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The COVID-19 pandemic has had a profound effect on the global economy and financial markets, including a significant impact on the cryptocurrency markets. This study analyzes the impact of the COVID-19 process on bitcoin price movements. The study examines the daily price data of bitcoin between 01/03/2020 and 01/04/2022 and uses ARCH and GARCH models to estimate volatility. The results show that there was a significant increase in bitcoin volatility during the initial period of the pandemic. This reflects a period when the pandemic increased uncertainty in financial markets and spurred investor interest in cryptocurrencies. While the ARCH model showed limited success in analyzing the short-term dynamics of volatility, the GARCH model captured the long-term trends in volatility more effectively. However, both models were insufficient to fully predict the sudden and extreme increases in volatility observed during crisis periods such as the pandemic. In addition to analyzing the impact of the pandemic on cryptocurrency markets, the study provides important implications for investor behavior and volatility management. In this context, it highlights the importance of developing risk management and regulatory frameworks in cryptocurrency markets.

Türkiye ekonomisinde son on yılda yaşanan aşırı fiyat artışları, ülke ekonomisinde önemli bir refah kaybına sebebiyet vermiş olup enflasyondaki fiyat artışlarının kalıcılığının literatürde yeterli sayıda incelenmediği gözlemlenmiştir. Bu çalışmadaki temel amaç 2005M01-2024M04 zaman serisini baz alarak fiyat artışlarının kalıcı olup olmadığını ampirik analizlerle sorgulamaktır. Geleneksel birim kök testleriyle enflasyon serisinin durağanlığının incelendiği çalışmada, enflasyondaki şokların kalıcılığını araştırmak için otoregresif koşullu değişen varyans modellerinden yararlanılmıştır. Elde edilen bulgulara göre, Türkiye için enflasyondaki volatilitenin kalıcı olduğu tespit edilmiş, sonuçlar değerlendirilerek politika önerisinde bulunulmuştur.

Copyright of Omer Halisdemir Universitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi is the property of Omer Halisdemir University, Faculty of Economics & Admistrative Sciene and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Research in Economics, Politics & Finance / Ekonomi, Politika & Finans Arastirmalari Dergisi is the property of Journal of Research in Economics, Politics & Finance and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

In today's world, there are many discussions about global warming and climate change due to increasing CO2 emissions resulting from the consumption of fossil fuels such as oil and natural gas. CO2 emissions, which have tended to increase continuously since the industrial revolution, are shown as the main cause of climate change. Efforts to prevent global climate change initiated by the United Nations have evolved into the Kyoto Protocol. With this protocol, it is aimed to keep the greenhouse gas concentration in the atmosphere balanced at levels that will not have a dangerous impact on the climate, and various responsibilities are imposed on countries in this regard. Carbon markets appear as markets where carbon credit trading is carried out by both governments and investors in order to reduce greenhouse gas emissions, and their importance has been increasing in recent years. In the study, the volatility of carbon markets is investigated and it is aimed to determine the most appropriate model to estimate this volatility. Using ARCH-GARCH models, the daily data set of the global carbon futures index between 2.01.2018 and 02.11.2023 is used and it is concluded that the GARCH (1,1) model is a more appropriate model in volatility evaluation. [ABSTRACT FROM AUTHOR]

