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INTEGRATION OF FINANCIAL MARKETS: EXAMPLE OF US, EU, ASIAN MARKETS AND BORSA ISTANBUL

Year 2019, Volume: 2019 Issue: 1, 49 - 61, 11.05.2019

Abstract

Inter-market integration is of significance with regard to the financial
stability of countries, international portfolio diversification, and hedging
practices. Return and volatility spillover effects have been analyzed to test
the existence of inter-market integration. In this context, return and
volatility spillover effects from the developed markets of the USA, the EU
(Germany, England, and France), and Asia (China and Japan) to the Turkish
financial market have been tested using causality in mean and causality in variance
tests. The findings displayed both return and volatility spillover effects from
the USA market to Borsa Istanbul and only return spillover effects from the EU
markets to Borsa Istanbul. No spillover effects have been detected from the
Asian markets to Borsa Istanbul.

References

  • Abou-Zaid, A. S. (2011). Volatility spillover effects in emerging MENA stock markets. Review of Applied Economics, 7(1-2)
  • Arshanapalli, B. & Doukas, J. (1993). International stock market linkages: Evidence from the pre-and post-October 1987 period. Journal of Banking & Finance, 17(1), 193-208.
  • Blackman, S.C. Holden, K. & Thomas, W.A. (1994). Long-term relationships between international share prices. Applied Financial Economics, Vol. 4, 297-304.
  • Cha, B. & Oh, S. (2000). The relationship between developed equity markets and the Pacific Basin's emerging equity markets. International Review of Economics & Finance, 9(4), 299-322.
  • Cheung, Y. W. & Ng, L. K. (1993). Interactions between the US and Japan stock market indices. Journal of International Financial Markets, Institutions & Money, 2(2), 51-70.
  • Cheung, Y.-W. & Ng, L. K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics, 72(1), 33–48.
  • Demirgil, H. & Gök, İ. Y. (2014). Türkiye ve Başlıca AB Pay Piyasaları Arasında Asimetrik Volatilite Yayılımı. Yönetim ve Ekonomi Araştırmaları Dergisi, 12(23), 315-340.
  • Gahlota, R. (2013). Capturing volatility and its spillover in South Asian countries. Journal of Economic & Financial Studies, 1(01), 46-60.
  • Gębka, B. & Serwa, D. (2007). Intra-and inter-regional spillovers between emerging capital markets around the world. Research in International Business and Finance, 21(2), 203–221.
  • Grubel, H. G. (1968). Internationally diversified portfolios: welfare gains and capital flows. The American Economic Review, 58(5), 1299-1314.
  • Hamao, Y., Masulis, R. W. & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial studies, 3(2), 281-307.
  • Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics, 103(1), 183–224.
  • In, F., Kim, S. & Yoon, J. H. (2002). International stock market linkages: Evidence from the Asian financial crisis. Journal of Emerging Market Finance,1(1), 1-29.
  • Joshi, P. (2011). Return and volatility spillovers among Asian stock markets.Sage Open, 1-8.
  • King, M. A. & Wadhwani, S. (1990). Transmission of volatility between stock markets. Review of Financial Studies, 3(1), 5-33.
  • Korkmaz, T. & Çevik, E. İ. (2009). Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi. Journal of BRSA Banking & Financial Markets, 2009, 3.2.
  • Korkmaz, T., Çevik, E. İ. & Atukeren, E. (2012). Return and volatility spillovers among CIVETS stock markets. Emerging Markets Review, 13(2), 230–252.
  • Lee, S.B. & Kim, K.J. (1993). Does the October 1987 crash strengthen the co-movements among national stock markets. Review of Financial Economics, Vol. 3, pp. 89-102.
  • Levy, H. & Sarnat, M. (1970). International diversification of investment portfolios. The American Economic Review, 668-675.
  • Li, Y. & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and asian emerging stock markets. International Journal of Finance & Economics, 20(2), 155-177.
  • Liu, Y. A. & Pan, M. S. (1997). Mean and volatility spillover effects in the US and Pacific-Basin stock markets. Multinational Finance Journal, 1(1), 47-62.
  • Mansor, H. I. (2005). International linkage of stock prices: the case of Indonesia. Management Research News, 28(4), 93-115.
  • Miyakoshi, T. (2003). Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of International Financial Markets, Institutions and Money, 13(4), 383-399.
  • Mulyadi, M. S. (2009). Volatility spillover in Indonesia, USA and Japan capital market. University Library of Munich.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347–370.
  • Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific–Basin. Journal of international money and finance, 19(2), 207-233.
  • Prashant, J. (2014). Volatility Interactions among India and US Stock Markets.Case Studies in Business and Management, 1(1), 107.
  • Ross, S. A. (1989). Information and volatility: The no‐arbitrage martingale approach to timing and resolution irrelevancy. The Journal of Finance, 44(1), 1-17.
  • Royfaizal, R. C., Lee, C. & Azali, M. (2009). The linkages of Asian and the US stock markets. IUP Journal of Financial Economics, 7(2), 74.
  • Sansó, A., Aragó, V. & Carrion, J. L. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Economía financiera, 4(1), 32–53.
  • So, R. W. (2001). Price and volatility spillovers between interest rate and exchange value of the US dollar. Global Finance Journal, 12(1), 95-107.
  • Solnik, B. (1974), Why not Diversify Internationally rather than domestically? Financial Analysts Journal, 30, 48–54.
  • Susmel, R. & Engle, R. F. (1994). Hourly volatility spillovers between international equity markets. Journal of International Money and Finance, 13(1), 3-25.
  • Tastan, H. (2005). Dynamic interdependence and volatility transmission in Turkish and European equity markets (No. 2005/10).
  • Theodossiou, P. & Lee, U. (1993). Mean and volatility spillovers across major national stock markets: Further empirical evidence. Journal of Financial Research, 16(4), 337-350.
  • Verma, P., & Ozuna, T. (2008). International Stock Market Linkages and Spillovers: Evidence from Three Latin American Countries. Latin American Business Review, 8(4), 60-81.
  • Wang, J. (2007). Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand. Journal of Development Economics,84(2), 798-811.
  • Yang, J., Kolari, J. W. & Min, I. (2003). Stock market integration and financial crises: the case of Asia. Applied Financial Economics, 13(7), 477-486.

FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ

Year 2019, Volume: 2019 Issue: 1, 49 - 61, 11.05.2019

Abstract

Piyasalar arasındaki
entegrasyon ülkelerin finansal istikrarı, uluslararası portföy çeşitlendirmesi
ve hedging uygulamaları açısından önem arz etmektedir. Piyasalar arasındaki
entegrasyonun varlığını test etmek amacıyla getiri ve volatilite yayılma
etkileri incelenmektedir. Bu kapsamda çalışmada, gelişmiş piyasalar olan ABD,
AB (Almanya, İngiltere, Fransa) ve Asya (Çin ve Japonya) piyasalarından Türkiye
piyasasına doğru ortalama ve varyansta nedensellik testi ile getiri ve
volatilite yayılma etkileri test edilmiştir. Bulgular, ABD piyasasından Borsa
İstanbul’a doğru hem getiri hem volatilite yayılım etkisi; AB piyasalarından
Borsa İstanbul’a doğru sadece getiri yayılım etkisi olduğunu göstermiştir. Asya
piyasalarından Borsa İstanbul’a doğru herhangi bir yayılma etkisine
rastlanmamıştır. 

References

  • Abou-Zaid, A. S. (2011). Volatility spillover effects in emerging MENA stock markets. Review of Applied Economics, 7(1-2)
  • Arshanapalli, B. & Doukas, J. (1993). International stock market linkages: Evidence from the pre-and post-October 1987 period. Journal of Banking & Finance, 17(1), 193-208.
  • Blackman, S.C. Holden, K. & Thomas, W.A. (1994). Long-term relationships between international share prices. Applied Financial Economics, Vol. 4, 297-304.
  • Cha, B. & Oh, S. (2000). The relationship between developed equity markets and the Pacific Basin's emerging equity markets. International Review of Economics & Finance, 9(4), 299-322.
  • Cheung, Y. W. & Ng, L. K. (1993). Interactions between the US and Japan stock market indices. Journal of International Financial Markets, Institutions & Money, 2(2), 51-70.
  • Cheung, Y.-W. & Ng, L. K. (1996). A causality-in-variance test and its application to financial market prices. Journal of Econometrics, 72(1), 33–48.
  • Demirgil, H. & Gök, İ. Y. (2014). Türkiye ve Başlıca AB Pay Piyasaları Arasında Asimetrik Volatilite Yayılımı. Yönetim ve Ekonomi Araştırmaları Dergisi, 12(23), 315-340.
  • Gahlota, R. (2013). Capturing volatility and its spillover in South Asian countries. Journal of Economic & Financial Studies, 1(01), 46-60.
  • Gębka, B. & Serwa, D. (2007). Intra-and inter-regional spillovers between emerging capital markets around the world. Research in International Business and Finance, 21(2), 203–221.
  • Grubel, H. G. (1968). Internationally diversified portfolios: welfare gains and capital flows. The American Economic Review, 58(5), 1299-1314.
  • Hamao, Y., Masulis, R. W. & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial studies, 3(2), 281-307.
  • Hong, Y. (2001). A test for volatility spillover with application to exchange rates. Journal of Econometrics, 103(1), 183–224.
  • In, F., Kim, S. & Yoon, J. H. (2002). International stock market linkages: Evidence from the Asian financial crisis. Journal of Emerging Market Finance,1(1), 1-29.
  • Joshi, P. (2011). Return and volatility spillovers among Asian stock markets.Sage Open, 1-8.
  • King, M. A. & Wadhwani, S. (1990). Transmission of volatility between stock markets. Review of Financial Studies, 3(1), 5-33.
  • Korkmaz, T. & Çevik, E. İ. (2009). Zımni Volatilite Endeksinden Gelişmekte Olan Piyasalara Yönelik Volatilite Yayılma Etkisi. Journal of BRSA Banking & Financial Markets, 2009, 3.2.
  • Korkmaz, T., Çevik, E. İ. & Atukeren, E. (2012). Return and volatility spillovers among CIVETS stock markets. Emerging Markets Review, 13(2), 230–252.
  • Lee, S.B. & Kim, K.J. (1993). Does the October 1987 crash strengthen the co-movements among national stock markets. Review of Financial Economics, Vol. 3, pp. 89-102.
  • Levy, H. & Sarnat, M. (1970). International diversification of investment portfolios. The American Economic Review, 668-675.
  • Li, Y. & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and asian emerging stock markets. International Journal of Finance & Economics, 20(2), 155-177.
