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Year 2020, Volume 10 , Issue 2, Pages 19 - 41 2020-12-30

VOLATILITY SPILLOVER EFFECT AMONG CREDIT DEFAULT SWAP PREMIUM AND STOCK MARKETS: EVIDENCES FROM TURKEY
KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR

Selim GÜNGÖR [1] , Elif ERER [2]


The purpose of this study is to put forward volatility spillover effect and direction of spillover between CDS premiums and stock markets by the period 01.05.2010-12.31.2019 for Turkey with multivariate GARCH models and causality in variance test. In this direction, firstly in the study, the most suitable volatility model for both series has been investigated, it has been determined that there is an ARMA (0,1)-FIAPARCH (1,1) model. Then, the volatility spillover effect between series has been investigated by DCC-FIAPARCH model, it has been concluded that there is a statistically significant and negative volatility spillover effect between series. Finally in the study, the direction of the spillover between series, has been investigated by Hafner and Herwartz (2006) causality in variance test, it has been determined that the volatility spillover between series is bidirectional.
Bu çalışmanın amacı, Türkiye’nin 05.01.2010-31.12.2019 dönemi için CDS primleri ile hisse senedi piyasaları arasındaki oynaklık yayılım etkisini ve yayılımın yönünü çok değişkenli GARCH modelleri ve varyansta nedensellik testiyle ortaya koymaktır. Bu doğrultuda çalışmada ilk olarak, seriler için en uygun oynaklık modeli araştırılmış, ARMA (0,1)-FIAPARCH (1,1) modelinin olduğu belirlenmiştir. Daha sonra, seriler arasındaki oynaklık yayılım etkisi DCC-FIAPARCH (1,1) modeli ile araştırılmış, seriler arasında istatistiksel açıdan anlamlı ve negatif bir oynaklık yayılım etkisinin olduğu bulguları elde edilmiştir. Çalışmada son olarak, seriler arasındaki yayılımının yönü Hafner ve Herwartz (2006) varyansta nedensellik testi ile araştırılmış, oynaklık yayılımının karşılıklı olduğu tespit edilmiştir.
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Primary Language tr
Subjects Social
Journal Section Makaleler
Authors

Orcid: 0000-0002-2997-1113
Author: Selim GÜNGÖR (Primary Author)
Institution: TOKAT GAZİOSMANPAŞA ÜNİVERSİTESİ
Country: Turkey


Orcid: 0000-0002-2238-4602
Author: Elif ERER
Institution: Bağımsız Araştırmacı
Country: Turkey


Dates

Publication Date : December 30, 2020

Bibtex @research article { ksuiibf778698, journal = {Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi}, issn = {2146-5908}, eissn = {2536-4464}, address = {}, publisher = {Kahramanmaras Sutcu Imam University}, year = {2020}, volume = {10}, pages = {19 - 41}, doi = {10.47147/ksuiibf.778698}, title = {KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR}, key = {cite}, author = {Güngör, Selim and Erer, Elif} }
APA Güngör, S , Erer, E . (2020). KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR . Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , 10 (2) , 19-41 . DOI: 10.47147/ksuiibf.778698
MLA Güngör, S , Erer, E . "KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR" . Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 10 (2020 ): 19-41 <http://iibfdergisi.ksu.edu.tr/en/pub/issue/59132/778698>
Chicago Güngör, S , Erer, E . "KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR". Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 10 (2020 ): 19-41
RIS TY - JOUR T1 - KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR AU - Selim Güngör , Elif Erer Y1 - 2020 PY - 2020 N1 - doi: 10.47147/ksuiibf.778698 DO - 10.47147/ksuiibf.778698 T2 - Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi JF - Journal JO - JOR SP - 19 EP - 41 VL - 10 IS - 2 SN - 2146-5908-2536-4464 M3 - doi: 10.47147/ksuiibf.778698 UR - https://doi.org/10.47147/ksuiibf.778698 Y2 - 2020 ER -
EndNote %0 Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR %A Selim Güngör , Elif Erer %T KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR %D 2020 %J Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi %P 2146-5908-2536-4464 %V 10 %N 2 %R doi: 10.47147/ksuiibf.778698 %U 10.47147/ksuiibf.778698
ISNAD Güngör, Selim , Erer, Elif . "KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR". Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 10 / 2 (December 2020): 19-41 . https://doi.org/10.47147/ksuiibf.778698
AMA Güngör S , Erer E . KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR. Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2020; 10(2): 19-41.
Vancouver Güngör S , Erer E . KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR. Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2020; 10(2): 19-41.
IEEE S. Güngör and E. Erer , "KREDİ TEMERRÜT SWAP PRİMLERİ İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ OYNAKLIK YAYILIM ETKİSİ: TÜRKİYE’DEN KANITLAR", Kahramanmaraş Sütçü İmam Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 10, no. 2, pp. 19-41, Dec. 2021, doi:10.47147/ksuiibf.778698