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Journals / Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2026 / Volume: 11 Issue: 1

The Analysis of the Spillover Effect among Stock Markets

Hisse Senedi Piyasaları Arasında Yayılma Etkisinin Analizi

Serhat Sezen(Namık Kemal Üniversitesi)0000-0002-8018-2769
Emrah İsmail Çevik(Tekirdağ Namık Kemal Üniversitesi)0000-0002-8155-1597
Pages
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Publication Date
2024-03-31
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

According to the causality test results in variance, it was determined that there was a strong bidirectional volatility spread among all stock markets in the study.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this paper, it is aimed to determine the possible existence of spillover effect among the stock markets of G-20 countries.
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Key Findings & Data:For this purpose, between January 2, 1995 and January 29, 2021, using the daily closing prices, the possible existence of the spillover effect between the stock markets of the G-20 countries was investigated with the causality test in the mean and variance developed by Hong (2001).
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Conclusion & Impact:According to the causality test results in variance, it was determined that there was a strong bidirectional volatility spread among all stock markets in the study.
🔬Design:Research Article
📍Scope:2021 Verileri
⚙️Variables:Spillover Effect · GARCH Models · Hong Causality Test

Abstract

In this paper, it is aimed to determine the possible existence of spillover effect among the stock markets of G-20 countries. For this purpose, between January 2, 1995 and January 29, 2021, using the daily closing prices, the possible existence of the spillover effect between the stock markets of the G-20 countries was investigated with the causality test in the mean and variance developed by Hong (2001). According to the causality results in mean, it is unidirectional from USA, England, Germany, France, Canada, Russia and Mexico to Turkey and from Turkey to China, India and South Africa; A bidirectional causality relationship was found between Turkey and Japan, Australia, South Korea, Brazil, Argentina and Indonesia. According to the causality test results in variance, it was determined that there was a strong bidirectional volatility spread among all stock markets in the study.

Özet

Bu çalışmada, G-20 ülkelerinin hisse senedi piyasaları arasında yayılma etkisinin olası varlığının tespit edilmesi amaçlanmıştır. Bu amaçla 2 Ocak 1995-29 Ocak 2021 tarihleri arasında günlük hisse senedi kapanış fiyatları kullanılarak, G-20 ülkelerinin hisse senedi piyasaları arasında yayılma etkisinin olası varlığı Hong (2001) tarafından geliştirilen ortalamada ve varyansta nedensellik testi ile araştırılmıştır. Ortalamada nedensellik sonuçlarına göre, ABD, İngiltere, Almanya, Fransa, Kanada, Rusya ve Meksika’dan Türkiye’ye doğru ve Türkiye’den de Çin, Hindistan ve Güney Afrika’ya doğru tek yönlü; Japonya, Avustralya, Güney Kore, Brezilya, Arjantin ve Endonezya ile Türkiye arasında çift yönlü nedensellik ilişkisi tespit edilmiştir. Varyansta nedensellik test sonuçlarına göre ise çalışmada yer alan tüm hisse senedi piyasaları arasında çift yönlü ve güçlü volatilite yayılımı olduğu belirlenmiştir.

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Cite This Article

Sezen, S., Çevik, E. İ. (2024). The Analysis of the Spillover Effect among Stock Markets. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Volume: 11 Issue: 1. https://doi.org/10.30798/makuiibf.1097493

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