{"id":4517,"date":"2019-07-26T10:37:38","date_gmt":"2019-07-26T07:37:38","guid":{"rendered":"https:\/\/www.berjournal.com\/?p=4517"},"modified":"2019-07-26T19:04:25","modified_gmt":"2019-07-26T16:04:25","slug":"macroeconomic-fundamentals-of-turkey-stock-market-volatility","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/macroeconomic-fundamentals-of-turkey-stock-market-volatility","title":{"rendered":"T\u00fcrkiye Hisse Senedi Piyasa Volatilitesinin Makroekonomik Temelleri"},"content":{"rendered":"

<\/p>\n\n\n\n\n
Makale Bilgileri<\/td>\n<\/tr>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nT\u00fcrkiye Hisse Senedi Piyasa Volatilitesinin Makroekonomik Temelleri<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nH\u00fcseyin Ta\u015ftan, Arifenur G\u00fcng\u00f6r<\/td>\n<\/tr>\n
Cilt:<\/td>\n10<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n4<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2019<\/td>\n<\/tr>\n
Sayfa:<\/td>\n823-832<\/td>\n<\/tr>\n
ISSN:<\/td>\n2619-9491<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2019.203<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
Bu \u00e7al\u0131\u015fmada, g\u00fcnl\u00fck frekansl\u0131 T\u00fcrkiye hisse senedi piyasa volatilitesinin yava\u015f hareket eden uzun d\u00f6nemli bile\u015feninin ayl\u0131k makroekonomik g\u00f6stergelerle ili\u015fkisi analiz edilmi\u015ftir. \u00c7al\u0131\u015fman\u0131n ilk a\u015famas\u0131nda, BIST100 endeksinin uzun d\u00f6nemli volatilitesi GARCH-MIDAS (Mixed Data Sampling) y\u00f6ntemiyle tahmin edilmi\u015ftir. \u0130kinci a\u015famada ise Ocak 2004-Aral\u0131k 2018 d\u00f6neminde BIST100 endeksinin uzun d\u00f6nemli oynakl\u0131\u011f\u0131n\u0131n, faiz oran\u0131, Dolar\/TL d\u00f6viz kuru, enflasyon oran\u0131, CDS risk primi, reel sekt\u00f6r g\u00fcven endeksi ve S&P500 endeksinin volatilitesiyle ili\u015fkisi otoregresif da\u011f\u0131t\u0131lm\u0131\u015f gecikme (ARDL) modeli tahmin edilerek incelenmi\u015ftir. Analizin sonucunda, BIST100 endeksinin uzun d\u00f6nemli volatilitesini etkileyen en \u00f6nemli makroekonomik fakt\u00f6r\u00fcn d\u00f6viz kuru oldu\u011fu bulunmu\u015ftur. Bununla birlikte faiz oran\u0131, CDS risk primi ve S&P500 volatilitesi ile BIST100 endeksinin uzun d\u00f6nemli volatilitesi aras\u0131nda pozitif y\u00f6nl\u00fc bir ili\u015fki oldu\u011fu g\u00f6r\u00fclm\u00fc\u015ft\u00fcr. Reel sekt\u00f6r g\u00fcven endeksindeki art\u0131\u015flar\u0131n ise BIST100 endeksinin uzun d\u00f6nemli volatilitesini d\u00fc\u015f\u00fcrd\u00fc\u011f\u00fc sonucuna ula\u015f\u0131lm\u0131\u015ft\u0131r.<\/td>\n<\/tr>\n
\n
\n\n\n\n\n
Anahtar Kelimeler:<\/td>\nHisse Senedi Piyasas\u0131, Volatilite, Makroekonomi, MIDAS, ARDL, BIST100<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\n
\n\n\n\n
JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nC22, C58, G10<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

\r\n \r\n
\r\n \"https:\/\/www.berjournal.com\/tr\/wp-content\/uploads\/icons\/pdf.gif\"\r\n <\/td>\r\n \r\n \r\nTam Metin\r\n<\/b> ( \u2193<\/span> 3147)<\/a> <\/td>\r\n <\/tr>\r\n<\/table>Tam Metin\r\n<\/b> ( \u2193<\/span> 3147)<\/a> <\/td>\r\n <\/tr>\r\n<\/table><\/p>\n
<\/div>\n

<\/path><\/svg><\/i> \"Loading\"<\/p>\n

<\/div>","protected":false},"excerpt":{"rendered":"

Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: T\u00fcrkiye Hisse Senedi Piyasa Volatilitesinin Makroekonomik Temelleri Yazar(lar): H\u00fcseyin Ta\u015ftan, Arifenur G\u00fcng\u00f6r Cilt: 10 Say\u0131: 4 Y\u0131l: 2019 Sayfa: 823-832 ISSN: 2619-9491 DOI Numaras\u0131: 10.20409\/berj.2019.203 \u00d6z Bu \u00e7al\u0131\u015fmada, g\u00fcnl\u00fck frekansl\u0131 T\u00fcrkiye hisse senedi piyasa volatilitesinin yava\u015f hareket eden uzun d\u00f6nemli bile\u015feninin ayl\u0131k makroekonomik g\u00f6stergelerle ili\u015fkisi […]<\/p>\n

<\/div>\n

<\/path><\/svg><\/i> \"Loading\"<\/p>\n

<\/div>\n","protected":false},"author":4638,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3,1,7],"tags":[],"class_list":["post-4517","post","type-post","status-publish","format-standard","hentry","category-makale","category-manuscript","category-manuscript2"],"a3_pvc":{"activated":true,"total_views":160,"today_views":0},"_links":{"self":[{"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/posts\/4517","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/users\/4638"}],"replies":[{"embeddable":true,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/comments?post=4517"}],"version-history":[{"count":0,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/posts\/4517\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/media?parent=4517"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/categories?post=4517"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.berjournal.com\/tr\/wp-json\/wp\/v2\/tags?post=4517"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}