DOCSLIB.ORG

Gelġġmġġ ÜLKELER Ve Seçġlmġġ Gelġġmekte OLAN ÜLKELER ÜZERĠNE BĠR ĠNCELEME

Total Page：16

File Type：pdf, Size：1020Kb

Download full-text PDF Read full-text
Gelġġmġġ ÜLKELER Ve Seçġlmġġ Gelġġmekte OLAN ÜLKELER ÜZERĠNE BĠR ĠNCELEME T.C. SÜLEYMAN DEMĠREL ÜNĠVERSĠTESĠ SOSYAL BĠLĠMLER ENSTĠTÜSÜ ĠKTĠSAT ANABĠLĠM DALI ULUSLARARASI PAY PĠYASALARI ARASINDAKĠ GETĠRĠ ve VOLATĠLĠTE YAYILIMI: GELĠġMĠġ ÜLKELER ve SEÇĠLMĠġ GELĠġMEKTE OLAN ÜLKELER ÜZERĠNE BĠR ĠNCELEME DOKTORA TEZĠ Samet GÜRSOY 1240202501 DanıĢman Prof. Dr. Bekir GÖVDERE Isparta, 2017 (GÜRSOY, Samet, Uluslararası Pay Piyasaları Arasındaki Getiri ve Volatilite Yayılımı: Gelişmiş Ülkeler ve Seçilmiş Gelişmekte Olan Ülkeler Üzerine Bir İnceleme, Doktora Tezi, Isparta, 2017) ÖZET Günümüzde gelişmiş ülkelerdeki fon yatırımcıları, hem portföy çeşitlendirmesi hem de risk yönetimi açısından fonlarını aktaracak düşük korelasyonlu yatırım araçları ve finansal piyasa arayışına girmiştir. Bilginin finansal piyasalar arasındaki hızlı yolculuğu piyasalardaki dalgalanmaların şiddetlenmesine ve böylelikle olası finansal krizlerin daha hızlı bir şekilde diğer ülkelere bulaşmasına sebep olmaktadır. Gelişmiş ve gelişmekte olan ülkeler arasındaki getiri ve volatilite yayımlarının tespit edilmeye çalışıldığı bu araştırmada, Ocak 2006 - Eylül 2017 aralığındaki günlük veriler kullanılmıştır. Kurulan çok değişkenli VAR-EGARCH modeli ortalama denklemi sonuçlarına göre; ABD başta olmak üzere İngiltere ve Japonya pay piyasalarından örnekleme dahil edilen tüm gelişmekte olan ülkelere doğru güçlü bir getiri yayılımın olduğu, volatilite yayılımı açısından ise bu ülkeler üzerinde Fransa ve İngiltere’nin daha baskın olduğu tespit edilmiştir. Diğer bir taraftan gelişmiş ülke pay piyasalarında oluşan bir hareketlilikten en çok etkilenen piyasanın Endonezya pay piyasası, en az etkilenen piyasanın ise Güney Afrika pay piyasası olduğu bulgusu elde edilmiştir. Gelişmekte olan ülkeler arasında kurulan çok değişkenli VAR-EGARCH model sonuçlarına göre getiri yayılımı açısından ülkeler arasında çok yönlü öncül/ardıl ilişkilerinin olduğu gözlemlenmiştir. Volatilite yayılımı açısından bakıldığında ise Türkiye dışındaki dört ülkeye ait pay piyasaları arasında dikkate değer bir volatilite etkileşimi görülürken Türkiye’nin diğer ülkelerde oluşan volatilite akımlarından en az etkilenen ülke olduğu görülmüştür. Anahtar Kelimeler: Pay Piyasaları, Getiri yayılımı, Volatilite yayılımı, VAR-EGARCH, Kırılgan Beşli. i (GÜRSOY, Samet, Return and Volatility Spillover among International Equity Markets: An Examination of Developed Countries and Selected Developing Countries, Doktorate Thesis, Isparta, 2017) ABSTRACT Today, fund investors in developed countries are looking for low-correlated investment instruments and financial markets that will transfer their funds in terms of portfolio diversification and risk management. The rapid travel of information between financial markets causes exacerbation of fluctuations in the markets, thus causing prospective financial crises be contagioned to other countries more quickly. In this study which attempted to determine the returns and volatility spillover between developed and developing countries, daily date between January 2006 and July 2015 was used. According to the results of the multivariate VAR-EGARCH model mean equation, it has been found that the UK and Japan share markets, especially the US, have a strong return spillover to all developing countries including sampling, while France and the UK are dominant over volatility spillover. On the other hand, the finding that the most affected market was the Indonesian share market and the least affected market was the South African share market that was the most affected one by the mobility of the developed country's share markets. According to the multivariate VAR-EGARCH model results established among developing countries, it has been observed that there are multi-dimensional lead/lag relations among the countries in terms of return spillover. In terms of volatility spillover, there is a remarkable volatility interaction among the share markets of the four countries outside Turkey and it is seen that Turkey is the least affected country by the volatility flows in other countries. Key Words: Equity Markets, Return Spillover, Volatility Spillover, VAR- EGARCH, Fragile five. ii ĠÇĠNDEKĠLER ÖZET ............................................................................................................................ i ABSTRACT ................................................................................................................ ii ĠÇĠNDEKĠLER ......................................................................................................... iii TABLOLAR DĠZĠNĠ ................................................................................................. v GRAFĠKLER DĠZĠNĠ .............................................................................................. vi KISALTMALAR ..................................................................................................... vii ÖNSÖZ ..................................................................................................................... viii GĠRĠġ .......................................................................................................................... 1 BĠRĠNCĠ BÖLÜM SEÇĠLĠ ÜLKELERĠN FĠNANSAL PĠYASALARI ve PAY PĠYASALARI 1.1. Piyasa Kavramı ve Finansal Sistem ............................................................... 4 1.1.1. Emtia Piyasaları ......................................................................................... 5 1.1.2. Finansal (Mali) Piyasalar ........................................................................... 5 1.2. Finansal Piyasa Türleri................................................................................... 7 1.2.1. Finansal Varlığın Niteliğine Göre Piyasalar .............................................. 7 1.2.2. Finansal Varlığın İlk Kez Alınıp Satılmasına Göre Piyasalar ................... 8 1.2.3. Örgütlenme Durumuna Göre Piyasalar ...................................................... 8 1.2.4. Ödemelerin Hemen ya da Gelecekte Yapılmasına Göre Piyasalar ............ 9 1.2.5. Finansal Varlığın Süresine Göre Piyasalar ................................................ 9 1.2.6. Para ve Sermaye Piyasası Araçları ve İşleyişi ......................................... 10 1.2.6.1. Para Piyasası Araçları ve İşleyişi ...................................................... 10 1.2.6.2. Sermaye Piyasası Araçları ve İşleyişi ............................................... 11 1.2.6.2.1. Menkul Kıymetler ...................................................................... 12 1.2.6.2.2. Diğer Sermaye Piyasası Araçları ............................................... 13 1.2.7. Sermaye Piyasalarının Para Piyasaları ve Diğer Piyasalarla ilişkisi ........ 14 1.2.8. Sermaye Piyasasının Önemi ve Ekonomideki Yeri ................................. 15 1.3. Pay Piyasası Kavramı ve Pay Piyasası Tanımı ........................................... 15 1.3.1. Pay Piyasalarının Önemi ve Ekonomideki Yeri ...................................... 17 1.4. GeliĢmiĢ Ülkelerin Pay Piyasalarının Belirlenmesi .................................... 18 1.4.1. ABD ve S&P - 500 Endeksi ..................................................................... 18 1.4.2. Japonya ve NİKKEİ - 225 Endeksi .......................................................... 19 1.4.3. İngiltere ve FTSE - 100 Endeksi .............................................................. 20 1.4.4. Almanya ve DAX Endeksi ....................................................................... 23 1.4.5. Fransa ve CAC - 40 Endeksi .................................................................... 25 1.5. SeçilmiĢ GeliĢmekte Olan Ülkelerin Pay Piyasalarının Belirlenmesi ....... 26 1.5.1. Türkiye ve BİST - 100 Endeksi ............................................................... 29 1.5.2. Brezilya ve BOVESPA Endeksi .............................................................. 32 1.5.3. Hindistan ve BSE Sensex - 30 Endeksi ................................................... 34 1.5.4. Endonezya ve JKSE Endeksi ................................................................... 36 1.5.5. Güney Afrika ve INVSAF - 40 Endeksi .................................................. 38 iii ĠKĠNCĠ BÖLÜM PAY PĠYASALARI ARASINDAKĠ GETĠRĠ ve VOLATĠLĠTE ĠLĠġKĠSĠNE DAĠR LĠTERATÜR TARAMASI 2.1. Literatür ve Uygulama Örnekleri ................................................................ 40 2.2. Ülke Gruplarına Göre Yapılan ÇalıĢmalar ................................................ 