SPILLOVERS OF STOCK RETURN VOLATILITY TO TURKISH EQUITY MARKETS FROM GERMANY, FRANCE, AND AMERICA
| dc.contributor.author | Sibel KARĞIN | |
| dc.contributor.author | UMUT ALİ KORAY KAYALIDERE | |
| dc.contributor.author | Tuna Can GÜLEÇ | |
| dc.contributor.author | Deniz ERER | |
| dc.date.accessioned | 2024-07-24T09:14:08Z | |
| dc.date.available | 2024-07-24T09:14:08Z | |
| dc.date.issued | 2018 | |
| dc.description.abstract | The aim of this study is to examine the volatility spillover effects of German, Frenchand American stock market indices on BIST 100 Turkish stock market index. Dataset consistsof daily closing price observations starting from January 2, 2004, until February 6, 2017,for indices DAX 30, CAC 40, S&P 500 and BIST 100. E-GARCH(1,1) method has been usedto model the conditional variance. Volatility is in a relatively narrow band under a non-crisiseconomic conjuncture. On the other hand, it is expected that the global risk will be higherduring crisis periods. Therefore, the differentiation in the volatility spillover behavior amongthe markets while under different economic conditions is a rational expectation. In thisregard, the Threshold VAR (TVAR) model was used in the study. In the result of the study, ithas been observed that the volatility spillover effect on the BIST 100 index is relatively lowin the regimes where the global risk is low, whereas the effect is relatively higher in theregime where the global risk is high. Furthermore, results of analysis also indicate that S&Pis the most influential index to affect BIST 100 both in high and low-risk regimes. | |
| dc.identifier.issn | 1302-3284 | |
| dc.identifier.uri | http://akademikarsiv.cbu.edu.tr:4000/handle/123456789/25847 | |
| dc.language.iso | eng | |
| dc.title | SPILLOVERS OF STOCK RETURN VOLATILITY TO TURKISH EQUITY MARKETS FROM GERMANY, FRANCE, AND AMERICA | |
| dc.type | Araştırma Makalesi |