Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey

Murat Tasdemir and Abdullah Yalama

Emerging Markets Finance and Trade, 2014, vol. 50, issue 2, 190-202

Abstract: We investigate volatility spillovers between two stock markets: Turkey and Brazil. Using a misspecification-robust causality-in-variance test, we find evidence supporting volatility spillovers from the São Paulo Stock Exchange to the Istanbul Stock Exchange. Moreover, the results imply that financial crises may change the nature of volatility spillovers between the two markets by adding an additional channel of volatility transmission from Turkey to Brazil.

Keywords: Brazil; causality-in-variance; emerging markets; Turkey; volatility spillovers (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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