@article{article_499034, title={Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals}, journal={Ege Academic Review}, volume={18}, pages={217–230}, year={2018}, DOI={10.21121/eab.2018237351}, author={Çelik, İsmail and Özdemir, Arife and Gürsoy, Samet and Uzunoğlu Ünlü, Hande}, keywords={Return and Volatility Spillover,Multivariate VAR-EGARCH,Precious Metals}, abstract={<p>This study aims to reveal the return and volatility </p> <p>spillovers between developing/emerging country </p> <p>stock market indexes and precious metals that </p> <p>investors recently have concentrated on issues such </p> <p>as portfolio diversification and hedging. As a result </p> <p>of the multivariate VAR-EGARCH analysis, negative </p> <p>information shocks for precious metals have been </p> <p>found to be more dominant. </p> <p>It is proved that from gold returns to the equity </p> <p>markets of Indonesia, India, Brazil, Turkey have </p> <p>positive spillover, also from Brent oil returns to the </p> <p>equity markets of India, Brazil, Turkey have negative </p> <p>return spillover. The only market in which both of </p> <p>precious metals have positive return spillover has </p> <p>been the South African market. According to the </p> <p>results of the model’s variance equation, there is </p> <p>no volatility spillover to the Turkish equity markets </p> <p>from precious metals therefore the result is that </p> <p>Turkish equity market is stronger compared to </p> <p>other countries’ markets. </p>}, number={2}, publisher={Ege University}