{"id":3144,"date":"2015-12-20T11:53:17","date_gmt":"2015-12-20T09:53:17","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=3144"},"modified":"2015-12-20T11:53:17","modified_gmt":"2015-12-20T09:53:17","slug":"endeks-futures-piyasalar-arasinda-uluslararasi-etkilesimler-turkiye-ve-abd-piyasalari-uzerinde-sicak-dalga-ve-meteor-yagmuru-hipotezlerinin-sinanmasi","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/endeks-futures-piyasalar-arasinda-uluslararasi-etkilesimler-turkiye-ve-abd-piyasalari-uzerinde-sicak-dalga-ve-meteor-yagmuru-hipotezlerinin-sinanmasi","title":{"rendered":"Endeks Futures Piyasalar Aras\u0131nda Uluslararas\u0131 Etkile\u015fimler: T\u00fcrkiye ve ABD Piyasalar\u0131 \u00dczerinde S\u0131cak Dalga ve Meteor Ya\u011fmuru Hipotezlerinin S\u0131nanmas\u0131"},"content":{"rendered":"\n\n\n\n
Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\n\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nEndeks Futures Piyasalar Aras\u0131nda Uluslararas\u0131 Etkile\u015fimler: T\u00fcrkiye ve ABD Piyasalar\u0131 \u00dczerinde S\u0131cak Dalga ve Meteor Ya\u011fmuru Hipotezlerinin S\u0131nanmas\u0131<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\n\u0130brahim Ya\u015far G\u00f6k, \u015eeref Kalayc\u0131<\/td>\n<\/tr>\n
Cilt:<\/td>\n6<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n4<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2015<\/td>\n<\/tr>\n
Sayfa:<\/td>\n39-53<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
S\u0131cak dalga hipotezi bir piyasan\u0131n getiri ve volatilitesinin sadece kendi gecikmeli de\u011ferleri ile a\u00e7\u0131klanmas\u0131 ve \u00fclkeye has etkilerle belirlenmesidir. Meteor ya\u011fmuru hipotezi ise bir piyasan\u0131n getiri ve volatilitesinin sadece kendi gecikmeli de\u011ferleri ile a\u00e7\u0131klanamamas\u0131 ve bir piyasaya di\u011ferlerinden getiri ve\/veya volatilite yay\u0131l\u0131m\u0131n\u0131n olmas\u0131 ile ifade edilir. Bu \u00e7al\u0131\u015fmada, s\u0131cak dalga ve meteor ya\u011fmuru hipotezleri T\u00fcrkiye ve ABD endeks futures piyasalar\u0131 i\u00e7in test edilmi\u015ftir. Bu ba\u011flamda, piyasalar aras\u0131ndaki e\u015fb\u00fct\u00fcnle\u015fme ili\u015fkisi ile getiri ve volatilite yay\u0131l\u0131m\u0131, 2010-2012 d\u00f6nemi i\u00e7in g\u00fcn sonu verilerin kullan\u0131lmas\u0131 ve Johansen e\u015fb\u00fct\u00fcnle\u015fme testi ile \u00e7ok de\u011fi\u015fkenli genelle\u015ftirilmi\u015f otoregresif ko\u015fullu de\u011fi\u015fen varyans modeli uygulanarak ara\u015ft\u0131r\u0131lm\u0131\u015ft\u0131r. \u00c7al\u0131\u015fmada, ABD ve T\u00fcrkiye piyasalar\u0131 aras\u0131nda uzun d\u00f6nem bir ili\u015fki olmad\u0131\u011f\u0131 bulgusuna eri\u015filmi\u015ftir. Piyasalar aras\u0131ndaki getiri yay\u0131l\u0131m\u0131 a\u00e7\u0131s\u0131ndan, ABD piyasas\u0131ndan T\u00fcrkiye piyasas\u0131na tek y\u00f6nl\u00fc bir yay\u0131l\u0131m s\u00f6z konusudur. Piyasalar aras\u0131ndaki volatilite yay\u0131l\u0131m\u0131n\u0131n sonu\u00e7lar\u0131 ise, \u015foklar\u0131n ABD piyasas\u0131ndan T\u00fcrkiye piyasas\u0131 volatilitesine tek y\u00f6nl\u00fc yay\u0131ld\u0131\u011f\u0131n\u0131 g\u00f6stermektedir. Bundan dolay\u0131, ABD piyasas\u0131 s\u0131cak dalga hipotezini desteklerken, T\u00fcrkiye piyasas\u0131n\u0131n ise meteor ya\u011fmuru hipotezini destekledi\u011fi sonu\u00e7lar\u0131na var\u0131lm\u0131\u015ft\u0131r. Bu sonu\u00e7lar, piyasalardaki bilginin i\u015flenmesindeki farkl\u0131l\u0131l\u0131\u011f\u0131 ve ABD piyasas\u0131n\u0131n bilgisel olarak daha etkin oldu\u011funu yans\u0131tmaktad\u0131r.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nEndeks futures piyasa, getiri yay\u0131l\u0131m\u0131, volatilite yay\u0131l\u0131m\u0131, s\u0131cak dalga hipotezi, meteor ya\u011fmuru hipotezi<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nC58, G15<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi: \u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131: Endeks Futures Piyasalar Aras\u0131nda Uluslararas\u0131 Etkile\u015fimler: T\u00fcrkiye ve ABD Piyasalar\u0131 \u00dczerinde S\u0131cak Dalga ve Meteor Ya\u011fmuru Hipotezlerinin S\u0131nanmas\u0131 Yazar(lar): \u0130brahim Ya\u015far G\u00f6k, \u015eeref Kalayc\u0131 Cilt: 6 Say\u0131: 4 Y\u0131l: 2015 Sayfa: 39-53 ISSN: 1309-2448 \u00d6z S\u0131cak dalga hipotezi bir piyasan\u0131n getiri ve volatilitesinin sadece kendi […]<\/p>\n

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