Öz
Küreselleşme hareketine bağlı olarak borsalar arası
ilişkiler artmıştır. Günümüzün yatırımcıları uluslararası piyasalarda
risk-getiri tercihine bağlı olarak portföyler oluşturmaktadır. Uluslararası
portföylerin çeşitlendirilmesinde borsalar arası ilişkiler dikkate
alınmaktadır. Borsalar arası ilişkilerin artması çeşitlendirme yoluyla risk
azaltmayı önlemektedir. Bu çalışmanın amacı borsalar arası ilişkileri
araştırmaktadır. Çalışmada verilerine
ulaşılabilen dünyanın değişik yerlerinden, 19 ülke borsasının 3 Ocak 2000-29
Aralık 2017 dönemine ait günlük kapanış endeksleri kullanılmıştır. Endeksler
günlük getiri ve risk değerlerine dönüştürülerek kümeleme işlemi yapılmıştır.
Çalışmada, kümeleme işlemini gerçekleştirmek üzere yapay sinir ağlarının özel
bir çeşidi olan özdüzenleyici haritalar kullanılmıştır. Sonuçlar, gelişmiş ve
gelişmekte olan ülke borsalarının birbirinden ayrıldığını, gelişmiş ülke
borsaları arasındaki ilişkilerin daha yaygın olduğunu ortaya koymuştur. Ayrıca,
küresel kriz döneminde borsalarda birlikte hareket etme niteliğinin azaldığı,
küresel kriz sonrasında ise borsalar arası ilişkilerin arttığı anlaşılmıştır.
Anahtar Kelimeler
Özdüzenleyici Haritalar Borsa Verilerinin Kümelendirilmesi Portföy Yönetimi Borsalar
Kaynakça
- Aggarwal, R., Lucey, B., & Muckley, C. (2010). Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events. JCMS: Journal of Common Market Studies, 48(3), 641-660.
- Al Nasser, O. M. & Hajilee, M. (2016). Integration of Emerging Stock markets with Global Stock Markets. Research in International Business and Finance. 36, 1-12.
- Antoniou, A., Pescetto, G., & Violaris, A. (2003). Modelling International Price Relationships and Interdependencies Between The Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis. Journal of Business Finance & Accounting, 30(5‐6), 645-667.
- Armanious, A. N. (2007). Globalization Effect on Stock Exchange Integration. In Meeting of Young Researchers Around the Mediterranean, Tarragona, (ss. 3-4).
- Badran, F., Yacoub, M. & Thiria, S. (2005). Self-Organizing Maps and Unsupervised Classification. In G. Dreyfus (Ed.). Neural Networks Methodology and Applications (pp. 379–442). Berlin/Heidelberg: Springer-Verlag. http://doi.org/10.1007/3-540-28847-3_7
- Bastos, J. A., & Caiado, J. (2009). Clustering Global Equity Markets with Variance Ratio Tests. CEMAPRE Working Paper 0904.
- Bhalla, B., & Shetty, A. (2006, October). Interest Rate Linkages and Capital Market Integration: Evidence from the Americas. In CRIF Seminar Series (p. 6).
- Büttner, D ve Hayo, B. (2011) Determinants of European Stock Market Integration. Economic Systems. 35, 574 - 585.
- Cabanes, G., & Bennani, Y. (2010). Learning the Number of Clusters in Self Organizing Maps. Self Organizing Maps. Matsopoulos, G. (Ed.). InTech Open Access Publisher, India.
- Calvi, R. (2010). Assessing Financial Integration: A Comparison Between Europe and East Asia (No. 423). Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Dorodnykh, E. (2014). Determinants of Stock Exchange Integration: Evidence in Worldwide Perspective. Journal of Economic Studies, 41(2), 292-316.
- Folguera, L., Zupan, J., Cicerone, D. & Magallanes, J. F. (2015). Self-Organizing Maps For Imputation of Missing Data in Incomplete Data Matrices. Chemometrics and Intelligent Laboratory Systems, 143, 146–151. http://doi.org/10.1016/j.chemolab.2015.03.002
- Hasan, I., Schmiedel, H. & Song, L. (2012). Growth Strategies and Value Creation: What Works Best for Stock Exchanges?. Financial Review, 47(3), 469-499.
- Heaney, R., Hooper, V. & Jaugietis, M. (2002). Regional Integration of Stock Markets in Latin America. Journal of Economic Integration, 745-760.
- Hooy, C.-W. & Goh, K.-L. (2007). The Determinants of Stock Market Integration: A Panel Data Investigation. https://www.researchgate.net/publication/228354382 Erişim: 21.07.2018
- Kohonen, T. (2001). Self-Organizing Maps. In Springer Series in Information Sciences (Vol. 30, p. 501). http://doi.org/10.1007/978-3-642-56927-2
- Kohonen, T. (1982). Self-Organized Formation of Topologically Correct Feature Maps. Biological Cybernetics, 43(1), 59– 69. http://doi.org/10.1007/BF00337288
- Lien, D., Lee, G., Yang, L. & Zhang, Y. (2018). Volatility Spillover Among The US and Asian Stock Markets: A Comparison between The Periods of Asian Currency Crissis and Subprime Credit Crisis. Norh American Journal of Economics and Finance. 46: 187-201.
- Özdemir, Z. A. (2009). Linkages Between International Stock Markets: A Multivariate Long-Memory Approach. Physica A. 388(12), 2461-2468.
- Schmukler, S. L. & Zoido-Lobaton, P. (2001). Financial Globalization: Opportunities and Challenges for Developing Countries. World Bank, Washington, DC.
- Song, D. M., Tumminello, M., Zhou, W. X. & Mantegna, R. N. (2011). Evolution of Worldwide Stock Markets, Correlation Structure, and Correlation-Based Graphs. Physical Review E, 84(2), 026108.
