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OALib Journal期刊

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AN ANALYSIS OF VOLATILITY STRUCTURE AND REGIME SWITCHING OF BIST CITY INDICES
Ender BAYKUT
- , 2018,
Abstract: This study attempts to determine volatility and regime switching structure of BIST C？ty Indices over 2012-2017 period by using daily closing values. Three asymmetrical (EGARCH, TGARCH and PARCH) as well as two symmetrical (ARCH and GARCH) models were tested to reveal any asymmetrical conditions in comparing the volatilities and regime switching structure of XSADA, XSANT, XSANK, XSBAL, XSBUR, XSDNZ, XSIST, XSIZM, XSKAY, XSKOC, XSKON and XSTKR. For each model, three lagged values were calculated. TIC coefficients were used in comparing the models. The analyses of the volatility persistency reveal that XSKOC index is the most volatile and XSKAY index is the most stable according to remaining indices. The results of daily volatilities reveal that XSANT is the most volatile index while XSKOC is the most stable index. As a result of the analysis in order to determine regime structure of indices, two regimes were detected for all (12) indices which were taken into consideration. According to findings, the indices generally prefer to stay in higher regime if they are in the high regime and they tend to shift from low regime to the high regime if they are in low regime. XSBUR Index offers significant opportunities to the investors while staying 62.06 days in the high regime period whereas XSADA index was determined as the shortest high regime-staying period through only 9.41 days. XSIZM Index was determined as the worst index based on its duration (7.18 days) for staying in low regime. On the other hand, the XSKAY Index was detected as the shortest-staying index in low regime and fastest index escape from the decline trend
SPILLOVERS OF STOCK RETURN VOLATILITY TO TURKISH EQUITY MARKETS FROM GERMANY, FRANCE, AND AMERICA
Deniz ERER,Koray KAYALIDERE,Sibel KAR？IN,Tuna Can GüLE？
- , 2018,
Abstract: The aim of this study is to examine the volatility spillover effects of German, French and American stock market indices on BIST 100 Turkish stock market index. Dataset consists of daily closing price observations starting from January 2, 2004, until February 6, 2017, for indices DAX 30, CAC 40, S&P 500 and BIST 100. E-GARCH(1,1) method has been used to model the conditional variance. Volatility is in a relatively narrow band under a non-crisis economic conjuncture. On the other hand, it is expected that the global risk will be higher during crisis periods. Therefore, the differentiation in the volatility spillover behavior among the markets while under different economic conditions is a rational expectation. In this regard, the Threshold VAR (TVAR) model was used in the study. In the result of the study, it has been observed that the volatility spillover effect on the BIST 100 index is relatively low in the regimes where the global risk is low, whereas the effect is relatively higher in the regime where the global risk is high. Furthermore, results of analysis also indicate that S&P is the most influential index to affect BIST 100 both in high and low-risk regimes
The Effect of The Federal Reserve Bank (FED) and European Central Bank (ECB) Decisions on Financial Markets
Ali Hep？en,Zekeriya O？uz O？uz Se？me
- , 2018,
Abstract: Volatility in financial markets is known as a measure of uncertainty on future asset prices or the returns. Since volatility is a major risk measure for modern financial theories, risk management is an important factor for strategic financial planning and policy analysis. The researches on the crisis was especially examined the volatility spillover effect. It is known that the impact of volatility spillover increases in the period of crisis with developing economic systems, new financial architecture and international financial integration. Thus, in this study, the volatility spillover effects of financial markets between United States, Turkey, Germany, Spain, Hungary, and Poland are examined within the 2008 global crisis. In order to detect the volatility transmission, the effects of the FED’s and the ECB's decisions / shocks on the studied markets were investigated by the BEKK-GARCH method. As a result, it was determined that all other countries examined except of Hungary were affected in FED interest rate decisions in the short term
ASYMMETRY EFFECT IN DUAL LONG MEMORY: BIST BANK CASE
Harun KAYA,？smail ？EL？K
- , 2019,
Abstract: The aim of this paper is to test the efficient market hypothesis by examining the dual long memory feature of the Turkish banking sector index in return and volatility with the ARFIMA-FIGARCH and ARFIMA-FIEGARCH models. For this purpose, closing prices of 2008-2017 period Stock Exchange Istanbul Bank Index (XUBANK) were used as data set in the model. According to the ARFIMA-FIGARCH model estimates established according to different error distribution assumptions to test the dual long memory, while no findings can be obtained about the long memory feature in the return; the volatility has long been supported by findings that support long memory. Moreover, it has been determined that structural break has no statistical effect on the long memory related to the volatility in the mentioned period. In order to measure the asymmetric effect of the information shocks, the ARFIMA-FIEGARCH model was estimated according to the Student-t distribution and it was found that there was no long memory in the return. However, it was observed that the rate of long memory in the volatility of return was 0.74 and the negative information shocks caused more volatility than the positive information shocks
MODELLING VOLATILITY AND FORECASTING BIST100 RETURN BY USING ANFIS
Hakan Pabu？cu,Nurdan De？irmenci
- , 2018,
Abstract: Stock market volatility is considered as an important issue in financial literature and is defined as sudden instability that occurs in the price of any security. Volatility also represents the uncertainty that affects investors' decision-making processes in financial markets in the face of possible variations. In many countries, especially in emerging financial markets, both investors and policy makers are often confronted with increasing risk and uncertainty problems. Accordingly, considering volatility is crucial for investors to predict the return of financial assets, especially in long-term investment decisions. Volatility, which expresses the variability of any financial asset, has a very important place in the estimation of the return. In this study, the volatility of the Turkish stock market was estimated through the GARCH models using the Stock Exchange Istanbul100 (BIST100) index. Whether the stock market index has an asymmetric effect is investigated using the EGARCH model. It is very difficult to predict the uncertainty and chaotic behavior of the BIST100 index by traditional methods. For this reason, the fuzzy logic and neural network hybrid model, which is widely used in the model of uncertainty, has been applied to estimate the stock return in the study. The dataset used in the study includes daily stock closing prices for the period 2009-2017. As a result of the extensive literature survey, no studies have been found on the use of fuzzy logic based approaches in estimating and continuing volatility. For this reason, it is thought that working has an original value
