Cilt 8 Sayı 1 (2020): Business & Management Studies: An International Journal
Makaleler

TÜRK BORSASI İLE EMTİA PİYASALARI ARASINDAKİ OYNAKLIK YAPISININ İNCELENMESİ: 2015-2019 PERİYODU İÇİN BİR PERSPEKTİF

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  • Cumhur ŞAHİN
Cumhur ŞAHİN
Dr. Öğr. Üyesi, Bilecik Şeyh Edebali Üniversitesi
DOI: https://doi.org/10.15295/bmij.v8i1.1418

Yayınlanmış 2020-03-25

Anahtar Kelimeler

  • Commodity Prices, Turkish Stock Market, Volatility
  • Emtia Fiyatları, Türk Borsası, Oynaklık

Nasıl Atıf Yapılır

ŞAHİN, C. (2020). TÜRK BORSASI İLE EMTİA PİYASALARI ARASINDAKİ OYNAKLIK YAPISININ İNCELENMESİ: 2015-2019 PERİYODU İÇİN BİR PERSPEKTİF. Business & Management Studies: An International Journal, 8(1), 351–370. https://doi.org/10.15295/bmij.v8i1.1418

Özet

Emtia piyasaları gerek geçmişte ve gerekse modern zamanlarda, bireyler ve toplumlar üzerinde olağanüstü bir ekonomik etkiye sahip olmuştur. Emtia piyasalarının tam olarak ne zaman ve nerede başladığı kesin olarak bilinemese de yaklaşık 6000 yıl önce Çin’de pirinç ticareti yapılmasıyla başladığı sanılmaktadır. Emtialar, üretimde kullanılan hammadde sağlayıcıları olarak yoğun kullanım alanına sahiptir.  Bu çalışmanın amacı, küresel emtia fiyatları olarak altın ons fiyatı, gümüş ons fiyatı, bakır fiyatı, Brent tipi ham petrol varil fiyatı ile doğal gaz fiyatları ile Türk Borsasını temsilen Borsa İstanbul 100 endeksi bağlamında oynaklık yapısının incelenmesidir. Bu amaçla çalışmada 2015 Ocak-2019 Aralık periyodu için günlük kapanış değerleri ele alınmıştır. Emtialar ve menkul kıymet borsası arasındaki korelasyonu araştırmak için dinamik koşullu korelasyon (DCC) GARCH yöntemi kullanılmıştır. Bulgular, BIST 100 endeksi ile emtia fiyatları arasındaki oynaklığın sürekli etkilere sahip olduğunun ve kapsamlı bir volatilite kümelenmelerinin oluştuğu sonucunu vermektedir.

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