- World Federation of Exchanges (WFE) (2018). The World Federation of Exchanges Publishes 2017 Full Year Market Highlights.
Öz
Due to the globalization movement, the inter-stock
markets relations have increased. Today's investors are creating portfolios
depending on risk-profit preference in international markets. Inter-stock markets
relations are taken into account in international portfolio diversification.
Increased inter-stock markets relations prevent diversification and risk
reduction. The aim of this study is to investigate the relationships between
stock exchanges. The daily closing
indices of the 19 countries' stock exchange for the period 3 January 2000- 29
December 2017 were used from different parts of the world where data can be
accessed in this study. Clustering is made by converting indices into daily
profit and risk values. In the study, self-organization maps, a special type of
artificial neural networks, were used to perform the clustering process. The
results show that developed and emerging market stock exchanges are seperate
and relationships of developed country stock exchange are more common.
Moreover, it was understood that the feature of moving together in the stock
market during the global crisis diminished and that the relations between the
stock exchanges increased after the global crisis.
Anahtar Kelimeler
Self-Organization Maps Stock Exchange Data Clustering Portfolio Management Stock Markets
Kaynakça
- Aggarwal, R., Lucey, B., & Muckley, C. (2010). Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events. JCMS: Journal of Common Market Studies, 48(3), 641-660.
- Al Nasser, O. M. & Hajilee, M. (2016). Integration of Emerging Stock markets with Global Stock Markets. Research in International Business and Finance. 36, 1-12.
- Antoniou, A., Pescetto, G., & Violaris, A. (2003). Modelling International Price Relationships and Interdependencies Between The Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis. Journal of Business Finance & Accounting, 30(5‐6), 645-667.
- Armanious, A. N. (2007). Globalization Effect on Stock Exchange Integration. In Meeting of Young Researchers Around the Mediterranean, Tarragona, (ss. 3-4).
- Badran, F., Yacoub, M. & Thiria, S. (2005). Self-Organizing Maps and Unsupervised Classification. In G. Dreyfus (Ed.). Neural Networks Methodology and Applications (pp. 379–442). Berlin/Heidelberg: Springer-Verlag. http://doi.org/10.1007/3-540-28847-3_7
- Bastos, J. A., & Caiado, J. (2009). Clustering Global Equity Markets with Variance Ratio Tests. CEMAPRE Working Paper 0904.
- Bhalla, B., & Shetty, A. (2006, October). Interest Rate Linkages and Capital Market Integration: Evidence from the Americas. In CRIF Seminar Series (p. 6).
- Büttner, D ve Hayo, B. (2011) Determinants of European Stock Market Integration. Economic Systems. 35, 574 - 585.
- Cabanes, G., & Bennani, Y. (2010). Learning the Number of Clusters in Self Organizing Maps. Self Organizing Maps. Matsopoulos, G. (Ed.). InTech Open Access Publisher, India.
- Calvi, R. (2010). Assessing Financial Integration: A Comparison Between Europe and East Asia (No. 423). Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Dorodnykh, E. (2014). Determinants of Stock Exchange Integration: Evidence in Worldwide Perspective. Journal of Economic Studies, 41(2), 292-316.
- Folguera, L., Zupan, J., Cicerone, D. & Magallanes, J. F. (2015). Self-Organizing Maps For Imputation of Missing Data in Incomplete Data Matrices. Chemometrics and Intelligent Laboratory Systems, 143, 146–151. http://doi.org/10.1016/j.chemolab.2015.03.002
- Hasan, I., Schmiedel, H. & Song, L. (2012). Growth Strategies and Value Creation: What Works Best for Stock Exchanges?. Financial Review, 47(3), 469-499.
- Heaney, R., Hooper, V. & Jaugietis, M. (2002). Regional Integration of Stock Markets in Latin America. Journal of Economic Integration, 745-760.
- Hooy, C.-W. & Goh, K.-L. (2007). The Determinants of Stock Market Integration: A Panel Data Investigation. https://www.researchgate.net/publication/228354382 Erişim: 21.07.2018
- Kohonen, T. (2001). Self-Organizing Maps. In Springer Series in Information Sciences (Vol. 30, p. 501). http://doi.org/10.1007/978-3-642-56927-2
- Kohonen, T. (1982). Self-Organized Formation of Topologically Correct Feature Maps. Biological Cybernetics, 43(1), 59– 69. http://doi.org/10.1007/BF00337288
- Lien, D., Lee, G., Yang, L. & Zhang, Y. (2018). Volatility Spillover Among The US and Asian Stock Markets: A Comparison between The Periods of Asian Currency Crissis and Subprime Credit Crisis. Norh American Journal of Economics and Finance. 46: 187-201.
- Özdemir, Z. A. (2009). Linkages Between International Stock Markets: A Multivariate Long-Memory Approach. Physica A. 388(12), 2461-2468.
- Schmukler, S. L. & Zoido-Lobaton, P. (2001). Financial Globalization: Opportunities and Challenges for Developing Countries. World Bank, Washington, DC.
- Song, D. M., Tumminello, M., Zhou, W. X. & Mantegna, R. N. (2011). Evolution of Worldwide Stock Markets, Correlation Structure, and Correlation-Based Graphs. Physical Review E, 84(2), 026108.
- World Federation of Exchanges (WFE) (2018). The World Federation of Exchanges Publishes 2017 Full Year Market Highlights.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | İşletme |
| Bölüm | Araştırma Makalesi |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Mart 2020 |
| Gönderilme Tarihi | 19 Kasım 2019 |
| Kabul Tarihi | 9 Ocak 2020 |
| Yayımlandığı Sayı | Yıl 2020 Cilt: 8 Sayı: 1 |
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