ANALYSIS OF VOLATILITY SPILLOVER BETWEEN TURKEY EXCHANGE AND DEVELOPED AND DEVELOPING COUNTRY EXCHANGES

Süreyya İmre ()
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Süreyya İmre: İstanbul Gelişim Üniversitesi

Eurasian Eononometrics, Statistics and Emprical Economics Journal, 2021, vol. 19, issue 19, 52-66

Abstract: The volatility spread between the Turkish Stock Exchange and the stock markets of developed and developing countries was investigated using daily data from 24.03.2015-21.04.2021 in order to determine the power of international stock exchanges to influence each other. In the analysis, DCC-GARCH model evaluated in the multivariate GARCH models class was used. According to the findings, no mutual volatility spillover was found between BIST100 volatility and IDX and MOEX volatility. One-way volatility spillover was found between BIST100 and NSE30, CAC40, DAX, while bidirectional volatility spillover was found between BIST100 and DJIA and NIFTY50 exchanges.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eas:econst:v:19:y:2021:i:19:p:52-66

DOI: 10.17740/eas.stat.2021-V19-05

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