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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2019 / Cilt: 13 - Sayı: 1

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

Farklı Rejimler Altında Türkiye, İngiltere, Amerika ve Euro Bölgesi Tahvil Piyasaları, Emtia Piyasası ve Döviz Piyasasından BIST100 Endeksine Volatilite Yayılımı

Elif ERER
Deniz ERER
Özge KORKMAZ
Pages
77–103
DOI
—
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AI Summary & Key Takeaways

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

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.

📌 3 Key Takeaways

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Objective & Hypothesis: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.
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Key Findings & Data: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.
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Conclusion & Impact: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.
🔬Design:Modeling & Simulation
📍Scope:2002 Verileri
⚙️Variables:Domain Parameters

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.

Özet

Bu çalışmanın amacı 2002:01-2018:01 dönemi için ayı ve boğa piyasaları altında Türkiye, İngiltere, Amerika ve Euro Bölgesi tahvil piyasalarından, emtia piyasasından ve döviz piyasasından Türkiye hisse senedi piyasasına doğru volatilite yayılımını incelemektir. IGARCH ve MSVAR sonuçlarına göre, ekonomi ayı piyasasında iken Türkiye ve Amerika tahvil piyasalarından ve emtia piyasasından BIST 100 endeksine doğru negatif, İngiltere ve Euro Bölgesi tahvil piyasası ve döviz piyasasından ise pozitif yönlü volatilite yayılımının olduğunu göstermektedir. Ekonomi boğa piyasasında iken, Türkiye ve Amerika tahvil piyasalarından, emtia piyasası ve döviz piyasasından BIST 100 endeksine doğru pozitif, Euro Bölgesi tahvil piyasasından ise negatif yönlü volatilite yayılımı mevcuttur.

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Cite This Article

ERER, E., ERER, D., KORKMAZ, Ö. (2019). Volatility Spillover from Bond Markets in Turkey, UK, USA and Eurozone, Commoditiy Market and Foreign Currency Market to BIST 100 Index under Different Regimes. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 13 - Sayı: 1, 77–103. https://ajindex.com/articles/142015

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