Publication: Azerbaycan sermaye piyasalarının modernizasyonu
Abstract
Azerbaycan, ekonominik istikrarı sağlamak amacıyla hem reel sektör hem de finansal sektöre destek olmak için teknolojik altyapısını güçlendirmeye çalışan gelişmekte olan bir ülkedir. Bu amaçla son yıllarda finansal piyasalara yönelik hukuki düzenlemeler güncellenmiş, yeni yazılımlar aracılığıyla yapılan işlemlerin maliyetleri azaltılarak işlem hızları artırılmıştır. Bu bağlamda sermeye piyasalarının modernleştirilmesi için yapılan düzenlemelerin hem bireysel hem de kurumsal yatırımcıları teşvik ederek ekonomik kalkınmayı desteklemesi beklenmektedir.G-7 ülkeleri modernizasyon bağlamında örnek teşkil etdiği için bu ülkelerin borsaları çalışmada referans olarak incelenmiştir. Mevcut çalışmanın amacı G7 ülkelerinin borsaları ile Bakü Borsası arasındaki ilişkileri araştırmaktır. Bu amaçla G-7 ülkelerinin borsaları ve ulusal endeksleri incelenmiştir. Teorik incelemeleri takiben Bakü Borsası ve G-7 ülke borsalarının sayısal verilerinin ekonometrik analizi yapılmıştır. Ekonometrik analiz 2016:01- 2020:12 aralığındaki verileri kapsamıştır. Sayısal analizde öncelikle birim kök testleri yapılmıştır. Birim kök testleri ile serilerin durağanlık analizi yapılmış, tüm serilerin birinci derece farklarında durağan olduğu belirlenmiştir. Daha sonra değişkenler arasındaki uzun vadeli ilişkiyi belirlemek amacıyla Johansen Juselius eşbütünleşme analizi yapılmıştır. Analiz sonucu serilerin uzun vadede birlikte hareket ettikleri sonucuna ulaşılmıştır. Bu testi takiben hem uzun dönem hem de kısa dönem dinamiklerini test etmek için Vektör Hata Düzeltme Modeli (VECM) uygulanmıştır. Son olarak ise değişkenler arasındaki nedensellik ilişkisi Granger Nedensellik Testi ile araştırılmıştır. Bu test sonucunda Bakü Borsası ile NIKKEI_225 arasında nedensellik ilişkisi bulunmuştur.
ABSTRACTAzerbaijan is a developing country trying to strengthen its technological infrastructure to support both the real and financial sector in order to ensure economic stability. For this purpose, legal regulations regarding financial markets have been updated in recent years, the transaction speed was increased and costs reduced with new softwares. In this context, regulations made to modernize capital markets are expected to support economic development by encouraging both individual and institutional investors.Since the G-7 countries set an example in the context of modernization, the stock markets of these countries were examined as a reference in the study. The aim of the present study is to investigate the relationships between G7 countries' stock markets and Baku Stock Exchange. For this purpose, the stock markets and national indices of the G-7 countries were examined. Following the theoretical studies, econometric analysis of numerical data of Baku Stock Exchange and G-7 country stock markets was analysed. The econometric analysis covered the data in the range of 2016: 01-2020: 12.In numerical analysis, unit root tests were performed first. The stationarity analysis of the series was made with unit root tests, and it was determined that all series were stationary in the first differences. Then, Johansen Juselius cointegration analysis was conducted to determine the long-term relationship between variables. As a result of the analysis, concluded that the series act together in the long run. Following this test, the Vector Error Correction Model (VECM) was applied for understanding both long-term and short-term dynamics. Finally, the causality relationship between variables was investigated using the Granger Causality Test. As a result of this test, a causality relationship was found between Baku Stock Exchange and NIKKEI_225.
ABSTRACTAzerbaijan is a developing country trying to strengthen its technological infrastructure to support both the real and financial sector in order to ensure economic stability. For this purpose, legal regulations regarding financial markets have been updated in recent years, the transaction speed was increased and costs reduced with new softwares. In this context, regulations made to modernize capital markets are expected to support economic development by encouraging both individual and institutional investors.Since the G-7 countries set an example in the context of modernization, the stock markets of these countries were examined as a reference in the study. The aim of the present study is to investigate the relationships between G7 countries' stock markets and Baku Stock Exchange. For this purpose, the stock markets and national indices of the G-7 countries were examined. Following the theoretical studies, econometric analysis of numerical data of Baku Stock Exchange and G-7 country stock markets was analysed. The econometric analysis covered the data in the range of 2016: 01-2020: 12.In numerical analysis, unit root tests were performed first. The stationarity analysis of the series was made with unit root tests, and it was determined that all series were stationary in the first differences. Then, Johansen Juselius cointegration analysis was conducted to determine the long-term relationship between variables. As a result of the analysis, concluded that the series act together in the long run. Following this test, the Vector Error Correction Model (VECM) was applied for understanding both long-term and short-term dynamics. Finally, the causality relationship between variables was investigated using the Granger Causality Test. As a result of this test, a causality relationship was found between Baku Stock Exchange and NIKKEI_225.
Description
Keywords
Azerbaijan, Azerbaycan, Baku Stock Exchange, Bakü Borsası, Bankalar ve bankacılık, Banks and banking, birim kök testi, Capital market, G-7 country stock markets, G-7 ülke borsaları, Granger causality test, Granger nedensellik testi, Johansen Juselius cointegration analysis, Johansen Juselius eşbütünleşme analizi, Sermaye piyasası, unit root test, VECM