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KÜRESEL KRİZLERİN GELİŞMEKTE OLAN PİYASALAR ÜZERİNDEKİ ETKİSİ

Year 2023, Volume: 8 Issue: 1, 203 - 214, 31.03.2023
https://doi.org/10.29106/fesa.1233485

Abstract

Bu çalışma, küresel krizin ortaya çıkışını ve gelişmekte olan piyasaların kriz ortamına tepkisini incelemektedir. Bu amaçla Morgan Stanley tarafından “Kırılgan Beşli” olarak tanımlanan ülkeler (Türkiye, Hindistan, Brezilya, Endonezya ve Güney Afrika) çalışma konusu olarak seçilmiştir. Küresel olumsuzluğun Kırılgan Beşli pazarlara etkisini ölçmek için COVID-19'un etkili olduğu 2 Ocak 2020 ile 21 Temmuz 2022 arasındaki dönem seçilmiştir. Çalışmaya konu olan indeksleri tahmin etmek için TARCH ve EGARCH modelleri kullanılmaktadır. TARCH model kestirimi sonucunda SNSX ve FTSE endeksleri için asimetrik etkiyi gösteren katsayının anlamlı olduğu tespit edilmiştir. EGARCH model tahmini sonucunda BIST100, BVSP ve JKSE endekslerinde asimetrik etkiyi gösteren katsayı negatif ve anlamlıdır. Bu sonuçlara göre çalışma, küresel piyasalarda meydana gelen olumsuz bir şokun oynaklık üzerinde önemli bir etkiye sahip olduğunu savunmaktadır.

References

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THE EFFECT OF GLOBAL CRISES ON EMERGING MARKETS

Year 2023, Volume: 8 Issue: 1, 203 - 214, 31.03.2023
https://doi.org/10.29106/fesa.1233485

Abstract

Example example example example example example example example example example example example example example In this study, the emergence of the global crisis and the response of emerging markets to the crisis environment are investigated. For this purpose, the countries defined as the ‘Fragile Five’ (Turkey, India, Brazil, Indonesia and South Africa) by Morgan Stanley have been selected as the subject of the study. In order to measure the impact of global negativity on the Fragile Five markets, the period between January 2, 2020 and July 21, 2022, when COVID-19 was effective, has been chosen. TARCH and EGARCH models are used for the estimation of the indices subject to the study. As a result of the TARCH model estimation, it is determined that the coefficient showing the asymmetric effect for the SNSX and FTSE indices is significant. As a result of the EGARCH model estimation, the coefficient showing the asymmetric effect in BIST100, BVSP and JKSE indices is negative and significant. According to these results, the study argues that a negative shock in global markets has a significant effect on volatility.

