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NVIDIA'S VOLATILITY SPILLOVERS TO EMERGING MARKETS: SHORT- AND LONG-TERM EFFECTS

Yıl 2025, Cilt: 21 Sayı: 2, 798 - 813, 30.06.2025

Şerife Akıncı Tok

Öz

This study analyzes potential volatility spillovers from Nvidia (NVDA) to several emerging markets, including Brazil, Indonesia, Taiwan, Chile, and India, using daily stock data. The results, obtained using the GSADF test and Diebold and Yılmaz's (2012) volatility spillover methodology, show that Nvidia's speculative bubble has minimal short-term effects on these emerging markets. However, in the long run, Nvidia transmits significant volatility to these markets, especially to Brazil, Indonesia, Taiwan, and Chile. Specifically, Nvidia transmits 17.03% of its volatility to Brazil, 16.16% to Indonesia, 13.63% to Taiwan, and 12.2% to Chile. These results suggest that the bursting of Nvidia's speculative bubble could have a significant long-term impact on the financial stability of these emerging markets, highlighting the growing interdependence between global technology companies and emerging markets.

Anahtar Kelimeler

Emerging Markets Financial Stability Nvidia Stock Price Speculative Bubbles Volatility Spillover

Kaynakça

  • Ahmed, E., Rosser, J. B., & Uppal, J. (2010). Emerging markets and stock market bubbles: Nonlinear speculation? Emerging Markets Finance and Trade, 46(4), 23–40. https://doi.org/10.2753/REE1540-496X460402
  • Allen, F., & Gale, D. (2000). Bubbles and crises. Economic Journal, 110(460), 236–255. https://doi.org/10.1111/1468-0297.00499
  • Babina, T., Fedyk, A., He, A., & Hodson, J. (2024). Artificial intelligence, firm growth, and product innovation. Journal of Financial Economics, 151(May 2022), 103745. https://doi.org/10.1016/j.jfineco.2023.103745
  • Bekiros, S., Jlassi, M., Lucey, B., Naoui, K., & Uddin, G. S. (2017). Herding behavior, market sentiment and volatility: Will the bubble resume? North American Journal of Economics and Finance, 42(2017), 107–131. https://doi.org/10.1016/j.najef.2017.07.005
  • Bhattacharya, U., Galpin, N., Ray, R., & Yu, X. (2009). The role of the media in the internet IPO bubble. Journal of Financial and Quantitative Analysis, 44(3), 657–682. https://doi.org/10.1017/S0022109009990056
  • Brunnermeier, M. K., & Oehmke, M. (2013). Bubbles, Financial Crises, And Systemic Risk. In Handbook of the Economics of Finance (Vol. 2, Issue PB, pp. 1221–1288). Elsevier B.V. https://doi.org/10.1016/B978-0-44-459406-8.00018-4
  • Costa, C. T., da Silva, W. V., de Almeida, L. B., & da Veiga, C. P. (2017). Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange. Contaduria y Administracion, 62(4), 1317–1334. https://doi.org/10.1016/j.cya.2017.02.007
  • Crockett, A. (1996). The theory and practice of financial stability. De Economist, 144(4), 531-568.
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Greenwood, R., & Nagel, S. (2009). Inexperienced investors and bubbles. Journal of Financial Economics, 93(2), 239–258. https://doi.org/10.1016/j.jfineco.2008.08.004
  • Huang, H.-C., Shih, H.-Y., & Ke, T.-H. (2024). Exporting the innovative momentum: The case in the semiconductor industry. 2024 Portland International Conference on Management of Engineering and Technology (PICMET), 1–9. https://doi.org/10.23919/PICMET64035.2024.10653137
  • Kearney, C., & Lucey, B. M. (2004). International equity market integration: Theory, evidence and implications. International Review of Financial Analysis, 13(5 SPEC.ISS.), 571–583. https://doi.org/10.1016/j.irfa.2004.02.013
  • Koy, A. (2018). Multibubbles in emerging stock markets. Finans Politik & Ekonomik Yorumlar, 55(637), 95–109.
  • Liaqat, A., Nazir, M. S., & Ahmad, I. (2019). Identification of multiple stock bubbles in an emerging market: Application of gsadf approach. Economic Change and Restructuring, 52(3), 301–326. https://doi.org/10.1007/s10644-018-9230-0
  • Minsky, H. P. (1986). Stabilizing an unstable economy. http://digitalcommons.bard.edu/hm_archive/144 Nazir, M. S., Mahmood, J., Abbas, F., & Liaqat, A. (2020). Do rational bubbles exist in emerging markets of SAARC? Journal of Economic and Administrative Sciences, 36(2), 164–183. https://doi.org/10.1108/JEAS-09-2018-0102
  • Nishimura, Y., & Sun, B. (2018). The intraday volatility spillover index approach and an application in the Brexit vote. Journal of International Financial Markets, Institutions and Money, 55, 241–253. https://doi.org/10.1016/j.intfin.2018.01.004
  • Özdurak, C., & Karataş, C. (2021). Covid-19 and the technology bubble 2.0: Evidence from dcc-mgarch and wavelet approaches. Journal of Applied Finance & Banking, 11(2), 109–127. https://doi.org/10.47260/jafb/1124
  • Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043–1078. https://doi.org/10.1111/iere.12132
  • Potrykus, M. (2024). Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping? Finance Research Letters, 67(PA), 105799. https://doi.org/10.1016/j.frl.2024.105799
  • Rocha Filho, T. M., & Rocha, P. M. M. (2020). Evidence of inefficiency of the Brazilian stock market: The IBOVESPA future contracts. Physica A: Statistical Mechanics and Its Applications, 543, 123200. https://doi.org/10.1016/j.physa.2019.123200
  • Shaikh, A., Kashif, M., Rehman, M. U., & Rehman, S. U. (2023). Driven by fundamentals or exploded by sentiments: Testing for speculative bubbles in emerging stock markets. Pakistan Business Review, 25(1), 1–27. https://doi.org/10.22555/pbr.v25i1.746
  • Suriani, S., Correia, A. B., Nasir, M., Rita, J. X., Saputra, J., & Mata, M. N. (2024). Exploring the nexus between sectoral stock market fluctuations and macroeconomics changes before and during the COVID-19 pandemic. Cogent Business and Management, 11(1). https://doi.org/10.1080/23311975.2024.2336681
  • Tokic, D. (2020). Robinhoods and the Nasdaq whale: The makings of the 2020 big-tech bubble. Journal of Corporate Accounting and Finance, 31(4), 9–14. https://doi.org/10.1002/jcaf.22473
  • Zeren, F., & Yilanci, V. (2019). Are there multiple bubbles in the stock markets? Further evidence from selected countries. Ekonomika , 98(1), 81–95. https://doi.org/10.15388/Ekon.2019.1.5