53 2.2.1. Gelişmiş Ülkeler İle Gelişmekte Olan Ülkeler Arasında Yapılan Çalışmalar .......................................................................................................... 53 2.2.2. Gelişmekte Olan Ülkeler Arasında Çalışmalar ........................................ 56 ÜÇÜNCÜ BÖLÜM ZAMAN SERĠLERĠNĠN ÖNEMĠNE ve GEREKLĠLĠĞĠNE GENEL BĠR BAKIġ 3.1. Zaman Serileri ............................................................................................... 58 3.2. Zaman Serilerinde Durağanlık .................................................................... 59 3.2.1. Durağan Olmayan Zaman Serileri: Birim Köklü Seriler ve Birim Kök Testleri ............................................................................................................... 62 3.2.1.1. Genişletilmiş Dickey Fuller (ADF) Testi .......................................... 63 3.2.1.2. Phillips-Perron (PP) Testi ................................................................. 64 3.2.2. Durağan Zaman Serisi Modelleri ............................................................. 65 3.2.2.1. AR Modeli ........................................................................................
Load more

Recommended publications
  • Midwest Financial Brian Johnson, RFC 706 Montana Street Glidden, IA 51443 [email protected] 712-659-2156
    Midwest Financial Brian Johnson, RFC 706 Montana Street Glidden, IA 51443 www.midwestfinancial.us [email protected] 712-659-2156 The SITREP for the week ending 08/06/2021 ***************************************************** SIT REP: n. a report on the current situation; a military abbreviation; from "situation report". In the markets: U.S. Markets: U.S. stocks recorded solid gains for the week and several indices hit record highs. The Dow Jones Industrial Average rose 273 points finishing the week at 35,209, a gain of 0.8%. The NASDAQ retraced all of last week’s decline by rising 1.1% to close at 14,836. By market cap, the large cap S&P 500 rose 0.9%, while the mid cap S&P 400 and small cap Russell 2000 gained 0.5% and 1.0%, respectively. International Markets: Major international markets also finished the week solidly in the green. Canada’s TSX added 0.9%, while the United Kingdom’s FTSE 100 gained 1.3%. France’s CAC 40 and Germany’s DAX rose 3.1% and 1.4%, respectively. China’s Shanghai Composite added 1.8%, while Japan’s Nikkei rallied 2%. As grouped by Morgan Stanley Capital International, developed markets finished up 1.0% and emerging markets gained 0.7%. Commodities: Precious metals had a difficult week. Gold retreated -3.0% to $1763.10 per ounce, while Silver fell a steeper -4.8% to $24.33. West Texas Intermediate crude oil gave up all of the last two week’s gains, declining -7.7% to $68.28 per barrel. The industrial metal copper, viewed by some analysts as a barometer of world economic health due to its wide variety of uses, finished the week down -3%.
    [Show full text]
  • Weekly Economic Update
    Jim Saulnier Presents: QUARTERLY ECONOMIC UPDATE A review of 2Q 2015 QUOTE OF THE THE QUARTER IN BRIEF QUARTER A 2.10% June retreat left the S&P 500 down 0.23% for Q2 2015, putting an end to its “A problem is a 9-quarter winning streak. The quarter’s biggest economic events occurred in late chance for you to do June – Greece defaulted on its debt, the commonwealth of Puerto Rico said a default your best.” was imminent, and China’s stock market plunged. The Federal Reserve seemed committed to raising interest rates before the end of the year, even as it lowered its – Duke Ellington 2015 economic forecast. Spring brought more home buying, higher oil prices, improved hiring, and a number of encouraging signs that the economy was pulling QUARTERLY TIP out of a winter slump. Even with all those positives, the headwinds in the stock 1,2 Keeping federal tax market were too strong to allow a broad advance. returns, W-2s, 1099s, year-end account DOMESTIC ECONOMIC HEALTH statements, and The second quarter saw the Federal Reserve revise its projections for 2015 GDP sample pay stubs for downward; the spring forecast of 2.3-2.7% growth was reduced to 1.8-2% growth. Its 6-7 years is sensible, June 17 policy statement also signaled at least one interest rate hike later this year – in case you make an but perhaps only one, as more Fed officials now believed the central bank should error in reporting raise rates only once in 2015 with two calling for no move until 2016.