Copyright of Ardahan University Journal of the Faculty of Economics & Administrative Sciences / Ardahan Üniversitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi is the property of Ardahan University Journal of the Faculty of Economics & Administrative Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Dünya ekonomisi teknolojinin gelişmesi, sermaye birikiminin artması ve yatırımcıların risk algılarının değişmesi gibi nedenlerden dolayı son yüzyılda daha fazla bütünleşik bir görünüme ulaşmıştır. Bu bütünleşik yapı neticesinde herhangi bir coğrafyada/piyasada gerçekleşen olayın yansımaları diğer ekonomiler üzerinde de görülür hale gelmiştir. Bu çalışmada dünya ekonomisi üzerinde önemli olarak görülen WUI (World Uncertainty Index), EPU (Economic Policy Uncertainty Index) ve GPR (Geopolitical Risk Index) endeksleri ile BRICS ülke borsaları (Brezilya-Bovespa, Rusya-MOEX, Hindistan/Bharat-BSE SENSEX, Çin- Shanghai Composite (SSEC) ve Güney Afrika-FTSE South Africa) arasındaki ilişkinin analizi amaçlanmıştır. Çalışma kapsamında 01.01.2008-01.11.2023 tarihleri arsındaki aylık veriler TVP-VAR (Time-Varying Parameter Vector Autoregressive Models) yöntemi kullanılarak analiz edilmiştir. Çalışma sonucunda Rusya borsasının WUI, EPU ve GPR endekslerine, Brezilya borsasının WUI ve EPU endekslerine ve Çin borsasının ise GPR endeksine volatilite yaydığı tespit edilmiştir.

Çalışmanın amacı, Borsa İstanbul’da (BIST) işlem gören Katılım 30 ve Katılım 50 endekslerinin volatilite yapılarını açıklayan en uygun modeli belirlemektir. Söz konusu endekslerin volatilite yapılarını tespit etmek için koşullu değişen varyans modelleri olarak adlandırılan ARCH, GARCH, EGARCH, TGARCH ve PARCH modelleri analiz kapsamına dâhil edilmiştir. 2015-2020 dönemine ait haftalık kapanış fiyatlarının kullanıldığı çalışmanın sonucunda; iki endeks için de uygun olan volatilite modelinin EGARCH (1,1) modeli olduğu belirlenmiş ve endekslerde meydana gelen negatif şokların pozitif şoklardan daha etkili olduğu tespit edilmiştir. Ayrıca endekslerde meydana gelen bir şokun etkisinin; Katılım 30 endeksinde yaklaşık olarak 32 gün, Katılım 50 endeksinde ise 28 gün sürdüğü sonucuna ulaşılmıştır.

In financial markets, information and investors are heterogeneous, not homogeneous. In a heterogeneous market, market volatility is not monolithic but has components. The decomposition of volatility into components provides additional information to investors about volatility. This study investigates the impact of permanent and transitory components on the stock market volatility of the Borsa Istanbul, Frankfurt Stock Exchange, London Stock Exchange, and Moscow Exchange. The study covers the 20-year period between 01/02/2003 and 12/30/2022. The impact of permanent and transitory components on the determination of volatility is tested using the Component GARCH model proposed by Engle and Lee (1999). The findings revealed that both permanent and transitory components were effective in determining volatility in Borsa Istanbul, while in Frankfurt Stock Exchange, London Stock Exchange, and Moscow Exchange, only the permanent component had a significant impact. Moreover, there were identified relationships among the volatility components of the stock markets, with a higher relationship observed between Frankfurt Stock Exchange and London Stock Exchange, and a lower relationship between Borsa Istanbul and Moscow Exchange. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Selçuk University Social Sciences Vocational School is the property of Journal of Selcuk University Social Sciences Vocational School and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Journal of Finance Letters / Maliye Finans Yazıları Dergisi is the property of Maliye Finans Yazilari Yayimcilik Ltd. and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Il est intéressant de chercher à comprendre les causes profondes de la volatilité du taux de change en RDC au cours de quatre dernières années malgré plusieurs mesures prises au niveau des autorités publiques, du Gouvernement et de la Banque Centrale du Congo, afin de stabiliser le marché des changes. Parmi ces mesures, l’on peut citer l’interdiction faite à la BCC de faire des avances au Trésor afin de financer son déficit , le lancement effectif du marché des valeurs du Trésor , la signature du pacte de stabilité entre le Gouvernement et la Banque Centrale du Congo, les interventions de la Banque Centrale sur le marché des changes. Cependant, malgré l’application de ces mesures, il est fondamental de savoir pour quelles raisons le taux de change a enregistré de fortes fluctuations, particulièrement au cours de quatre dernières années ? Poursuivant l’objectif d’identifier les facteurs explicatifs de la volatilité du taux de change en RDC afin de contribuer à la formulation des propositions de politique en matière de change, nous avons utilisé le modèle de volatilité conditionnelle ou d’hétéroscédastique conditionnel autorégressif généralisé (Garch). Ce modèle permet de mesurer l’effet de persistance propre aux séries financières à des périodes troublées, où de fois de fortes variations des cours de change, positives ou négatives, sont susceptibles d’être suivies par des fluctuations de même amplitude, succèdent des périodes calmes dans lesquelles prévalent de faibles fluctuations des taux de change (Naib W. et Guati R., 2022). Aussi, au terme de l’analyse, les résultats indiquent que la variance conditionnelle décalée et la variance conditionnelle décalée des perturbations au carré ont un impact sur la variance conditionnelle, autrement dit cela signifie que les nouvelles sur la volatilité des périodes précédentes ont un pouvoir explicatif sur la volatilité actuelle (effet mémoire).