NVIDIA'NIN VOLATİLİTESİNİN GELİŞMEKTE OLAN PAZARLARA YAYILMASI: KISA VE UZUN VADELI ETKILER

Yıl 2025, Cilt: 21 Sayı: 2, 798 - 813, 30.06.2025

Şerife Akıncı Tok

Öz

Bu çalışma, günlük hisse senedi verilerini kullanarak Nvidia'nın (NVDA) Brezilya, Endonezya, Tayvan, Şili ve Hindistan dahil olmak üzere çeşitli gelişmekte olan piyasalara potansiyel volatilite yayılımlarını analiz etmektedir. GSADF testi ve Diebold ve Yılmaz'ın (2012) volatilite yayılma metodolojisi kullanılarak elde edilen sonuçlar, Nvidia'nın spekülatif balonunun bu gelişmekte olan piyasalar üzerinde minimum kısa vadeli etkilere sahip olduğunu göstermektedir. Ancak, uzun vadede, Nvidia bu piyasalara, özellikle Brezilya, Endonezya, Tayvan ve Şili'ye önemli ölçüde volatilite aktarmaktadır. Özellikle, Nvidia oynaklığının %17,03'ünü Brezilya'ya, %16,16'sını Endonezya'ya, %13,63'ünü Tayvan'a ve %12,2'sini Şili'ye aktarmaktadır. Bu sonuçlar, Nvidia'nın spekülatif balonunun patlamasının bu gelişmekte olan piyasaların finansal istikrarı üzerinde uzun vadede önemli bir etkisi olabileceğini göstermekte ve küresel teknoloji şirketleri ile gelişmekte olan piyasalar arasında artan karşılıklı bağımlılığın altını çizmektedir.

Anahtar Kelimeler

Gelişmekte Olan Piyasalar Finansal İstikrar Nvidia Hisse Senedi Fiyatı Spekülatif Balonlar Volatilite Yayılımı

