Volatility Spillover from Bond Markets in Turkey, UK, USA and Eurozone, Commoditiy Market and Foreign Currency Market to BIST 100 Index under Different Regimes

Elif Erer, Deniz Erer and Ozge Korkmaz

Journal of BRSA Banking and Financial Markets, 2019, vol. 13, issue 1, 77-103

Abstract: The purpose of this study is to investigate volatility spillover from bond markets in Turkey, UK, USA and Eurozone, commoditiy market and foreign currency market to BIST 100 for bull and bear markets over the period of 2002:01-2018:01. From the results of IGARCH model and MS-VAR, it is seen to be negative volatility spillover from bond markets in Turkey and USA and commoditiy market to BIST 100, and to be positive volatility spillover from bond markets in Eurozone and UK and foreign currency market to BIST 100 during bear market periods. However, there is negative volatility spillover from bond market in Eurozone, and positive volatility spillover from bond markets in Turkey and USA, commodity market and foreign currency market to BIST100 during bull market periods.

Keywords: Bond; Commodity; Foreign Currency and Stock Markets; Volatility Spillover; MS-VAR (search for similar items in EconPapers)
JEL-codes: C34 G11 G15 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:13:y:2019:i:1:p:77-103

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