Türkiye ve Brıcs Ülkelerinde Sistemik Risk ve Oynaklık Yayılımı
Özet
Bu bölüm, Türkiye ile BRICS+ ülkelerinin hisse senedi piyasaları arasındaki sistemik risk ve oynaklık yayılım dinamiklerini incelemektedir. Küresel finansal krizler, COVID-19 pandemisi, Rusya-Ukrayna savaşı ve jeopolitik belirsizliklerin yoğunlaştığı 2018–2025 dönemi ele alınarak, finansal piyasalar arasındaki zamanla değişen etkileşimler analiz edilmiştir. Çalışmada, Türkiye ile BRICS+ ülkelerini temsilen seçilen hisse senedi endekslerinin günlük log-getiri serileri kullanılmış ve zamanla değişen parametreli VAR (TVP-VAR) yöntemi uygulanmıştır. Bulgular, piyasalar arasında orta düzeyde bir toplam bağlantılılık bulunduğunu ve kriz dönemlerinde oynaklık bulaşmasının belirgin biçimde arttığını göstermektedir. Güney Afrika ve Brezilya piyasaları net oynaklık yayıcı konumunda öne çıkarken, Türkiye, Çin ve Mısır piyasaları daha çok oynaklık alıcısı olarak belirlenmiştir. Sonuçlar, gelişmekte olan ekonomilerde finansal entegrasyonun dönemsel olarak güçlendiğini ve küresel şokların sistemik risk aktarımını hızlandırdığını ortaya koymaktadır. Bu yönüyle bölüm, politika yapıcılar ve yatırımcılar için rejime duyarlı risk yönetimi açısından önemli çıkarımlar sunmaktadır.
This chapter examines systemic risk and volatility spillover dynamics between Türkiye and BRICS+ equity markets. Focusing on the 2018–2025 period—characterized by major global shocks such as the COVID-19 pandemic, the Russia-Ukraine war, and heightened geopolitical uncertainty—the study analyzes time-varying financial interconnectedness across markets. Daily logarithmic returns of selected stock market indices representing Türkiye and BRICS+ countries are employed, and the analysis is conducted using the Time-Varying Parameter Vector Autoregressive (TVP-VAR) framework. The findings reveal a moderate level of overall connectedness among markets, with volatility spillovers intensifying significantly during crisis periods. South Africa and Brazil emerge as net volatility transmitters, while Türkiye, China, and Egypt are identified as net receivers of external shocks. The results highlight that financial integration among emerging markets is not constant but strengthens during periods of global stress, amplifying systemic risk transmission. Overall, the chapter provides valuable insights for policymakers and investors by emphasizing the importance of time-varying and regime-sensitive approaches to financial risk management in emerging and interconnected markets.
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