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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2026 / Cilt: 4 Sayı: 1

- Shock and Volatility Interaction Between The Sector Indexes of Istanbul Stock Exchange

İMKB Sektör Endeksleri Arasındaki Şok ve Oynaklık Etkisi

Ekin Tokat(TOBB Ekonomi ve Teknoloji Üniversitesi, İşletme Bölümü)
Pages
91–104
Publication Date
2010-06-01
DOI
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Tokat, E. (2010). - Shock and Volatility Interaction Between The Sector Indexes of Istanbul Stock Exchange. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 4 Sayı: 1, 91–104. https://ajindex.com/articles/1193895

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References (31)

  1. Ewing, B. T. (2002). The transmission of shocks among S&P indexes. Applied Financial Economics, 12: 285–290.
  2. Ewing, B. T. ve Malik, F. (2005). Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance. Journal of Banking and Finance, 29: 2655–2673.
  3. Ewing, B. T., Forbes, S. M. ve Payne, J. E. (2003). The effects of macroeconom- ic shocks on sector-specific returns. Applied Economics, 35: 201–207.
  4. Hamao,Y., Masulis, R.W. ve Ng,V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial Studies, 3: 281–307.
  5. Hansson, B., ve P. Hördahl. (1998). Testing the conditional CAPM using multi- variate GARCH–M. Applied Financial Economics, 8: 377–388.
  6. Hassan, S. A. ve Malik, F. (2007). Multivariate GARCH modeling of Sector Volatility Transmission. The Quarterly Review of Economics and Finance, 47: 470–480.
  7. Karolyi, A. (1995). A multivariate GARCH model of international transmission of stock returns and volatility. Journal of Business and Economic Statistics, 13: 11–25.
  8. Kearney, C. ve Patton, A. J. (2000). Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system. Financial Review, 41: 29–48.
  9. King, M. A. ve Wadhwani, S. (1990). Transmission of volatility between stock markets. Review of Financial Studies, 3: 5–33.
  10. Lin,W., Engle, R. F. ve Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies, 7: 507–538.
  11. Longin, F. ve Solnik, B. (1995). Is correlations in international equity returns constant: 1960–1990?. Journal of International Money and Finance, 14: 3–26.
  12. Ng, L. (1991). Tests of the CAPM with time-varying covariances: a multivariate GARCH approach, The Journal of Finance, 46: 1507–1521.
  13. Papke, L. E. ve Wooldridge, J. M. (2005). A computational trick for delta- method Standard errors. Economics Letters, 86: 413–417.
  14. Tanizaki, H. ve Hamori, S. (2008). Volatility Transmission between Japan, U.K. and U.S. in Daily Stock Returns. Empirical Economics, DOI: 10.1007/s00181- 007-0182
  15. Tse, Y. K., ve K. C. Tsui. (1999). A note on diagnosing multivariate condition- al heteroscedasticity models. Journal of Time Series Analysis, 20: 679–691.
  16. Vardar, G., Aksoy, G., ve Can, E. (2008), Effects of Interest and Exchange Rate on Volatility and Return of Sector Price Indices at Istanbul Stock Exchange. European Journal of Economics, Finance and Administrative Sciences, 11: 126- 135.
  17. Ewing, B. T. (2002). The transmission of shocks among S&P indexes. Applied Financial Economics, 12: 285–290.
  18. Ewing, B. T. ve Malik, F. (2005). Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance. Journal of Banking and Finance, 29: 2655–2673.
  19. Ewing, B. T., Forbes, S. M. ve Payne, J. E. (2003). The effects of macroeconom- ic shocks on sector-specific returns. Applied Economics, 35: 201–207.
  20. Hamao,Y., Masulis, R.W. ve Ng,V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial Studies, 3: 281–307.
  21. Hassan, S. A. ve Malik, F. (2007). Multivariate GARCH modeling of Sector Volatility Transmission. The Quarterly Review of Economics and Finance, 47: 470–480.
  22. Karolyi, A. (1995). A multivariate GARCH model of international transmission of stock returns and volatility. Journal of Business and Economic Statistics, 13: 11–25.
  23. Kearney, C. ve Patton, A. J. (2000). Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system. Financial Review, 41: 29–48.
  24. King, M. A. ve Wadhwani, S. (1990). Transmission of volatility between stock markets. Review of Financial Studies, 3: 5–33.
  25. Lin,W., Engle, R. F. ve Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies, 7: 507–538.
  26. Longin, F. ve Solnik, B. (1995). Is correlations in international equity returns constant: 1960–1990?. Journal of International Money and Finance, 14: 3–26.
  27. Ng, L. (1991). Tests of the CAPM with time-varying covariances: a multivariate GARCH approach, The Journal of Finance, 46: 1507–1521.
  28. Papke, L. E. ve Wooldridge, J. M. (2005). A computational trick for delta- method Standard errors. Economics Letters, 86: 413–417.
  29. Tanizaki, H. ve Hamori, S. (2008). Volatility Transmission between Japan, U.K. and U.S. in Daily Stock Returns. Empirical Economics, DOI: 10.1007/s00181- 007-0182
  30. Tse, Y. K., ve K. C. Tsui. (1999). A note on diagnosing multivariate condition- al heteroscedasticity models. Journal of Time Series Analysis, 20: 679–691.
  31. Vardar, G., Aksoy, G., ve Can, E. (2008), Effects of Interest and Exchange Rate on Volatility and Return of Sector Price Indices at Istanbul Stock Exchange. European Journal of Economics, Finance and Administrative Sciences, 11: 126- 135.