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Journals / Ekonomik ve Sosyal Araştırmalar Dergisi / 2017 / Cilt: 13 - Sayı: 1

AN EMPIRICAL ANALYSIS OF VOLATILITY TRANSMISSION BETWEEN BIST AND INTERNATIONAL STOCK MARKETS

BIST VE ULUSLARARASI HİSSE SENEDİ PİYASALARI ARASINDAKİ VOLATİLİTE GEÇİŞİ ÜZERİNE BİR AMPİRİK UYGULAMA

Rasim İlker GÖKBULUT
Pages
141–159
Publication Date
2022-10-11
DOI
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AI Summary & Key Takeaways

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

Results showed that BIST has a weak marketinterdependence with DAX30 but strong bidirectional volatility spillover with RTSI.

📌 3 Key Takeaways

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Objective & Hypothesis:This paper empirically examines the transmission of volatility among Turkish equity market and fiveemerging markets and also five developed markets using bivariate vector auto regression-generalizedautoregressive conditional heteroscedasticity [VAR(p)-GARCH(1,1)-BEKK] model.
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Key Findings & Data:Using 4022 dailyreturns of benchmark stock market indices, from 1.7.1997 to 14.3.2013, volatility co-movement andspillover between the Turkish stock market and the markets of US, UK, Germany, France, Japan, SouthKorea, Brazil, Argentina, Russia and China is investigated.
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Conclusion & Impact:Results showed that BIST has a weak marketinterdependence with DAX30 but strong bidirectional volatility spillover with RTSI.
🔬Design:Modeling & Simulation
📍Scope:2013 Verileri
⚙️Variables:Domain Parameters

Abstract

This paper empirically examines the transmission of volatility among Turkish equity market and fiveemerging markets and also five developed markets using bivariate vector auto regression-generalizedautoregressive conditional heteroscedasticity [VAR(p)-GARCH(1,1)-BEKK] model. Using 4022 dailyreturns of benchmark stock market indices, from 1.7.1997 to 14.3.2013, volatility co-movement andspillover between the Turkish stock market and the markets of US, UK, Germany, France, Japan, SouthKorea, Brazil, Argentina, Russia and China is investigated. Results showed that BIST has a weak marketinterdependence with DAX30 but strong bidirectional volatility spillover with RTSI.

Özet

Bu çalışmada Türkiye hisse senedi piyasası ile beş gelişmekte olan ülke ve beş gelişmiş ülke piyasaları arasındaki volatilite yayılma etkisi, iki değişkenli vektör otogregresyon-genelleştirilmiş otoregresif şartlı değişken varyans [VAR(p)-GARCH(1,1)-BEKK] modeli kullanılarak araştırılmıştır. Her bir ülkeye ait, 1.7.1997- 14.3.2013 tarihleri arasındaki, hisse senedi gösterge endekslerinin 4022 günlük getiri serileri kullanılarak Türkiye hisse senedi piyasası ile ABD, İngiltere, Almanya, Fransa, Japonya, Güney Kore, Brezilya, Arjantin, Rusya ve Çin hisse senedi piyasaları arasındaki ortak volatilite hareketliliği ve yayılma etkisi incelenmiştir. Sonuç olarak, Borsa İstanbul ile DAX30 arasında düşük, fakat RTSI ile güçlü iki taraflı volatilite yayılma etkisi tespit edilmiştir.

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Cite This Article

GÖKBULUT, R. İ. (2022). AN EMPIRICAL ANALYSIS OF VOLATILITY TRANSMISSION BETWEEN BIST AND INTERNATIONAL STOCK MARKETS. Ekonomik ve Sosyal Araştırmalar Dergisi, Cilt: 13 - Sayı: 1, 141–159. https://ajindex.com/articles/499583

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