis”, North American Journal of Economics and Finance, 51,
- Tan, Z., Xiao, B., Huang, Y. and Zhou, L. (2021), “Value at Risk and Return in Chinese and US Stock Markets: Double Long Memory and Fractional Cointegration”, North American Journal of Economics and Finance, 56, 101371.
- Thampanya, N., Wu, J., Nasir, M. A. and Liu, J. (2020), “Fundamental and Behavioural Determinants of Stock Return Volatility in ASEAN-5 Countries”, Journal of International Financial Markets, Institutions and Money, 65, 101193.
- Wang, H. (2019), “VIX and Volatility Forecasting: A New Insight”, Physica A, 533, 121951. https://doi.org/10.1016/j.physa.2019.121951
- Xie, Z., Chen, S.-W. and Wu, A.-C. (2020), “The Foreign Exchange and Stock Market Nexus: New İnternational Evidence”, International Review of Economics and Finance, 67, 240-266.
