DEVLET İÇ BORÇLANMA SENETLERİ, DÖVİZ, PETROL PİYASALARININ HİSSE SENEDİ PİYASASI ÜZERİNE ORTALAMA VE OYNAKLIK YAYILMA ETKİLERİ
THE MEAN AND VOLATILITY SPREADING EFFECTS OF GOVERNMENT DEBT BILLS, FOREIGN EXCHANGE, OIL MARKETS ON THE STOCK MARKET

Summary/Abstract: Changes in oil prices, government domestic debt securities and foreign exchange rates are anticipated as important indicators in order to examine the impact on the stock market. Predicting, calculating and managing the risks of changes in these variables are very important by the decision makers by considering the oil prices, the changes in exchange rates, the effects of the government securities and the stock market on the economy. It is observed that the rare limited studies on the effects of price and volatility between oil prices, exchange rates, Government Debt Bills(DIBS) and BİST 100. One of the methods used to reveal the diffusion effects is the EGARCH model, which is multivariate. The aim of this study is to investigate the effect of monthly average exchange rate, DIBS, and oil prices on the BIST100 index between 02.01.2005 and 31.05.2018, and to show the effect of the exchange rates on dollar exchange rate, DIBS and oil. As a result of the study, there was a significant mean volatility spread effect between the government securities market and the stock market and a bi-directional spreading effect was observed.

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