    [Show full text]
  • Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets
    Econometrics Working Paper EWP1301 ISSN 1485-6441 Department of Economics Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets Yanan Li & David E. Giles Department of Economics, University of Victoria September 2013 Abstract This paper examines the linkages of stock markets across the U.S., Japan and six Asian developing countries: China, India, Indonesia, Malaysia, the Philippines and Thailand over the period January 1, 1993 to December 31, 2012. The volatility spillover is modeled through an asymmetric multivariate GARCH model. We find significant unidirectional shock and volatility spillovers from the U.S. market to both the Japanese and the Asian emerging markets. It is also found that the volatility spillovers between the U.S. market and the Asian markets are stronger and bidirectional during the Asian financial crisis. Further, during the last five years, the linkages between the Japanese market and the Asian emerging markets became more apparent. Our paper contributes to the literature by examining both the long run and the short run periods and focusing on shock and volatility spillovers rather than return spillovers, which have been the primary focus of most other studies. Keywords: Volatility, Spillovers, Stock markets, Multivariate GARCH, Asymmetric BEKK model JEL Classifications: C32, C58, G1 Author Contact: David E. Giles, Dept. of Economics, University of Victoria, P.O. Box 1700, STN CSC, Victoria, B.C., Canada, V8W 2Y2; e-mail: [email protected]; Phone: (250) 721-8540; FAX: 1. Introduction The increasing economic integration of international stock markets has become especially important over the last two decades. The substantial development of technology and the increased flow of capital between countries are among the main factors contributing to this observed globalization.
    [Show full text]
  • Developing Policy Solutions for Four High Policy Priority Areas of the Indonesian Government April 2010 Tel
    Developing PolicySolutionsforFourHighPriority AreasoftheIndonesianGovernment Knowledge Sharing Program Developing Policy Solutions for Four High Policy Priority Areas of the Indonesian Government Ministry of Strategy and Finance, Republic of Korea April 2010 Government Complex 2, Gwacheon, 427-725, Korea Tel. 82-2-2150-7712 www.mosf.go.kr Korea Development Institute 130-740, P.O. Box 113 Hoegiro 49 Dongdaemun-gu Seoul, Tel. 82-2-958-4114 www.kdi.re.kr Knowledge Sharing Program April 2010 Center for International Development, KDI P.O. Box 113 Hoegiro 49 Dongdaemun-gu Seoul, 130-740 MINISTRY OF STRATEGY Tel. 02-958-4224 Korea Development Institute www.ksp.go.kr AND FINANCE Developing Policy Solutions for Four High Policy Priority Areas of the Indonesian Government Developing Policy Solutions for Four High Policy Priority Areas of the Indonesian Government Project Title Developing Policy Solutions for Four High Policy Priority Areas of the Indonesian Government Prepared by Korea Development Institute(KDI) Supported by Ministry of Strategy and Finance(MOSF), Republic of Korea Prepared for The Government of Indonesia In cooperation with Center for International Cooperation (CICP), Ministry of Finance, Republic of Indonesia Program Director Wonhyuk Lim, Director, Policy Research Division, Center for International Development (CID), KDI Taihee Lee, Director, Policy Consultation Division, CID, KDI Project Coordinator Eun Hae Kim, Research Associate, Policy Consultation Division, CID, KDI Project Manager Okyu Kwon, Professor, Graduate School of
    [Show full text]
  • Final Report Amending ITS on Main Indices and Recognised Exchanges
    Final Report Amendment to Commission Implementing Regulation (EU) 2016/1646 11 December 2019 | ESMA70-156-1535 Table of Contents 1 Executive Summary ....................................................................................................... 4 2 Introduction .................................................................................................................... 5 3 Main indices ................................................................................................................... 6 3.1 General approach ................................................................................................... 