ANALYSES OF BORSA ISTANBUL INDEX RETURN CO-MOVEMENTS WITH MAJOR STOCK MARKET INDICES USING VAR-GARCH-BEKK MODELS

Date

2024-2

Author

Esen, Cenk Buğra

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The integration of economies via global commerce networks and the free flow of capital encourages the co-movements of global markets although the diversity of geographical locations and country-based economic differences feature distinct characteristics. There is a tendency for different stock markets to move together. Different degrees of this phenomenon appear in emerging and developed economies. Various studies are focusing on the co-movement and volatility relations of the Turkish market with other markets. Most show clear or modest correlations between these markets including Turkiye. This thesis aims to analyze the interaction of the financial market returns as well as the co-movements of the financial market volatility of Turkiye with stock markets’ volatilities of the US, the UK and Germany from January 2013 to December 2023. In this regard, the analysis involves the period when the Central Bank adopted a low interest policy under high inflation environment which might affect the market dynamics of co-movements. The interactions of the chosen returns are analyzed with the Vector Autoregressive (VAR) Models. Furthermore, the co-movements of the selected volatilities are investigated with the Multivariate Generalized Autoregressive Heteroscedasticity (MGARCH) models. GARCH model with BEKK specification is used to examine the transfer of volatility from one stock market to another.

Subject Keywords

Market Co-movements, Market Volatility, BEKK-GARCH

URI

https://hdl.handle.net/11511/108307

Collections

Graduate School of Social Sciences, Thesis