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Journals / TESAM Akademi Dergisi / 2026 / Cilt: 13 Sayı: 2

Stock Market Integration and Volatility Spillovers: New Evidence from Shanghai Cooperation Organisation (SCO) Markets

Borsa Entegrasyonu Ve Volatilite Yayilma Etkileri: Şanghay Işbirliği Örgütü (ŞİÖ) Piyasalarindan Yeni Kanitlar

Ömer Kalav(İSTANBUL GEDİK ÜNİVERSİTESİ)0000-0002-3098-8086
İsmail Özdemir(İstanbul Gedik Üniversitesi)0009-0007-0438-9518
Pages
945–983
Publication Date
2026-07-31
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AI Summary & Key Takeaways

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

The BEKK model results show that the changes in the Chinese stock market are transferred to the Indian and Russian markets, while the changes in the Indian market are only transferred to the Pakistani and Russian markets.

📌 3 Key Takeaways

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Objective & Hypothesis:The Shanghai Cooperation Organization (SCO) represents approximately 40% of the world's population and more than 20% of the global gross domestic product.
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Key Findings & Data:We use weekly data from 2nd week of April of 2013 to 2nd week of February of 2023 to examine the spillover effects and time-varying effects among the four largest SCO markets of SCO, namely China, India, Pakistan, and Russia.
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Conclusion & Impact:The BEKK model results show that the changes in the Chinese stock market are transferred to the Indian and Russian markets, while the changes in the Indian market are only transferred to the Pakistani and Russian markets.
🔬Design:Modeling & Simulation
📍Scope:2013 Verileri
⚙️Variables:Borsa Entegrasyonu · Volatilite (oynaklık) yayılımları · Çok değişkenli GARCH modeli

Abstract

The Shanghai Cooperation Organization (SCO) represents approximately 40% of the world's population and more than 20% of the global gross domestic product. The SCO plays an important role in influencing the geopolitical balances of Eurasia. Currently, it is the world’s biggest regional organization in terms of population. We use weekly data from 2nd week of April of 2013 to 2nd week of February of 2023 to examine the spillover effects and time-varying effects among the four largest SCO markets of SCO, namely China, India, Pakistan, and Russia. Additionally, we test long run relationship and degree of integration using the ARDL bound and VAR cointegration methods. ARDL and Cointegration analysis shows although there is not any long run relationship between/among the price of stock market, there is long run relationship between/among the return of the stock market. The BEKK model results show that the changes in the Chinese stock market are transferred to the Indian and Russian markets, while the changes in the Indian market are only transferred to the Pakistani and Russian markets. Moreover, there is a spillover effect from China to all three stock markets. Except for India, the spillover effect from China to Russia and Pakistan is one-sided.

Özet

Şanghay İşbirliği Örgütü (ŞİÖ), dünya nüfusunun yaklaşık %40'ını ve küresel gayri safi yurt içi hasılanın %20'sinden fazlasını temsil etmektedir. ŞİÖ, Avrasya'nın jeopolitik dengelerini etkilemede önemli bir rol oynamaktadır. Nüfus açısından şu anda dünyanın en büyük bölgesel örgütüdür. ŞİÖ'nün en büyük dört pazarı olan Çin, Hindistan, Pakistan ve Rusya arasındaki yayılma etkilerini ve zamanla değişen etkileri incelemek için 2013 yılının Nisan ayının ikinci haftasından 2023 yılının Şubat ayının ikinci haftasına kadar olan haftalık verileri kullanıyoruz. Ek olarak, ARDL sınır testi ve VAR eşbütünleşme yöntemlerini kullanarak uzun dönemli ilişkiyi ve bütünleşme derecesini test ediyoruz. ARDL ve Eşbütünleşme analizi, borsaların fiyatları arasında herhangi bir uzun dönemli ilişki olmamasına rağmen, borsa getirileri arasında uzun dönemli bir ilişki olduğunu göstermektedir. BEKK modeli sonuçları, Çin borsasındaki değişikliklerin Hindistan ve Rusya piyasalarına aktarıldığını, Hindistan piyasasındaki değişikliklerin ise yalnızca Pakistan ve Rusya piyasalarına aktarıldığını göstermektedir. Ayrıca, Çin'den diğer üç borsaya doğru bir yayılma etkisi vardır. Hindistan hariç, Çin'den Rusya ve Pakistan'a olan yayılma etkisi tek yönlüdür.

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Cite This Article

Kalav, Ö., Özdemir, İ. (2026). Stock Market Integration and Volatility Spillovers: New Evidence from Shanghai Cooperation Organisation (SCO) Markets. TESAM Akademi Dergisi, Cilt: 13 Sayı: 2, 945–983. https://doi.org/10.30626/tesamakademi.1843913

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