  • Liu, Y. A. & Pan, M. S. (1997). Mean and volatility spillover effects in the US and Pacific-Basin stock markets. Multinational Finance Journal, 1(1), 47-62.
  • Mansor, H. I. (2005). International linkage of stock prices: the case of Indonesia. Management Research News, 28(4), 93-115.
  • Miyakoshi, T. (2003). Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of International Financial Markets, Institutions and Money, 13(4), 383-399.
  • Mulyadi, M. S. (2009). Volatility spillover in Indonesia, USA and Japan capital market. University Library of Munich.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347–370.
  • Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific–Basin. Journal of international money and finance, 19(2), 207-233.
  • Prashant, J. (2014). Volatility Interactions among India and US Stock Markets.Case Studies in Business and Management, 1(1), 107.
  • Ross, S. A. (1989). Information and volatility: The no‐arbitrage martingale approach to timing and resolution irrelevancy. The Journal of Finance, 44(1), 1-17.
  • Royfaizal, R. C., Lee, C. & Azali, M. (2009). The linkages of Asian and the US stock markets. IUP Journal of Financial Economics, 7(2), 74.
  • Sansó, A., Aragó, V. & Carrion, J. L. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Economía financiera, 4(1), 32–53.
  • So, R. W. (2001). Price and volatility spillovers between interest rate and exchange value of the US dollar. Global Finance Journal, 12(1), 95-107.
  • Solnik, B. (1974), Why not Diversify Internationally rather than domestically? Financial Analysts Journal, 30, 48–54.
  • Susmel, R. & Engle, R. F. (1994). Hourly volatility spillovers between international equity markets. Journal of International Money and Finance, 13(1), 3-25.
  • Tastan, H. (2005). Dynamic interdependence and volatility transmission in Turkish and European equity markets (No. 2005/10).
  • Theodossiou, P. & Lee, U. (1993). Mean and volatility spillovers across major national stock markets: Further empirical evidence. Journal of Financial Research, 16(4), 337-350.
  • Verma, P., & Ozuna, T. (2008). International Stock Market Linkages and Spillovers: Evidence from Three Latin American Countries. Latin American Business Review, 8(4), 60-81.
  • Wang, J. (2007). Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand. Journal of Development Economics,84(2), 798-811.
  • Yang, J., Kolari, J. W. & Min, I. (2003). Stock market integration and financial crises: the case of Asia. Applied Financial Economics, 13(7), 477-486.
There are 38 citations in total.

Details

Primary Language Turkish
Journal Section 2019/1 MAKALELER
Authors

Mehmet Buğan

Yunus Kılıç

Publication Date May 11, 2019
Published in Issue Year 2019 Volume: 2019 Issue: 1

Cite

APA Buğan, M., & Kılıç, Y. (2019). FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ. Sosyal Bilimler Metinleri, 2019(1), 49-61.
AMA Buğan M, Kılıç Y. FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ. Sosyal Bilimler Metinleri. May 2019;2019(1):49-61.
Chicago Buğan, Mehmet, and Yunus Kılıç. “FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ”. Sosyal Bilimler Metinleri 2019, no. 1 (May 2019): 49-61.
EndNote Buğan M, Kılıç Y (May 1, 2019) FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ. Sosyal Bilimler Metinleri 2019 1 49–61.
IEEE M. Buğan and Y. Kılıç, “FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ”, Sosyal Bilimler Metinleri, vol. 2019, no. 1, pp. 49–61, 2019.
ISNAD Buğan, Mehmet - Kılıç, Yunus. “FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ”. Sosyal Bilimler Metinleri 2019/1 (May 2019), 49-61.
JAMA Buğan M, Kılıç Y. FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ. Sosyal Bilimler Metinleri. 2019;2019:49–61.
MLA Buğan, Mehmet and Yunus Kılıç. “FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ”. Sosyal Bilimler Metinleri, vol. 2019, no. 1, 2019, pp. 49-61.
Vancouver Buğan M, Kılıç Y. FİNANSAL PİYASALARIN ENTEGRASYONU: ABD, AB, ASYA PİYASALARI VE BORSA İSTANBUL ÖRNEĞİ. Sosyal Bilimler Metinleri. 2019;2019(1):49-61.