{"id":5090,"date":"2020-07-19T23:05:45","date_gmt":"2020-07-19T20:05:45","guid":{"rendered":"https:\/\/www.berjournal.com\/?p=5090"},"modified":"2020-07-23T01:31:30","modified_gmt":"2020-07-22T22:31:30","slug":"determination-of-volatility-spillover-effect-between-exchange-rates-and-bist-tourism-index-returns","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/determination-of-volatility-spillover-effect-between-exchange-rates-and-bist-tourism-index-returns","title":{"rendered":"D\u00f6viz Kurlar\u0131 ile B\u0130ST Turizm Endeksi Getirileri Aras\u0131ndaki Volatilite Yay\u0131l\u0131m Etkisinin Belirlenmesi"},"content":{"rendered":"

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Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nD\u00f6viz Kurlar\u0131 ile B\u0130ST Turizm Endeksi Getirileri Aras\u0131ndaki Volatilite Yay\u0131l\u0131m Etkisinin Belirlenmesi<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nSerdar Yaman, Turhan Korkmaz<\/td>\n<\/tr>\n
Cilt:<\/td>\n11<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n3<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2020<\/td>\n<\/tr>\n
Sayfa:<\/td>\n681-702<\/td>\n<\/tr>\n
ISSN:<\/td>\n2619-9491<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2020.277<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
Bu ara\u015ft\u0131rman\u0131n amac\u0131 d\u00f6viz kurlar\u0131 ile B\u0130ST Turizm Endeksi (XTRZM) getirileri aras\u0131ndaki volatilite yay\u0131l\u0131m etkisinin ekonometrik y\u00f6ntemlerle belirlenmesidir. Bu ba\u011flamda, konvertibilitesi y\u00fcksek para birimleri olan USD, EUR, JPY ve GBP ve T\u00fcrkiye\u2019ye y\u00fcksek miktarda turist g\u00f6nderen bir \u00fclke olan Rusya\u2019n\u0131n para birimi olan RUB ile B\u0130ST XTRZM getirileri aras\u0131ndaki volatilite yay\u0131l\u0131m\u0131 \u00e7ok de\u011fi\u015fkenli GARCH modellerinden olan Diagonal VECH-GARCH y\u00f6ntemi ile analiz edilmi\u015ftir. Elde edilen bulgular, XTRZM ve D\u00f6viz kurlar\u0131nda volatilitenin s\u00fcrekli etkilere sahip oldu\u011funu ve volatilite k\u00fcmelenmelerinin olu\u015ftu\u011funu g\u00f6stermektedir. Uygulanan Diagonal VECH-GARCH modeli sonu\u00e7lar\u0131na g\u00f6re, USD\/TRY, EUR\/TRY, GBP\/TRY ve RUB\/TRY kurlar\u0131 ile XTRZM Endeksi getirileri aras\u0131nda istatistiki olarak anlaml\u0131 bir volatilite yay\u0131l\u0131m\u0131 oldu\u011fu tespit edilmi\u015ftir. Analiz sonu\u00e7lar\u0131na g\u00f6re, JPY\/TRY ile XTRZM Endeksi getirileri aras\u0131nda ise volatilite yay\u0131l\u0131m\u0131na ili\u015fkin istatistiki olarak anlaml\u0131 bir sonuca ula\u015f\u0131lamam\u0131\u015ft\u0131r. \u00c7al\u0131\u015fma sonucunda elde edilen bulgular, \u00f6zellikle d\u00f6viz kurlar\u0131ndaki oynakl\u0131\u011f\u0131n art\u0131\u011f\u0131 d\u00f6nemlerde XTRZM endeksi getirilerinde de volatilitenin y\u00fckseldi\u011fine i\u015faret etmektedir.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nD\u00f6viz Kurlar\u0131, B\u0130ST Turizm Endeksi, Volatilite Yay\u0131l\u0131m\u0131, Multi-GARCH Modeller<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nC58, F31, G10<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: D\u00f6viz Kurlar\u0131 ile B\u0130ST Turizm Endeksi Getirileri Aras\u0131ndaki Volatilite Yay\u0131l\u0131m Etkisinin Belirlenmesi Yazar(lar): Serdar Yaman, Turhan Korkmaz Cilt: 11 Say\u0131: 3 Y\u0131l: 2020 Sayfa: 681-702 ISSN: 2619-9491 DOI Numaras\u0131: 10.20409\/berj.2020.277 \u00d6z Bu ara\u015ft\u0131rman\u0131n amac\u0131 d\u00f6viz kurlar\u0131 ile B\u0130ST Turizm Endeksi (XTRZM) getirileri aras\u0131ndaki volatilite yay\u0131l\u0131m […]<\/p>\n

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