Asymmetric Volatility Spillover Between Sovereign Bond and Stock Market: An Application of Banking Sector Index
Öz
This study examines the volatility spillovers between Turkey’s sovereign bond market and the banking sector over the period from 02.01.2014 to 10.08.2025, employing the cDCC-GJR-GARCH model and nonparametric quantile causality approach. The findings reveal that 10-year bond yields exhibit higher volatility persistence relative to banking sector returns, with negative shocks exerting stronger effects on bond yield volatility. In contrast, positive shocks have a greater impact on banking sector volatility. Also, the results highlight increase in dynamic correlations during periods of heightened geopolitical and economic uncertainty. Nonparametric quantile causality results confirm that sovereign bond market volatility exerts a stronger influence on banking sector risk, especially in extreme quantiles, underscoring the asymmetric and state-dependent nature of financial spillovers. These results highlight the pivotal role of sovereign yields in shaping systemic risk in Turkey and offer valuable insights for policymakers and market participants in managing financial stability during crisis conditions.
Anahtar Kelimeler
Sovereign bond yields, Banking sector, cDCC-GARCH, Non-Prametric Quantile Causality, Volatility Spillover
Kaynakça
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