6 3.2 Analysis ................................................................................................................... 7 3.3 Conclusions............................................................................................................. 8 4 Recognised exchanges .................................................................................................. 9 4.1 General approach ................................................................................................... 9 4.2 Conclusions............................................................................................................. 9 4.2.1 Treatment of third-country exchanges .............................................................. 9 4.2.2 Impact of Brexit ...............................................................................................10 5 Annexes ........................................................................................................................12
    [Show full text]
  • Execution Version
    Execution Version GUARANTEED SENIOR SECURED NOTES PROGRAMME issued by GOLDMAN SACHS INTERNATIONAL in respect of which the payment and delivery obligations are guaranteed by THE GOLDMAN SACHS GROUP, INC. (the “PROGRAMME”) PRICING SUPPLEMENT DATED 23rd SEPTEMBER 2020 SERIES 2020-12 SENIOR SECURED EXTENDIBLE FIXED RATE NOTES (the “SERIES”) ISIN: XS2233188510 Common Code: 223318851 This document constitutes the Pricing Supplement of the above Series of Secured Notes (the “Secured Notes”) and must be read in conjunction with the Base Listing Particulars dated 25 September 2019, as supplemented from time to time (the “Base Prospectus”), and in particular, the Base Terms and Conditions of the Secured Notes, as set out therein. Full information on the Issuer, The Goldman Sachs Group. Inc. (the “Guarantor”), and the terms and conditions of the Secured Notes, is only available on the basis of the combination of this Pricing Supplement and the Base Listing Particulars as so supplemented. The Base Listing Particulars has been published at www.ise.ie and is available for viewing during normal business hours at the registered office of the Issuer, and copies may be obtained from the specified office of the listing agent in Ireland. The Issuer accepts responsibility for the information contained in this Pricing Supplement. To the best of the knowledge and belief of the Issuer and the Guarantor the information contained in the Base Listing Particulars, as completed by this Pricing Supplement in relation to the Series of Secured Notes referred to above, is true and accurate in all material respects and, in the context of the issue of this Series, there are no other material facts the omission of which would make any statement in such information misleading.
    [Show full text]
  • Midwest Financial Brian Johnson, RFC 706 Montana Street Glidden, IA 51443 [email protected] 712-659-2156
    Midwest Financial Brian Johnson, RFC 706 Montana Street Glidden, IA 51443 www.midwestfinancial.us [email protected] 712-659-2156 The SITREP for the week ending 08/13/2021 ***************************************************** SIT REP: n. a report on the current situation; a military abbreviation; from "situation report". In the markets: U.S. Markets: U.S. markets were mixed, but the headline indices continued to gain ground as the market mostly shrugged off concerns about a renewed spread of the coronavirus. Within the benchmark S&P 500 index, value stocks outperformed their growth counterparts. The Dow Jones Industrial Average finished the week up 307 points closing at 35,515, a gain of 0.9%. The technology-heavy NASDAQ Composite ticked down -0.1% to 14,823. By market cap, the large cap S&P 500 added 0.7%, the mid cap S&P 400 gained 0.5% and the small cap Russell 2000 retreated -1.1%. International Markets: Canada’s TSX rose 0.2%, while the United Kingdom’s FTSE 100 gained 1.3%. On Europe’s mainland, France’s CAC 40 and Germany’s DAX added 1.2% and 1.4%, respectively. In Asia, China’s Shanghai Composite gained 1.7%, while Japan’s Nikkei 225 finished up 0.6%. As grouped by Morgan Stanley Capital International, developed markets added 1.4% but emerging markets pulled back -0.4%. Commodities: Precious metals finished the week mixed with Gold rising 0.9% to $1778.20 per ounce, while Silver retreated -2.3% to $23.78. Crude oil finished essentially flat following last week’s decline.