Kaynakça

  • Ahmed, E., Rosser, J. B., & Uppal, J. (2010). Emerging markets and stock market bubbles: Nonlinear speculation? Emerging Markets Finance and Trade, 46(4), 23–40. https://doi.org/10.2753/REE1540-496X460402
  • Allen, F., & Gale, D. (2000). Bubbles and crises. Economic Journal, 110(460), 236–255. https://doi.org/10.1111/1468-0297.00499
  • Babina, T., Fedyk, A., He, A., & Hodson, J. (2024). Artificial intelligence, firm growth, and product innovation. Journal of Financial Economics, 151(May 2022), 103745. https://doi.org/10.1016/j.jfineco.2023.103745
  • Bekiros, S., Jlassi, M., Lucey, B., Naoui, K., & Uddin, G. S. (2017). Herding behavior, market sentiment and volatility: Will the bubble resume? North American Journal of Economics and Finance, 42(2017), 107–131. https://doi.org/10.1016/j.najef.2017.07.005
  • Bhattacharya, U., Galpin, N., Ray, R., & Yu, X. (2009). The role of the media in the internet IPO bubble. Journal of Financial and Quantitative Analysis, 44(3), 657–682. https://doi.org/10.1017/S0022109009990056
  • Brunnermeier, M. K., & Oehmke, M. (2013). Bubbles, Financial Crises, And Systemic Risk. In Handbook of the Economics of Finance (Vol. 2, Issue PB, pp. 1221–1288). Elsevier B.V. https://doi.org/10.1016/B978-0-44-459406-8.00018-4
  • Costa, C. T., da Silva, W. V., de Almeida, L. B., & da Veiga, C. P. (2017). Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange. Contaduria y Administracion, 62(4), 1317–1334. https://doi.org/10.1016/j.cya.2017.02.007
  • Crockett, A. (1996). The theory and practice of financial stability. De Economist, 144(4), 531-568.
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Greenwood, R., & Nagel, S. (2009). Inexperienced investors and bubbles. Journal of Financial Economics, 93(2), 239–258. https://doi.org/10.1016/j.jfineco.2008.08.004
  • Huang, H.-C., Shih, H.-Y., & Ke, T.-H. (2024). Exporting the innovative momentum: The case in the semiconductor industry. 2024 Portland International Conference on Management of Engineering and Technology (PICMET), 1–9. https://doi.org/10.23919/PICMET64035.2024.10653137
  • Kearney, C., & Lucey, B. M. (2004). International equity market integration: Theory, evidence and implications. International Review of Financial Analysis, 13(5 SPEC.ISS.), 571–583. https://doi.org/10.1016/j.irfa.2004.02.013
  • Koy, A. (2018). Multibubbles in emerging stock markets. Finans Politik & Ekonomik Yorumlar, 55(637), 95–109.
  • Liaqat, A., Nazir, M. S., & Ahmad, I. (2019). Identification of multiple stock bubbles in an emerging market: Application of gsadf approach. Economic Change and Restructuring, 52(3), 301–326. https://doi.org/10.1007/s10644-018-9230-0
  • Minsky, H. P. (1986). Stabilizing an unstable economy. http://digitalcommons.bard.edu/hm_archive/144 Nazir, M. S., Mahmood, J., Abbas, F., & Liaqat, A. (2020). Do rational bubbles exist in emerging markets of SAARC? Journal of Economic and Administrative Sciences, 36(2), 164–183. https://doi.org/10.1108/JEAS-09-2018-0102
  • Nishimura, Y., & Sun, B. (2018). The intraday volatility spillover index approach and an application in the Brexit vote. Journal of International Financial Markets, Institutions and Money, 55, 241–253. https://doi.org/10.1016/j.intfin.2018.01.004
  • Özdurak, C., & Karataş, C. (2021). Covid-19 and the technology bubble 2.0: Evidence from dcc-mgarch and wavelet approaches. Journal of Applied Finance & Banking, 11(2), 109–127. https://doi.org/10.47260/jafb/1124
  • Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043–1078. https://doi.org/10.1111/iere.12132
  • Potrykus, M. (2024). Dot-com and AI bubbles: Can data from the past be helpful to match the price bubble euphoria phase using dynamic time warping? Finance Research Letters, 67(PA), 105799. https://doi.org/10.1016/j.frl.2024.105799
  • Rocha Filho, T. M., & Rocha, P. M. M. (2020). Evidence of inefficiency of the Brazilian stock market: The IBOVESPA future contracts. Physica A: Statistical Mechanics and Its Applications, 543, 123200. https://doi.org/10.1016/j.physa.2019.123200
  • Shaikh, A., Kashif, M., Rehman, M. U., & Rehman, S. U. (2023). Driven by fundamentals or exploded by sentiments: Testing for speculative bubbles in emerging stock markets. Pakistan Business Review, 25(1), 1–27. https://doi.org/10.22555/pbr.v25i1.746
  • Suriani, S., Correia, A. B., Nasir, M., Rita, J. X., Saputra, J., & Mata, M. N. (2024). Exploring the nexus between sectoral stock market fluctuations and macroeconomics changes before and during the COVID-19 pandemic. Cogent Business and Management, 11(1). https://doi.org/10.1080/23311975.2024.2336681
  • Tokic, D. (2020). Robinhoods and the Nasdaq whale: The makings of the 2020 big-tech bubble. Journal of Corporate Accounting and Finance, 31(4), 9–14. https://doi.org/10.1002/jcaf.22473
  • Zeren, F., & Yilanci, V. (2019). Are there multiple bubbles in the stock markets? Further evidence from selected countries. Ekonomika , 98(1), 81–95. https://doi.org/10.15388/Ekon.2019.1.5
Toplam 24 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonometri (Diğer), Uluslararası Finans, Finansal Ekonomi
Bölüm Araştırma Makaleleri
Yazarlar

Şerife Akıncı Tok 0000-0002-2505-1985

Erken Görünüm Tarihi 27 Haziran 2025
Yayımlanma Tarihi 30 Haziran 2025
Gönderilme Tarihi 19 Aralık 2024
Kabul Tarihi 7 Mayıs 2025
Yayımlandığı Sayı Yıl 2025 Cilt: 21 Sayı: 2

Kaynak Göster

APA Akıncı Tok, Ş. (2025). NVIDIA’NIN VOLATİLİTESİNİN GELİŞMEKTE OLAN PAZARLARA YAYILMASI: KISA VE UZUN VADELI ETKILER. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 21(2), 798-813. https://doi.org/10.17130/ijmeb.1604293
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