References

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  • AL-AWADHİ, A. M., ALSAİFİ, K., AL-AWADHİ, A., and ALHAMMADİ, S. (2020). Death and Contagious İnfectious Diseases: Impact of the COVID-19 Virus on Stock Market Returns. Journal of Behavioral and Experimental Finance, 27, 100326. https://doi.org/10.1016/j.jbef.2020.100326
  • ALBULESCU, C. T. (2021). COVID-19 and the United States Financial Markets’ Volatility. Finance Research Letters, 38, 101699. https://doi.org/10.1016/j.frl.2020.101699
  • ALİ, G. (2013). EGARCH, GJR-GARCH, TGARCH, AVGARCH, NGARCH, IGARCH and APARCH Models for Pathogens at Marine Recreational Sites. Journal of Statistical and Econometric Methods, 2(3): 57-73.
  • ALİ, M., ALAM, N., and RİZVİ, S. A. R. (2020). Coronavirus (COVID-19)—An Epidemic or Pandemic for Financial Markets. Journal of Behavioral and Experimental Finance, 27, 100341. https://doi.org/10.1016/j.jbef.2020.100341
  • AMEWU, G., JUNİOR, P. O., and AMENYİTOR, E. A. (2022). Co-Movement between Equity İndex and Exchange Rate: Fresh Evidence from COVID-19 Era. Scientific African, Volume 16, e01146. https://doi.org/10.1016/j.sciaf.2022.e01146
  • ASHRAF, B. N. (2020). Stock Markets’ Reaction to COVID-19: Cases or Fatalities?. Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249
  • AYDİN, R., ALPAGUT, S., POLAT, İ. H., and LÖGÜN, A. (2021). Country Analysis of the Impact of Covid-19 on Share Markets. Journal of Applied Economics and Business Research JAEBR, 11(2), 80-89.
  • BAİ, L., WEİ, Y., WEİ, G., Lİ, X., and ZHANG, S. (2021). Infectious Disease Pandemic and Permanent Volatility of İnternational Stock Markets: A Long-Term Perspective. Finance Research Letters, 40, 101709. https://doi.org/10.1016/j.frl.2020.101709
  • BAKAS, D. and TRİANTAFYLLOU, A. (2020). Commodity Price Volatility and the Economic Uncertainty of Pandemics. Economics Letters, 193, 109283. https://doi.org/10.1016/j.econlet.2020.109283
  • BAKER, S. R., BLOOM, N., DAVİS, S. J., KOST, K. J., SAMMON, M. C., and VİRATYOSİN T. (2020). The Unprecedented Stock Market İmpact of COVID-19 (National Bureau of Economic Research (NBER) Working Paper Series 26945). National Bureau of Economic Research Inc. Cambridge, Massachusetts, United State. http://www.nber.org/papers/w26945
  • BİSSOONDOYAL-BHEENİCK, E., DO, H., HU, X., and ZHONG, A. (2022). Sentiment and Stock Market Connectedness: Evidence from the US–China Trade War. International Review of Financial Analysis, 80, 102031. https://doi.org/10.1016/j.irfa.2022.102031
  • BOLLERSLEV, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
  • BOUBAKER, H., ZORGATİ, M. B. S., and BANNOUR, N. (2021). Interdependence between Exchange Rates: Evidence from Multivariate Analysis Since the Financial Crisis to the COVID-19 Crisis. Economic Analysis and Policy, 71, 592-608. https://doi.org/10.1016/j.eap.2021.06.014
  • BOUBAKER, S., GOODELL, J. W., PANDEY, D. K., and KUMARİ, V. (2022). Heterogeneous İmpacts of Wars on Global Equity Markets: Evidence from the İnvasion of Ukraine. Finance Research Letters, 48, 102934. https://doi.org/10.1016/j.frl.2022.102934
  • BOUNGOU, W., and YATİÉ, A. (2022). The İmpact of the Ukraine–Russia War on World Stock Market Returns. Economics Letters, 215, 110516. https://doi.org/10.1016/j.econlet.2022.110516
  • CHAN, K. F., CHEN, Z., WEN, Y., and XU, T. (2022). COVID-19 Vaccines and Global Stock Markets. Finance Research Letters, 102774. https://doi.org/10.1016/j.frl.2022.102774
  • CHARLES, A., and DARNÉ, O. (2006). Large Shocks and the September 11th terrorist Attacks an İnternational Stock Markets. Economic Modelling, 23(4), 683-698. https://doi.org/10.1016/j.econmod.2006.03.008
  • CHOUDHRY, T. (2010). World War II Events and the Dow Jones İndustrial İndex. Journal of Banking & Finance, 34(5), 1022-1031. https://doi.org/10.1016/j.jbankfin.2009.11.004
  • DHAMİJA, A. K., and BHALLA, V. K. (2010). Financial Time Series Forecasting: Comparison of Neural Networks and ARCH Models. International Research Journal of Finance and Economics, 49, 185-202.
  • DÍAZ, F., HENRÍQUEZ, P. A., and WİNKELRİED, D. (2022). Stock Market Volatility and the COVID-19 Reproductive Number. Research in İnternational Business and Finance, 59, 101517. https://doi.org/10.1016/j.ribaf.2021.101517
  • DİNG, W., LEVİNE, R., LİN, C., and XİE, W. (2021). Corporate İmmunity to the COVID-19 Pandemic. Journal of Financial Economics, 141(2), 802-830. https://doi.org/10.1016/j.jfineco.2021.03.005
  • DONG, X., SONG, L., and YOON, S. M. (2021). How Have the Dependence Structures between Stock Markets and Economic Factors Changed During the COVID-19 Pandemic?. The North American Journal of Economics and Finance, 58, 101546. https://doi.org/10.1016/j.najef.2021.101546
  • ENGLE, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987–1007. https://doi.org/10.2307/1912773
  • ENGLE, R.F., and NG, V.K. (1993) Measuring and Testing the Impact of News on Volatility. Journal of Finance, 48, 1749-1778.
  • FENG, G. F., YANG, H. C., GONG, Q., and CHANG, C. P. (2021). What is the Exchange Rate Volatility Response to COVID-19 and Government İnterventions?. Economic Analysis and Policy, 69, 705-719. https://doi.org/10.1016/j.eap.2021.01.018
  • FREY, B. S., and KUCHER, M. (2000). World War II as Reflected on Capital Markets. Economics Letters, 69(2), 187-191. https://doi.org/10.1016/S0165-1765(00)00269-X
  • FREY, B., and KUCHER, M. (2001). Wars and markets: How Bond Values Reflect the Second World War. Economica, 68(271), 317-333. https://doi.org/10.1111/1468-0335.00249
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There are 62 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Araştırma Makaleleri
Authors

Rahman Aydın 0000-0003-0440-7468

İlyas Kays İmamoğlu 0000-0002-7732-4148

Early Pub Date March 31, 2023
Publication Date March 31, 2023
Submission Date January 13, 2023
Acceptance Date March 10, 2023
Published in Issue Year 2023 Volume: 8 Issue: 1

Cite

APA Aydın, R., & İmamoğlu, İ. K. (2023). THE EFFECT OF GLOBAL CRISES ON EMERGING MARKETS. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 8(1), 203-214. https://doi.org/10.29106/fesa.1233485