A Comparative Analysis of BIST100 Index Volatility by COVID-19 and 2008 Global Financial Crisis Periods
نویسندگان
چکیده
COVID-19’un yaratt??? sa?l?k krizi, son dönemlerde dünyan?n önemli bir k?sm?n? ayn? sorun paydas?nda birle?tirmi?tir. Ekonomi ve finans perspektifinden bak?ld???nda, hala ya?anmakta olan krizin reel kesime sermaye piyasalar?na etkisi pek çok çal??ma ile ortaya konulmu?tur. Bu çal??man?n amac?, COVID-19 krizinin BIST100 endeks getiri volatilitesine etkisinin ara?t?r?lmas? ya?anan 2008 küresel finansal kriz kar??la?t?r?lmas?d?r. Bunun için getirilerinin volatilitesi 2006-2020 dönemleri aras?nda incelenmi?tir. Çal??mada ARCH, GARCH, ARCH-M, GARCH-M, TGARCH EGARCH yöntemleri analiz edilmi?tir. Söz konusu yöntemleri, tüm varsay?mlar? k?s?tlamalar? sa?lamaktad?r. Çal??mada, öncelikle endeksinin günlük dura?anl??? edilmi? serilerin düzeyde dura?an oldu?u görülmü?tür. Dura?an belirlenen serilerde Haziran 2006-Aral?k 2010 dönemi Ocak 2020-Eylül 2020 olarak belirlenmi? bu dönemlere kukla (0,1) de?i?kenler atanarak modeller kurulmu?tur. Çal??ma sonuçlar? genellenecek olursa, dönemlerinin üzerindeki etkileri kabul edilebilmektedir. Ancak etki, döneminden ziyade döneminde daha belirgin görülmektedir. yan?nda endeksinde asimetrik etki kald?raç da bulgular aras?ndad?r.
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ژورنال
عنوان ژورنال: Aksaray üniversitesi iktisadi ve idari bilimler fakültesi dergisi
سال: 2021
ISSN: ['2687-3427']
DOI: https://doi.org/10.52791/aksarayiibd.878079