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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2009 / Cilt: 3 - Sayı: 2

Volatility spillover effect from volatility implied index to emerging markets

Zımni volatilite endeksinden gelişmekte olan piyasalara yönelik volatilite yayılma etkisi

TURHAN KORKMAZ
EMRAH İSMAİL ÇEVİK
Pages
87–105
DOI
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AI Summary & Key Takeaways

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

According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model.
📊
Key Findings & Data:According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases.
💡
Conclusion & Impact:The results of the analysis show that implied volatility index affect Argentina, Brazil, Mexico, Chili, Peru, Hungary,Poland, Turkey, Malaysia, Thailand and Indonesia stock markets through volatility increases.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases. The results of the analysis show that implied volatility index affect Argentina, Brazil, Mexico, Chili, Peru, Hungary,Poland, Turkey, Malaysia, Thailand and Indonesia stock markets through volatility increases.

Özet

Bu çalışmada ABD’de zımni volatilite endeksi olarak oluşturulan VIX’in gelişmekte olan 15 ülkenin hisse senedi piyasaları üzerindeki etkisi GJR-GARCH model ile araştırılmıştır. Elde edilen sonuçlara göre, gelişmekte olan ülkelerin hisse senedi piyasalarının koşullu varyansında kaldıraç etkisinin oldu¤u ve piyasaya gelen kötü haberlerin volatiliteyi daha fazla arttırdığı sonucuna varılmıştır. Analiz sonucunda zımni volatilite endeksinin Arjantin, Brezilya, Meksika,Şili, Peru, Macaristan, Polonya, Türkiye, Malezya, Tayland ve Endonezya hisse senedi piyasaları nı etkileyerek volatilitesini arttırdı¤ı belirlenmiştir.

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Cite This Article

KORKMAZ, T., ÇEVİK, E. İ. (2009). Volatility spillover effect from volatility implied index to emerging markets. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 3 - Sayı: 2, 87–105. https://ajindex.com/articles/148107

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