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Journals / Central Bank Review / 2020 / Cilt: 20 - Sayı: 2

Spillover effect in financial markets in Turkey

Buket ALKAN
Serkan ÇİÇEK
Pages
53–64
DOI
—
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AI Summary & Key Takeaways

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

For the volatility spillover, the results also supported strong spillover between each market pairs.These findings implied that the Turkish economy is well integrated into global markets and that afluctuation in volatility in a global or domestic market immediately spreads to other domestic markets,regardless of borders.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:An increase in the return of an asset in the financial markets may cause the returns of the remainingassets to fluctuate over time because of the arbitrage conditions.
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Key Findings & Data:Employing BEKK parameterization of the multivariate GARCH model between2006 and 2018, it found a strong mean spillover from global markets to domestic stock and bondmarkets, from stock and exchange markets to the bond market and from the dollar return to the stockmarket.
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Conclusion & Impact:For the volatility spillover, the results also supported strong spillover between each market pairs.These findings implied that the Turkish economy is well integrated into global markets and that afluctuation in volatility in a global or domestic market immediately spreads to other domestic markets,regardless of borders.
🔬Design:Modeling & Simulation
📍Scope:2018 Verileri
⚙️Variables:Domain Parameters

Özet

An increase in the return of an asset in the financial markets may cause the returns of the remainingassets to fluctuate over time because of the arbitrage conditions. This may also create a spillover orcontagion between the volatilities of the assets in the financial markets. This study aimed to capture thespillover between financial markets in the Turkish economy and to investigate the effects of globalmarkets on Turkish financial markets, since the spillover may arise from the global financial markets aswell as the domestic ones. Employing BEKK parameterization of the multivariate GARCH model between2006 and 2018, it found a strong mean spillover from global markets to domestic stock and bondmarkets, from stock and exchange markets to the bond market and from the dollar return to the stockmarket. For the volatility spillover, the results also supported strong spillover between each market pairs.These findings implied that the Turkish economy is well integrated into global markets and that afluctuation in volatility in a global or domestic market immediately spreads to other domestic markets,regardless of borders.

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Cite This Article

ALKAN, B., ÇİÇEK, S. (2020). Spillover effect in financial markets in Turkey. Central Bank Review, Cilt: 20 - Sayı: 2, 53–64. https://ajindex.com/articles/351804

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