Bu çalışmada uygulamanın ilk kısmında Türkiye’nin ülke risk priminde gözlenen volatilite 2004-2022 dönemi için incelenmiştir. Daha sonra ülke risk primi ile seçili makroekonomik değişkenler (dolar kuru, enflasyon, faiz ve BİST-100) arasındaki kısa ve uzun dönemli ilişki araştırılmıştır. Bu bağlamda çalışmada ARMA(3,3)-GJR GARCH (1,1) modeli ile volatilite modellemesi yapılmış ve daha sonra ARDL sınır testi uygulanmıştır. Volatilite modellemesi sonucunda ülke risk primi sistemine gelen şokların volatilite direnci düşük çıkmıştır. Yine volatilite modellemesi sonucunda Asimetri katsayısına göre sistemde kaldıraç etkisi bulunmamaktadır. İncelenen dönemin uzun bir zaman dilimi olduğu göz önünde bulundurularak seride olabilecek yapısal kırılmalar, Varyansta Kırılma testi ile incelenmiş ve bulunan dört kırılma tarihi modele dâhil edilmiştir. Varyans denkleminde kırılma tarihlerinin dâhil edildiği modelin geçersiz çıkması sonucu ile volatilite direncinin düşük çıkması, birbirini destekleyen sonuçlar olarak dikkati çekmektedir. ARDL sınır testi sonucunda ülke risk primleri ile modelde kullanılan makroekonomik değişkenler arasında uzun dönemli eşbütünleşme ilişkisi belirlenmiştir. ARDL modelinde kısa ve uzun dönem birlikte dikkate alındığında ülke risk primleri üzerinde etki gücü en yüksek faktörün sermaye piyasası olduğu belirlenmiştir. Uzun dönemde fiyatlar genel düzeyi kaynaklı şoklar, ülke risk priminde artışa neden olurken kısa dönemde bağımsız değişkenlerden ülke risk primi üzerine çeşitli gecikmelerden anlamlı etkiler belirlenmiştir. ARDL modelinde kısa dönem sonuçları ile hesaplanan ECM’ye göre bir önceki dönemde oluşan şokun neden olduğu dengesizliğin %26’lik kısmı cari dönemde giderilerek uzun dönemli denge konumuna ulaşılmaktadır.

