Yönetim ve Ekonomi (Dec 2018)
The Effects Of Foreign Central Bank Monetary Policies On BIST 100 Index Volatility
Abstract
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.
