ANALYSIS OF THE INTERACTION OF VOLATILITY BETWEEN BIST BANK INDEX (XBANK) AND DEVELOPED COUNTRY BANKING INDICES WITH DCC-GARCH MODEL

Ercüment Doğru; Batuhan Medetoğlu

Makale detayları

ANALYSIS OF THE INTERACTION OF VOLATILITY BETWEEN BIST BANK INDEX (XBANK) AND DEVELOPED COUNTRY BANKING INDICES WITH DCC-GARCH MODEL

Yazarlar:

Ercüment Doğru | Batuhan Medetoğlu

Yayıncı:

Anadolu University

Ana Başlıklar:

Finance

Dergi:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.24 Issue 1, pp.75-90

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286451

pISSN:

2687-184X

Anahtar kelimeler:

Özet:

 With the development of information technologies, there has been a great increase in the number of financial assets that investors can trade in different country markets. The decrease in the costs and realization times of the transactions has increased the speed of the investors transition between the markets. The shocks that arise due to the distribution of investments in different markets also affect other markets. Knowing this interaction between markets at the stage of reducing portfolio risk, making international portfolio diversification and determining the hedging ratio will increase the expected benefit from the investment. In this study, the volatility relationship between the Borsa İstanbul BIST Bank Index XBANK and the USA NASDAQ IXBX, Germany DAX CXPBX, UK FTSE 350 FTNMX and France CAC FRFIN Bank Indices was analyzed with the DCC-GARCH model. Within the scope of the study, the daily closing prices of the five indexes for the period 01.01.2015-20.07.2022 were used. As a result of the analysis; It has been determined that there is a mutual volatility spread between DAX CXPBX and FTSE 350 FTNMX indices and XBANK, and one-way volatility spread from XBANK to the CAC FRFIN index. In addition, it has been determined that there is a time-dependent, positive correlation relationship between the bank indices examined and XBANK.

 With the development of information technologies, there has been a great increase in the number of financial assets that investors can trade in different country markets. The decrease in the costs and realization times of the transactions has increased the speed of the investors transition between the markets. The shocks that arise due to the distribution of investments in different markets also affect other markets. Knowing this interaction between markets at the stage of reducing portfolio risk, making international portfolio diversification and determining the hedging ratio will increase the expected benefit from the investment. In this study, the volatility relationship between the Borsa İstanbul BIST Bank Index XBANK and the USA NASDAQ IXBX, Germany DAX CXPBX, UK FTSE 350 FTNMX and France CAC FRFIN Bank Indices was analyzed with the DCC-GARCH model. Within the scope of the study, the daily closing prices of the five indexes for the period 01.01.2015-20.07.2022 were used. As a result of the analysis; It has been determined that there is a mutual volatility spread between DAX CXPBX and FTSE 350 FTNMX indices and XBANK, and one-way volatility spread from XBANK to the CAC FRFIN index. In addition, it has been determined that there is a time-dependent, positive correlation relationship between the bank indices examined and XBANK.

 With the development of information technologies, there has been a great increase in the number of financial assets that investors can trade in different country markets. The decrease in the costs and realization times of the transactions has increased the speed of the investors transition between the markets. The shocks that arise due to the distribution of investments in different markets also affect other markets. Knowing this interaction between markets at the stage of reducing portfolio risk, making international portfolio diversification and determining the hedging ratio will increase the expected benefit from the investment. In this study, the volatility relationship between the Borsa İstanbul BIST Bank Index XBANK and the USA NASDAQ IXBX, Germany DAX CXPBX, UK FTSE 350 FTNMX and France CAC FRFIN Bank Indices was analyzed with the DCC-GARCH model. Within the scope of the study, the daily closing prices of the five indexes for the period 01.01.2015-20.07.2022 were used. As a result of the analysis; It has been determined that there is a mutual volatility spread between DAX CXPBX and FTSE 350 FTNMX indices and XBANK, and one-way volatility spread from XBANK to the CAC FRFIN index. In addition, it has been determined that there is a time-dependent, positive correlation relationship between the bank indices examined and XBANK.

 Bilgi teknolojilerinin gelişimi ile yatırımcıların farklı ülke piyasalarında işlem yapabileceği finansal varlık sayısında büyük artış meydana gelmiştir. İşlemlerin maliyetlerinde ve gerçekleşme süresindeki düşüş, yatırımcıların piyasalar arasındaki geçiş hızını artırmıştır. Yatırımların farklı piyasalara dağılması nedeniyle ortaya çıkan şoklar, diğer piyasaları da etkilemektedir. Portföy riskinin azaltılması, uluslararası portföy çeşitlendirmesinin yapılması ve riskten korunma oranının belirlenmesi aşamasında piyasalar arasındaki bu etkileşimin bilinmesi yatırımdan beklenen faydayı artıracaktır. Bu çalışmada, Borsa İstanbul BIST Banka Endeksi XBANK ile ABD NASDAQ IXBX, Almanya DAX CXPBX, İngiltere FTSE 350 FTNMX ve Fransa CAC FRFIN Banka Endeksleri arasındaki volatilite ilişkisi DCC-GARCH modeli ile incelenmiştir. Çalışma kapsamında beş endeksin 01.01.201520.07.2022 dönemi günlük kapanış fiyatları kullanılmıştır. Analiz sonucunda; DAX CXPBX ve FTSE 350 FTNMX endeksleri ile XBANK arasında karşılıklı volatilite yayılımının olduğu, XBANKtan ise CAC FRFIN endeksine tek yönlü volatilite yayılımının olduğu belirlenmiştir. Ayrıca, incelenen banka endeksleri ile XBANK arasında zamana bağlı değişen, pozitif yönlü korelasyon ilişkinin olduğu tespit edilmiştir.

Makale detayları

ANALYSIS OF THE INTERACTION OF VOLATILITY BETWEEN BIST BANK INDEX (XBANK) AND DEVELOPED COUNTRY BANKING INDICES WITH DCC-GARCH MODEL

Yazarlar:

Ercüment Doğru | Batuhan Medetoğlu

Yayıncı:

Anadolu University

Ana Başlıklar:

Finance

Dergi:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.24 Issue 1, pp.75-90

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286451

pISSN:

2687-184X

Banking Indices

Volatility Interaction

DCC-GARCH

Bankacılık Endeksleri

Volatilite Etkileşimi

DCC-GARCH

Sayı

Makale detayları

ANALYSIS OF THE INTERACTION OF VOLATILITY BETWEEN BIST BANK INDEX (XBANK) AND DEVELOPED COUNTRY BANKING INDICES WITH DCC-GARCH MODEL

Yazarlar: Ercüment Doğru | Batuhan Medetoğlu

Yayıncı: Anadolu University

Ana Başlıklar: Finance

Dergi: Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.24 Issue 1, pp.75-90

Belge Tipi: Makale

Yayın Tarihi: 3/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001286451

pISSN: 2687-184X

Banking Indices

Volatility Interaction

DCC-GARCH

Bankacılık Endeksleri

Volatilite Etkileşimi

DCC-GARCH

Sayı

Yazarlar:

Ercüment Doğru | Batuhan Medetoğlu

Yayıncı:

Anadolu University

Ana Başlıklar:

Finance

Dergi:

Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.24 Issue 1, pp.75-90

Belge Tipi:

Makale

Yayın Tarihi:

3/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001286451

pISSN:

2687-184X