Objectif : L'objectif primordial de cette étude est d'analyser les répercussions de la crise liée au COVID-19 sur le secteur bancaire turc. En se basant sur des données empiriques, nous cherchons à évaluer l'impact de la pandémie sur les performances de l'indice du secteur bancaire de Borsa Istanbul (BIST) pendant la période allant de janvier 2020 à décembre 2021. Cette analyse vise à fournir des insights précieux pour guider les décisions en matière de politique économique et d'investissement, en éclairant les acteurs concernés sur les dynamiques spécifiques qui ont façonné le paysage financier turc durant cette période tumultueuse. Méthode : Notre méthodologie de recherche repose sur l'utilisation conjointe de l'indice du secteur bancaire de Borsa Istanbul (BIST) et des données relatives aux cas quotidiens de COVID-19. Pour analyser les effets de la pandémie sur le secteur bancaire, nous avons opté pour la méthode Hétéroscédasticité Conditionnelle Autorégressive Exponentielle Généralisée (EGARCH). Cette approche statistique sophistiquée nous permet d'évaluer de manière précise et rigoureuse les variations de volatilité et les réactions du marché financier turc face aux chocs induits par la crise sanitaire mondiale. Résultats : Les résultats de notre étude révèlent un effet positif modéré du COVID-19 sur les rendements de l'indice du secteur bancaire BIST. Cette constatation suggère que malgré les défis posés par la pandémie, le secteur bancaire turc a démontré une résilience relative, potentiellement grâce aux mesures de soutien économique mises en œuvre pour atténuer les impacts négatifs. De plus, notre analyse indique l'absence de retombées significatives en termes de volatilité, soulignant ainsi la stabilité relative du secteur bancaire turc pendant la période étudiée. En outre, nous avons observé qu'il n'y avait pas d'effet de levier notable, ce qui suggère que les nouvelles positives et négatives ont eu des répercussions similaires sur le secteur bancaire turc au cours de la crise du COVID-19. Originalité : Cette étude apporte une contribution significative à la compréhension des effets de la crise du COVID-19 sur le secteur bancaire turc en utilisant une approche méthodologique novatrice et en se basant sur des données empiriques récentes. En mettant en lumière les dynamiques spécifiques du marché financier turc pendant cette période sans précédent, notre recherche offre des insights précieux pour les décideurs politiques, les investisseurs et les acteurs du secteur financier, les aidant ainsi à prendre des décisions éclairées dans un environnement économique incertain.

Copyright of Gazi Journal of Economics & Business is the property of Gazi Journal of Economics & Business and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

In the context of potential regulatory changes, this study compares the properties of various solvents for the extraction of edible oils. The solvents considered are hexane isomers, alcohols, ketones, ethyl acetate, dichloromethane and 2-methyloxolane. The study presents a detailed table of physical properties for each solvent, including boiling point, density, vapour pressure, flash point and miscibility with water. It also addresses chemical stability, reactivity and potential interactions of these solvents with oilseeds. Particular attention is given to solvent-substrate interactions measured by Hansen solubility parameter. Normal hexane and its isomers show high affinity for neutral lipids, a lesser one for polar lipids and fair selectivity for non-lipids. Due to their hydroxyl group, alcohols (methanol, ethanol, isopropanol) exhibit only a modest affinity for non-polar lipids, though this affinity increases with the number of carbon atoms in the alcohol molecule. They demonstrate a higher efficacy in extracting polar lipids; however, this extraction process also extends to numerous non-lipidic molecules. Ketones (acetone, MEK) offer a balance, with theoretically good affinity for both polar and non-polar lipids, although in practice they do not dissolve phospholipids. Ethyl acetate shows good solvent power for various lipids, its ester group being found in most of lipid molecules. Dichloromethane is a good solvent for lipids in general but raises potential safety concerns. 2-Methyloxolane is noted for its ability to efficiently extract both polar and non-polar lipids, offering a potential compromise between hexane-like and more polar solvents however, it is potentially hindered by its price and its limited availability. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Statistical Research / İstatistik Araştırma Dergisi is the property of Turkish Statistical Institute and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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Copyright of Journal of Economics & Administrative Sciences / Afyon Kocatepe Üniversitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi is the property of Afyon Kocatepe University, Faculty of Business Administration and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Social Anthropology / Anthropologie Sociale is the property of Berghahn Books and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Social Anthropology / Anthropologie Sociale is the property of Berghahn Books and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Social Anthropology / Anthropologie Sociale is the property of Berghahn Books and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Social Anthropology / Anthropologie Sociale is the property of Berghahn Books and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Social Anthropology / Anthropologie Sociale is the property of Berghahn Books and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Social Anthropology / Anthropologie Sociale is the property of Berghahn Books and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Copyright of Social Anthropology / Anthropologie Sociale is the property of Berghahn Books and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