PREDICTION OF STOCK EXCHANGE ISTANBUL INDEX (BIST 100) RETURN VOLATILITY WITH ARCH AND GARCH MODELS
Serdar KUZU
- , 2018,
Abstract: Due to the increasing volatility movements as the capital markets develop day by day, the globalization movement, the increase in the types of risk and the increasing uncertainty as the resulting markets become more complex, the analysis of stock market structures has become more important. Increasing volatility due to the leverage effects, asymmetry, etc. qualities in the financial series, could prevent the effective pricing of stocks in the stock markets. Especially developing countries have higher levels of openness and fragility. So it has great importance to establish the concept of volatility in securities exchanges in developing countries. In concurrence with the development in information communication technologies, the possibility of trading 24 hours/a day on the market has emerged. Estimating the volatility variable, which has recently become the most important variable in the investment decisions of the global investor, has become even more important especially in developing countries, since they are more fragile than developed countries. Estimating this variable has become even more important, especially for decision-makers who are considering investing in or partnering with the company. Since the conventional models are insufficient to express the volatility variable; ARCH, GARCH, EGARCH and TGARCH models, which are nonlinear conditional variance models, have begun to be used. The aim of the study is to analyze the return volatility of the BIST 100 Index by the ARCH, GARCH, EGARCH and TGARCH models. BIST 100 Index, which covers the 2011-2017 / 3 period with its daily closing values, are taken into account. As a result of the study, it was observed that TGARCH model, which has the highest level of explanatory power, gave the most successful results among related models in revealing BIST 100 return volatility
Ham Petrol Fiyatlar ndaki Volatilitenin Gayri Safi Yurti i Has la Büyümesi üzerindeki Etkileri: Türkiye rne i( The Effects on Gross Domestic Product Growth of Crude Oil Price Volatility: A Case Study for Turkey)
Arif ？ZSA？IR,Birol ERKAN,Mehmet ？ENTüRK,O？uz KARA
Y？netim ve Ekonomi , 2011,
Abstract: In this paper, the relationship between international crude oil prices and GDP growth in Turkey was studied for 1987-2007 period. Crude oil prices with reference to the study,. Include annual average data. GDP data was obtained from Central Bank of Turkish as US dolar. With a view to display cointegration relationship between the data, Angle Granger and Johansen methods were applied. Notwithstanding, the results were inquired with VAR method. In the meanwhile; Dickey Fuller, Unit Root and Modified Akaike tests were executed too. Crude oil prices volatility effects on GDP growth, and also affect in question has appeared especially as from the second period (1997-2007).
INTERACTION BETWEEN FINANCIAL MARKET INDEXES AND GOLD MARKET: AN APPLICATION TO DEVELOPING COUNTRIES
Ay？egül ？EK？？,Buket TA？TAN
- , 2019,
Abstract: Developing countries are the ones with high economical potential and provide high income opportunities to the investors. Beside the fact that these countries have a high growth rates they also include high risks. In order to prevent risks some protection measures could be taken. In this perspective, gold is commonly accepted as a safe haven. Aim of this study is to show whether gold is safe for investors in the risky markets. For this purpose interactions between developing market indexes and the gold market have been analyzed. In the study, Turkey, China, Brazil, Russia and India are selected and market index data of these are examined. In addition international gold price series are included into the data set for an indicator of gold market. This study covers the period of 01.01.2010-01.10.2018 and DCC methodology which deals with time dependent correlations is implemented. According to the results the correlations between gold market and other markets are time varying and volatile
RELATIONSHIP BETWEEN VIX AND BIST 100: FREQUENCY DOMA？N CAUSAL？TY TEST
？a？atay Ba？ar？r
- , 2018,
Abstract: The objective of this study is to determine the relationship between VIX (Volatility Index) and BIST 100 index. The causality relationship between VIX and BIST 100 index is analyzed using daily data for the period 03.01.2000 - 09.02.2018 with frequency domain causality test. According to the results of the analysis, neither a temporary nor a permanent causality relationship from BIST 100 index to VIX is found. However, both a temporary and a permanent causality relationship is found from VIX to BIST 100 index unidirectionally. Consequently, investors can use the information of VIX index to make estimation of VIX in the short and in the long run
REGIME RELATED VOLATILITY IN OIL FUTURES PRICES
AYBEN KOY
- , 2018,
Abstract: Oil futures prices, which have undergone major changes, maintain an important research topic for academics. Oil prices, which tended to decline for political and economic reasons in the 1990s, fell to as low as 12 US dollars after the Asian Crisis, rising again in 2002. The oil prices, which have fallen again after the 2008 crisis, have not reached the level of 100 US dollars again. ？This study explains the volatility of petroleum futures contracts as low and high volatility in two regimes by the Markov Regime Switching GARCH model. In the study based on 7077 observations in a long sample period from January 1990 to October 2017, the transition probabilities and durations between two different volatility regimes of oil futures prices are explained. The volatility of the oil futures contract is switching between two regimes with low volatility and high volatility depending on a markov process
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