    [Show full text]
  • Quarterly Economic Update
    DSI Wealth Management Group Presents: QUARTERLY ECONOMIC UPDATE A review of 1Q 2014 QUOTE OF THE THE QUARTER IN BRIEF QUARTER Bulls didn’t quite trample bears in the opening quarter of 2014. The S&P 500 slid “If there is no 3.56% in January, advanced 4.31% in February and gained another 0.69% in March. struggle, there is no Still, Q1 ended with the Dow in the red YTD and only minor YTD gains for the progress.” Nasdaq, S&P and Russell 2000; the broad commodities market outperformed the stock market. Some fundamental economic indicators were unimpressive during the – Frederick Douglass quarter, and analysts wondered if a ferocious winter was partly to blame. The Federal Reserve kept tapering QE3 as Ben Bernanke handed the reins to Janet QUARTERLY TIP Yellen. Unrest and currency problems hit some key emerging-market economies. Given the choice Home prices kept rising as home sales leveled off. Wall Street hoped the year 1 between a great wouldn’t mimic the quarter. lifestyle today and financial freedom DOMESTIC ECONOMIC HEALTH tomorrow, many The quarter ended with a major jump in consumer confidence. The Conference people opt to live for Board’s index reached 82.3 in March, up 4.0 points in a month. Consumer spending today – but no one improved too, rising 0.2% in January and 0.3% in February. (In a contrasting note, becomes wealthy by the University of Michigan’s consumer sentiment index slipped 2.5 points across the spending or living on quarter to a final March mark of 80.0.)2,3 margin.
    [Show full text]
  • Weekly Economic Update
    MONTHLY ECONOMIC UPDATE September 2015 MONTHLY QUOTE THE MONTH IN BRIEF “All human power is Fears about the health of China’s economy rocked Wall Street and other stock a compound of time markets last month. The Dow Jones Industrial Average lost 6.57% in August, and and patience.” other major U.S. equity indices followed it into correction territory. Not one – Honore de Balzac consequential foreign benchmark posted an August gain. The anxiety also sent prices of oil and other commodities lower; oil rebounded before the end of the month, but many other commodity futures did not. The housing sector and a few MONTHLY TIP encouraging U.S. economic indicators offered bright spots, but they were not enough Patience, not market to divert attention from concerns about China's economic woes.1 timing, is often far more appropriate DOMESTIC ECONOMIC HEALTH when markets take With all the attention on China, some solid stateside data had to fight for space on sudden and the front page. Job creation was again strong in July, with employers adding unanticipated turns 215,000 new hires to their payrolls. The broad unemployment rate remained at in performance. 5.3%, and the U-6 rate (unemployment + underemployment) descended slightly to 10.4%. Monthly hiring totals have averaged 235,000 since May.2 MONTHLY RIDDLE Second-quarter GDP turned out to be much better than originally thought. The At a big event, you second estimate of Q2 growth from the Bureau of Economic Analysis came in at can bet I'll be sent. 3.7%, way up from the initial 2.3% and topping the 3.1% consensus forecast at Whenever there’s Briefing.com.
    [Show full text]
  • CHAPTER 1 INTRODUCTION 1.1. Object Overview 1.1.1 Indonesia
    CHAPTER 1 INTRODUCTION 1.1. Object Overview 1.1.1 Indonesia Composite Stock Price Index The Composite Stock Price Index is usually abbreviated as IHSG in English is also commonly called the Indonesia Composite Index, ICI, or IDX Composite. The definition of a Composite Stock Price Index (CSPI) or the meaning of JCI is one of several stock market indices (stock markets) used by the Indonesia Stock Exchange (BEI; formerly the Jakarta Stock Exchange (BEJ). The IHSG was first introduced on April 1, 1983, the function of the stock price index acts as an indicator that reflects the share price movements in the JSX in general (Oktarina, 2016). 1.1.2 Thailand Composite Stock Price Index The SET Index is a Thailand composite stock market index which is calculated from the prices of all common stocks (including unit trusts of property funds) on the main board of the Stock Exchange of Thailand (SET), except for stocks that have been suspended for more than one year. It is a market capitalization- weighted price Index which compares the current market value of all listed common shares with its value on the base date of April 30, 1975, which was when the Index was established and set at 100 point/ The SET Index calculation is adjusted in line with modifications in the values of stocks resulting from changes in the number of stocks due to various events, e.g., public offerings, exercised warrants, or conversions of preferred to common shares, in order to eliminate all effects other than price movements from the Index (Sutheebanjard and Premchaiswadi, 2010).