Kripto paralar, dijital para birimleridir. Merkezi veri tabanı olmayan verileri blok zincir sistemi ile muhafaza ve teyit eden bir algoritmadır. Kripto paralar merkeziyetsiz para, düşük işlem maliyeti ve hızlı fon transferi gibi amaçlarla mevcut para piyasasına alternatif olarak ortaya çıkarken zamanla kripto piyasasının sermaye piyasalarına da alternatif özellikler sergilediği görülmüştür. Bu çalışmada kripto paralarla menkul kıymet borsaları arasındaki volatilite yayılımı incelenmiştir. Çalışmada kripto paraları temsilen bitcoin, etherium, litecoin ve ripple kullanılırken borsaları temsilen S&P500 (ABD), DAX (Almanya), Shanghai (Çin) ve BİST100 (Türkiye) endeksleri kullanılmıştır. Çalışma dönemi 24 Ağustos 2016 – 18 Kasım 2021 şeklinde oluşturulmuş ve volatilite yayılımı Diebold ve Yılmaz (2012) yayılım endeksiyle araştırılmıştır. Çalışmada borsa endeksleriyle kripto para getirileri arasında karşılıklı volatilite yayılımı olduğu görülmüştür. Net volatilite yayılımlarına bakıldığında, S&P500 endeksinin örneklem içinde volatilite yayıcısı olduğu bu özelliği etherium ve bitcoinin izlediği buna karşın Shanghai, BİST100 ve DAX endekslerinin volatilite alıcısı oldukları, bu endeksleri litecoin ve ripplenin izlediği belirlenmiştir. Çalışmada ayrıca COVID-19 salgın döneminde volatilite yayılım endeksinin önemli derecede arttığı, COVID-19 aşılama süreciyle birlikte volatilite yayılım endeksinin tekrar azalmaya başladığı anlaşılmıştır.

Covid-19 pandemisinin borsalar üzerindeki etkisi 2020 yılının ilk çeyreğinde büyük bir çöküş ve hızlı bir toparlanma süreci olarak gerçekleşirken, kapanma önlemleri ile birlikte finans piyasalara büyük bir ilgi ve yatırımcı sayılarında artışa sebep olmuştur. Özellikle aşının bulunmasından sonra finans piyasalarındaki olumlu seyir çok sayıda halka arzı da beraberinde getirmiştir Bu çalışmanın amacı Covid-19 dönemi öncesi ve Covid-19 döneminde ilk halka arzların BİST 100 Endeksinin (BİST100) volatilitesine etkisini araştırmaktır. Çalışmaya Covid-19 dönemi öncesi (2018-2019) ve Covid-19 dönemi (2020-2021) 36 ilk halka arz dahil edilmiştir. Çalışmada, 01/01/2018-31/12/2019 tarihleri arası Covid-19 dönemi öncesi seçilmiş olup, Covid-19 dönemi için ise 01/01/2020-28/09/2021 tarihleri incelenmiştir. GARCH modellerinin uygulandığı çalışmanın sonucunda, Covid-19 dönemi öncesinde ilk halka arzların BİST100 volatilitesine sadece halka arz olduğu ilk gün incelendiğinde anlamlı bir sonuç bulunamazken; Covid-19 döneminde volatiliteyi azalttığı sonuçlarına ulaşılmıştır. Bulgular, halka arzın ilk 10 gününde Covid-19 pandemi dönemi öncesinde volatilitede azalışa yol açarken, Covid-19 pandemi döneminde ise volatiliteyi arttırdığını göstermektedir.

