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Dergiler / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2026 / Cilt: 4 Sayı: 1

İMKB Sektör Endeksleri Arasındaki Şok ve Oynaklık Etkisi

- Shock and Volatility Interaction Between The Sector Indexes of Istanbul Stock Exchange

Ekin Tokat(TOBB Ekonomi ve Teknoloji Üniversitesi, İşletme Bölümü)
Sayfa
91–104
Yayın Tarihi
2010-06-01
DOI
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Tokat, E. (2010). İMKB Sektör Endeksleri Arasındaki Şok ve Oynaklık Etkisi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 4 Sayı: 1, 91–104. https://ajindex.com/articles/1193895

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Kaynakça (31)

  1. Ewing, B. T. (2002). The transmission of shocks among S&P indexes. Applied Financial Economics, 12: 285–290.
  2. Ewing, B. T. ve Malik, F. (2005). Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance. Journal of Banking and Finance, 29: 2655–2673.
  3. Ewing, B. T., Forbes, S. M. ve Payne, J. E. (2003). The effects of macroeconom- ic shocks on sector-specific returns. Applied Economics, 35: 201–207.
  4. Hamao,Y., Masulis, R.W. ve Ng,V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial Studies, 3: 281–307.
  5. Hansson, B., ve P. Hördahl. (1998). Testing the conditional CAPM using multi- variate GARCH–M. Applied Financial Economics, 8: 377–388.
  6. Hassan, S. A. ve Malik, F. (2007). Multivariate GARCH modeling of Sector Volatility Transmission. The Quarterly Review of Economics and Finance, 47: 470–480.
  7. Karolyi, A. (1995). A multivariate GARCH model of international transmission of stock returns and volatility. Journal of Business and Economic Statistics, 13: 11–25.
  8. Kearney, C. ve Patton, A. J. (2000). Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system. Financial Review, 41: 29–48.
  9. King, M. A. ve Wadhwani, S. (1990). Transmission of volatility between stock markets. Review of Financial Studies, 3: 5–33.
  10. Lin,W., Engle, R. F. ve Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies, 7: 507–538.
  11. Longin, F. ve Solnik, B. (1995). Is correlations in international equity returns constant: 1960–1990?. Journal of International Money and Finance, 14: 3–26.
  12. Ng, L. (1991). Tests of the CAPM with time-varying covariances: a multivariate GARCH approach, The Journal of Finance, 46: 1507–1521.
  13. Papke, L. E. ve Wooldridge, J. M. (2005). A computational trick for delta- method Standard errors. Economics Letters, 86: 413–417.
  14. Tanizaki, H. ve Hamori, S. (2008). Volatility Transmission between Japan, U.K. and U.S. in Daily Stock Returns. Empirical Economics, DOI: 10.1007/s00181- 007-0182
  15. Tse, Y. K., ve K. C. Tsui. (1999). A note on diagnosing multivariate condition- al heteroscedasticity models. Journal of Time Series Analysis, 20: 679–691.
  16. Vardar, G., Aksoy, G., ve Can, E. (2008), Effects of Interest and Exchange Rate on Volatility and Return of Sector Price Indices at Istanbul Stock Exchange. European Journal of Economics, Finance and Administrative Sciences, 11: 126- 135.
  17. Ewing, B. T. (2002). The transmission of shocks among S&P indexes. Applied Financial Economics, 12: 285–290.
  18. Ewing, B. T. ve Malik, F. (2005). Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance. Journal of Banking and Finance, 29: 2655–2673.
  19. Ewing, B. T., Forbes, S. M. ve Payne, J. E. (2003). The effects of macroeconom- ic shocks on sector-specific returns. Applied Economics, 35: 201–207.
  20. Hamao,Y., Masulis, R.W. ve Ng,V. (1990). Correlations in price changes and volatility across international stock markets. Review of Financial Studies, 3: 281–307.
  21. Hassan, S. A. ve Malik, F. (2007). Multivariate GARCH modeling of Sector Volatility Transmission. The Quarterly Review of Economics and Finance, 47: 470–480.
  22. Karolyi, A. (1995). A multivariate GARCH model of international transmission of stock returns and volatility. Journal of Business and Economic Statistics, 13: 11–25.
  23. Kearney, C. ve Patton, A. J. (2000). Multivariate GARCH modeling of exchange rate volatility transmission in the European monetary system. Financial Review, 41: 29–48.
  24. King, M. A. ve Wadhwani, S. (1990). Transmission of volatility between stock markets. Review of Financial Studies, 3: 5–33.
  25. Lin,W., Engle, R. F. ve Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies, 7: 507–538.
  26. Longin, F. ve Solnik, B. (1995). Is correlations in international equity returns constant: 1960–1990?. Journal of International Money and Finance, 14: 3–26.
  27. Ng, L. (1991). Tests of the CAPM with time-varying covariances: a multivariate GARCH approach, The Journal of Finance, 46: 1507–1521.
  28. Papke, L. E. ve Wooldridge, J. M. (2005). A computational trick for delta- method Standard errors. Economics Letters, 86: 413–417.
  29. Tanizaki, H. ve Hamori, S. (2008). Volatility Transmission between Japan, U.K. and U.S. in Daily Stock Returns. Empirical Economics, DOI: 10.1007/s00181- 007-0182
  30. Tse, Y. K., ve K. C. Tsui. (1999). A note on diagnosing multivariate condition- al heteroscedasticity models. Journal of Time Series Analysis, 20: 679–691.
  31. Vardar, G., Aksoy, G., ve Can, E. (2008), Effects of Interest and Exchange Rate on Volatility and Return of Sector Price Indices at Istanbul Stock Exchange. European Journal of Economics, Finance and Administrative Sciences, 11: 126- 135.