COVID-19 SÜRECİNDE BORSALARARASI OYNAKLIK YAYILIMLARI: KIRILGAN BEŞLİ VE GELİŞMİŞ ÜLKE PİYASALARI ÖRNEĞİ

Kısa dönemde küresel piyasaları etkisi altına alan COVID-19 salgını ve salgının ekonomi ve finans piyasasında yarattığı korku ve endişe, varlık fiyatlarında ve finans piyasasında oynaklıkların artmasına neden olmuştur. Bu çalışma söz konusu dönemde; Endonezya, Türkiye, Brezilya, Hindistan ve Güney Afrika’dan oluşan kırılgan beşli piyasaları ile Fransa, ABD, Almanya, İngiltere ve Japonya’dan oluşan gelişmiş ülke piyasaları arasındaki oynaklık yayılımını araştırmaktadır. Diebold ve Yılmaz (2012) yayılım endeksi yönteminin kullanıldığı çalışmada; ülkelerin 5 Ocak 2015 – 28 Mayıs 2021 dönemi günlük verileri kullanılmış ve tahmin sonuçları, oynaklık yayılımının COVID-19’un Dünya Sağlık Örgütünce küresel salgın ilan edildiği 2020 Mart ayından itibaren hızla arttığını, 2021 Nisan ayından itibaren ise aşıların yaygınlık kazanmasıyla birlikte yayılımın salgın öncesi döneme döndüğünü göstermektedir. Tahmin sonuçları ayrıca; gelişmiş ülke piyasalarındaki oynaklık yayılımının kırılgan beşli piyasalarındaki oynaklık yayılımından daha yüksek olduğunu, BOVESPA (Brezilya) ve FTSE100 (İngiltere) piyasalarının en yüksek net oynaklık yayıcısı, JKSE (Endonezya) ve NIKKEI225 (Japonya) piyasalarının ise en yüksek oynaklık alıcısı olduğunu göstermiştir.

Anahtar Kelimeler:

Oynaklık Yayılımı, Borsalar, COVID-19, Kırılgan Beşli Piyasaları, Gelişmiş Ekonomi Piyasaları

VOLATILITY SPILLOVERS INTER STOCK MARKETS DURING THE COVID-19 PROCESS: AN EXAMPLE OF FRAGILE FIVE AND DEVELOPED COUNTRIES

The COVID-19 epidemic, which affected global markets in the short term, and the fear and anxiety created by the epidemic in the economy and financial markets, caused volatility in asset prices and financial markets. In this study, in the mentioned period; It investigates the volatility spillover between the fragile five markets consisting of Indonesia, Turkey, Brazil, India and South Africa, and the markets of developed countries consisting of France, USA, Germany, England and Japan. In the study, the data of the countries for the period 5 January 2015 – 28 May 2021 were estimated by the spillover index method of Diebold and Yılmaz (2012). The estimation results show that the volatility spillover has increased rapidly since March 2020, when COVID-19 was declared a global epidemic by the World Health Organization, and that the spillover returned to the pre-epidemic period from April 2021, when vaccines became widespread in countries. In the study, it was understood that the volatility spillover in the developed country markets is higher than the volatility spillover in the fragile five markets. In addition, BOVESPA (Brazil) and FTSE100 (UK) markets are the highest emitters of net volatility, while JKSE (Indonesia) and NIKKEI225 (Japan) markets are the highest volatility buyers.

Keywords:

Volatility Spillover, Stock Markets, COVID-19, Fragile Five Markets, Developed Economy Markets,

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