The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility
National and international investors are closely monitoring the policies implemented by central banks when making investment decisions. These policies influence the macroeconomic and financial factors of the countries. Due to the high level of worldwide economic integration, interest rate decisions...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | deu |
| Published: |
Celal Bayar University
2018-12-01
|
| Series: | Yönetim ve Ekonomi |
| Subjects: | |
| Online Access: | http://dergipark.gov.tr/yonveek/issue/41680/421591 |
| _version_ | 1797908896254263296 |
|---|---|
| author | Hüseyin Tuna Can Elif |
| author_facet | Hüseyin Tuna Can Elif |
| author_sort | Hüseyin |
| collection | DOAJ |
| description | National and international investors are closely monitoring the policies implemented by central banks when making investment decisions. These policies influence the macroeconomic and financial factors of the countries. Due to the high level of worldwide economic integration, interest rate decisions of the international central banks are simultaneously affecting the stability of international financial system. The aim of this study is to examine the effects of the monetary policies and the interest rate decisions implemented by various central banks (CBRT, The Federal Reserve, the European Central Bank, the Central Bank of India, the Central Bank of the Netherlands, the Central Bank of the Russian Federation and the Central Bank of Brazil) for the period of 02.01.2004-31.01.2017 on the stock markets. With this purpose, the daily closing price data for the BIST-100 index has been modeled with ARMA (9,9) -GJR-GARCH (1,1).
Results of the analyses indicate that the monetary policy decisions made by FED, ECB, CBI, CBN, CBR and CBB cause an increment of volatility in BIST 100 index under bear market conditions. In bull market, however only the monetary policy decisions made by FED and ECB increase the volatility in BIST 100 index. In addition, the bear market environment is found to be more volatile and persistent compared to the bull market environment. The findings of the analysis are aimed to be influential on the decisions of portfolio managers and market regulators. |
| first_indexed | 2024-04-10T11:00:05Z |
| format | Article |
| id | doaj.art-923024b6c6ea4235bba7b878e15d3f96 |
| institution | Directory Open Access Journal |
| issn | 1302-0064 1302-0064 |
| language | deu |
| last_indexed | 2024-04-10T11:00:05Z |
| publishDate | 2018-12-01 |
| publisher | Celal Bayar University |
| record_format | Article |
| series | Yönetim ve Ekonomi |
| spelling | doaj.art-923024b6c6ea4235bba7b878e15d3f962023-02-15T16:19:45ZdeuCelal Bayar UniversityYönetim ve Ekonomi1302-00641302-00642018-12-01253749756The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index VolatilityHüseyin 0Tuna Can 1Elif 2AKTAŞGÜLEÇ ERER National and international investors are closely monitoring the policies implemented by central banks when making investment decisions. These policies influence the macroeconomic and financial factors of the countries. Due to the high level of worldwide economic integration, interest rate decisions of the international central banks are simultaneously affecting the stability of international financial system. The aim of this study is to examine the effects of the monetary policies and the interest rate decisions implemented by various central banks (CBRT, The Federal Reserve, the European Central Bank, the Central Bank of India, the Central Bank of the Netherlands, the Central Bank of the Russian Federation and the Central Bank of Brazil) for the period of 02.01.2004-31.01.2017 on the stock markets. With this purpose, the daily closing price data for the BIST-100 index has been modeled with ARMA (9,9) -GJR-GARCH (1,1). Results of the analyses indicate that the monetary policy decisions made by FED, ECB, CBI, CBN, CBR and CBB cause an increment of volatility in BIST 100 index under bear market conditions. In bull market, however only the monetary policy decisions made by FED and ECB increase the volatility in BIST 100 index. In addition, the bear market environment is found to be more volatile and persistent compared to the bull market environment. The findings of the analysis are aimed to be influential on the decisions of portfolio managers and market regulators.http://dergipark.gov.tr/yonveek/issue/41680/421591Central BankMonetary PolicyBIST 100 |
| spellingShingle | Hüseyin Tuna Can Elif The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility Yönetim ve Ekonomi Central Bank Monetary Policy BIST 100 |
| title | The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility |
| title_full | The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility |
| title_fullStr | The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility |
| title_full_unstemmed | The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility |
| title_short | The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility |
| title_sort | effects of foreign central bank monetary policies on bist 100 index volatility |
| topic | Central Bank Monetary Policy BIST 100 |
| url | http://dergipark.gov.tr/yonveek/issue/41680/421591 |
| work_keys_str_mv | AT huseyin theeffectsofforeigncentralbankmonetarypoliciesonbist100indexvolatility AT tunacan theeffectsofforeigncentralbankmonetarypoliciesonbist100indexvolatility AT elif theeffectsofforeigncentralbankmonetarypoliciesonbist100indexvolatility AT huseyin effectsofforeigncentralbankmonetarypoliciesonbist100indexvolatility AT tunacan effectsofforeigncentralbankmonetarypoliciesonbist100indexvolatility AT elif effectsofforeigncentralbankmonetarypoliciesonbist100indexvolatility |