    [Show full text]
  • Portafolios Α-Estables Del G20: Evidencia Empírica Con Markowitz, Tobin Y CAPM
    Revista Mexicana de Economía y Finanzas, Nueva Época Volumen 16 Número 4, Octubre - Diciembre 2021, pp. 1-28, e533 DOI: https://doi.org/10.21919/remef.v16i4.533 (Recibido: 7/agosto/2020, aceptado: 8/diciembre/2020, publicado: 5/mayo/2021 ) Portafolios α-estables del G20: Evidencia empírica con Markowitz, Tobin y CAPM José Antonio Climent Hernández1 - Universidad Autónoma Metropolitana, México Gabino Sánchez Arzate2 - Instituto Politécnico Nacional, México Ambrosio Ortiz Ramírez3 - Instituto Politécnico Nacional, México Objetivo: Esta investigación extiende los portafolios de Markowitz, Tobin, y el CAPM con procesos α-estables. Metodología: son realizados los siguientes procedimientos en un portafolio con los índices bursátiles del G20: 1) son estimados los estadísticos descriptivos y los parámetros α-estables de los rendimientos, 2) es aplicada una prueba de bondad de ajuste para validar los procesos α-estables, 3) es estimada la matriz de covariación para calcular las asignaciones de los portafolios, y 4) son estimados los indicadores de riesgo sistemático. Resultados: La frontera eficiente es calculada sin ventas en corto y muestra que los portafolios α-estables presentan mayor aversión al riesgo que los portafolios gaussianos, y que los portafolios α-estables son más eficientes con respecto a la relación rendimiento y riesgo. Recomendaciones: La aplicación de procesos α- Resumen estables para modelar la leptocurtosis, la asimetría y los cúmulos de volatilidad. Limitaciones: El análisis multivariado α-estable presenta diferentes parámetros de estabilidad. Originalidad: Los rendimientos del G20 son modelados con procesos α-estables y es realizado un análisis de sensibilidad. Conclusión: El análisis α- estable permite cuantificar el riesgo de mercado más adecuadamente que el análisis gaussiano.
    [Show full text]
  • OMBA Weekly Markets Dashboard
    WEEKLY GLOBAL SNAPSHOT Published at 17:57:27 on Fri 27 Mar 2020 Top News Stories of the Week Dow heads more than 3% lower Friday, risks snapping 3-day win streak as U.S. tops China in coronavirus cases - MarketWatch Oil Dives to Lowest Since 2003 on Intensifying Market Crisis - Bloomberg House aims to push through $2 trillion coronavirus bill as holdout insists on formal vote - Reuters U.S. weekly jobless claims soar to record 3.28 million - Reuters Consumer Sentiment in U.S. Slumps by Most Since October 2008 - Bloomberg ECB Steps Up ‘Whatever It Takes’ Fight to Save Euro Area - Bloomberg Important Recent Economic Data Commodities 27 Mar 2020 ∆ vs 20 Mar ∆ YTD ∆ 3-Year Data Point Actual Forecast Previous Gold US$ 1'619/toz +8.1% +6.7% +29.4% Eurozone Comp. Flash PMI, Mar 31.4 38.8 ↓↓ 51.6 ↓↓↓ Silver US$ 14.38/toz +14.3% -19.4% -20.8% UK Retail Sales, Feb M/M -0.3% +0.2% ↓ +0.9% ↓↓ Platinum US$ 741/toz +21.2% -23.0% -21.8% U Michigan Sentiment, Mar 89.1 90.0 ↓ 95.9 ↓↓ Copper US$ 2.19/lb -0.0% -21.6% -17.9% US Markit Mfg. Flash PMI, Mar 49.2 42.8 ↑↑ 50.7 ↓ Brent Crude US$ 24.68/bbl -8.5% -62.6% -51.9% 10-Year Yields 27 Mar 2020 ∆ vs 20 Mar ∆ YTD ∆ 3-Year Foreign Exch. 27 Mar 2020 ∆ vs 20 Mar ∆ YTD ∆ 3-Year US Treasuries 0.74% -0.14 -1.18 -1.68 EURUSD 1.110 +3.8% -1.0% +2.6% German Bunds -0.48% -0.15 -0.29 -0.87 GBPUSD 1.240 +6.5% -6.5% -0.4% Japanese Bonds 0.01% -0.09 +0.03 -0.05 EURCHF 1.060 +0.5% -2.3% -1.3% UK Gilts 0.36% -0.19 -0.46 -0.83 USDJPY 108.06 -2.5% -0.6% -2.8% AUDUSD 0.618 +6.6% -11.9% -19.0% Equity Indices* 27 Mar 2020 ∆
    [Show full text]