Various theories have been developed for the day of the week effect. This situation, which is often called the Monday Effect, describes the situation where low or negative returns are seen on Mondays and aboveaverage returns are seen on Fridays. In this study, the effect of the day of the week is examined for both the return and volatility for the period of 2.01.1997 and 1.06.2023 for nine Borsa İstanbul indices, including the BIST 100 index. In the study, the GARCH(1,1) specification was used in the conditional variance modeling, and it was observed that the volatility on Mondays is higher than on Fridays, in line with the literature. [ABSTRACT FROM AUTHOR]

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The study aims to highlight Islamic assets as safe investments, by comparing the international conventional and Islamic indices of both the Dow jones and FTSE index for a series of index returns for the period from July 2009 to December 2021, we found that Islamic indices were more volatile in the long term, this may be due to the fact that Islamic stocks are still at an early stage, and the fear of non-Muslim investors about them and poor marketing and promotion. [ABSTRACT FROM AUTHOR]

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Bu çalışmanın konusunu, pay senedi endeks vadeli işlemlerinin, pay senedi endeksleri üzerindeki volatilite etkisinin analizi oluşturmaktadır. Bu çalışma, endeks vadeli işlemlerin, spot endeksler üzerindeki volatilite etkisinin yönünü tespit etmeyi amaçlamaktadır. Bu amaçla Asya-Pasifik ülkelerinden seçilmiş örneklerin yer aldığı veri seti oluşturulmuştur. Bu çalışmada, S&P/ASX 200 (Avustralya), FTSE/KLCI (Malezya), NIFTY 50 (Hindistan), TOPIX (Japonya), KOSPI 200 (Kore) endekslerinin ve bu endekslerin dayanak varlık olduğu vadeli işlem sözleşmelerinin 01 Ocak 2006 - 26 Şubat 2022 tarihleri arasındaki günlük kapanış (uzlaşma) fiyatları kullanılmıştır. Bu çalışmanın temel amacı, Asya-Pasifik ülkelerinden seçilen pay senedi endeks vadeli işlemlerinin, spot pay senedi endeksleri üzerindeki volatilite etkisinin ekonometrik yöntemlerle incelenerek, endeksler arasında karşılaştırmalar yapılması ve analiz sonuçlarının değerlendirilmesidir. Getiri ve işlem hacimlerine ilişkin volatilite tahminleri için Otoregresif Koşullu Değişen Varyans (ARCH) Modelleri kullanıldığından, pay senedi endeks vadeli işlemlerinin, spot pay senedi endeksleri üzerindeki volatilite etkisi GARCH, TARCH, EGARCH ve PARCH modelleri ile analiz edilmiştir. Uygulama aşamasında elde edilen tüm bulgular, 2006-2022 yıllarını kapsayan dönemde, endeks vadeli işlemlerin spot endeks volatilitesini azalttığını göstermiştir.

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Amaç: Finans alanında volatilite (oynaklık) yatırımcılar için giderek önemini artırmaya devam etmektedir. Finansal yatırımcılar portföylerini çeşitlendirmenin yanında risklerini de en aza düşürebilmek için İslami finans yatırım araçlarına doğru hızlı bir şekilde yönelmektedirler. Bu nedenle İslami finansın ve İslami finans yatırım araçlarının önemi gün geçtikçe artmaktadır. Bu çalışmanın amacı Türkiye’de İslami usullere göre işlem gören şirketlerin olduğu Katılım-30 Endeksinin finansal volatilitesini modelleyen en uygun yöntemi bulmaktır. Yöntem: Çalışmada 07.01.2011-02.11.2020 dönemini kapsayan Katılım-30 Endeksi günlük kapanış değerleri kullanılmıştır. Çalışmada kullanılan yöntemler ARCH, GARCH, ARCH-M, GARCH-M, IGARCH modelleridir. Bulgular: Yapılan analizler neticesinde Katılım-30 Endeksini en iyi tahmin eden model olarak GARCH-M modeli bulunmuştur. Özgünlük: Çalışmada endeks tahminlemesi için en uygun modelin bulunması, hem yatırımcıların portföy yatırımlarını verimli ve etkin olarak değerlendirmeleri hem de endeks getirilerini daha verimli bir şekilde modelleme ve tahmin etme kolaylığı sağlanacağı düşünülmektedir.

Bu çalışma 2011 yılından itibaren temel olarak “belirsizlik” ve “ekonomi” anahtar kelimelerini içeren tweetlerin baz alınarak oluşturulduğu Twitter Bazlı Belirsizlik Endeksinin, son yılların gözde yatırım araçlarından olan kripto paraların volatilitesine etkisini incelemeyi amaçlamaktadır. Piyasa değeri en yüksek, Binance, Bitcoin, Cardano, Ethereum, Ripple ve Tether kripto paralar 18/01/2018- 11/07/2021 dönemi için günlük verilerle ARCH-GARCH ailesi modelleri ile incelenmiştir. Çalışmada öncelikle ortalama denklemi oluşturulan modellerin ARCH-GARCH modellerine uygunluğu sınanmış ve incelenen dönemde Bitcoin ve Ethereum için ARCH etkisinin olmadığı ancak Binance, Cardano, Ripple ve Tether için volatilite modellerinin kullanımının uygun olduğu bulgusu elde edilmiştir. Binance için GARCH (1,1), Cardano için GARCH-M (1,1), Ripple için ARCH (2) modeli volatiliteyi en iyi yakalayan model olarak seçilmiştir. Twitter Bazlı Belirsizlik Endeksinin bu modellerin hepsinde istatistiki olarak anlamlı ve pozitif bir etkiye sahip olduğu tespit edilmiştir. Bu sonuçlara göre bir sosyal medya platformu olan Twitter’da yer alan belirsizlik ve ekonomi içerikli tweetlerin kripto varlıkların volatilitesini etkilediğini söylemek mümkündür.

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Pay piyasaları, ekonominin bir göstergesi olarak sayılmakta, bunun yanında sosyal ve ekonomik sorunlar da bu piyasalarda volatiliteye neden olmaktadır. 2019’un sonlarında Çin’de ortaya çıkan ve epidemiden pandemiye dönüşen Covid-19, tüm dünyada sosyal hayatı, ekonomiyi ve finansal sistemi etkilemiştir. Özellikle salgının yayılmasıyla beraber yaşanan belirsizlik, uluslararası pay piyasalarında aşırı fiyat düşüşlerine ve volatiliteye neden olmuştur. Bu çalışmanın amacı, Covid-19’un uluslararası pay piyasalarına etkisini incelemek, yeni geliştirilen ve pandeminin toplumsal etkisini sayısal olarak gösteren “Salgın Hastalıklar Piyasa Volatilitesi Takipçisi” (Infectious Infectious Disease Equity Market Volatility Tracker – EMV-ID) endeksinin bu piyasalardaki volatiliteyi nasıl etkilediğini tespit etmektir. Çalışmada, WHO verilerine göre en fazla vaka ve ölüm sayısının olduğu 13 ülkenin pay piyasası endeksleri ele alınmıştır. Covid-19’un etkisinin daha net bir şekilde görülmesi için her ülkede ilk vakanın görüldüğü tarih ile 30.09.2020 arası dönemdeki günlük getiriler incelenmiştir. Yapılan EGARCH(1,1) modelinin sonucunda farklı piyasaların farklı tepkiler verdiği, ancak EMV-ID endeksinin analizde yer alan piyasaların birçoğunda volatiliteyi artırıcı etkiye sahip olduğu sonucuna ulaşılmıştır.

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