Research Article
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Year 2021, Volume: 50 Issue: 2, 215 - 233, 07.10.2021
https://doi.org/10.26650/ibr.2021.50.861135

Abstract

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Thanks

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References

  • Abou-Zaid, A. S. (2011). Volatility spillover effects in emerging MENA stock markets. Review of Applied Economics, 7(1076-2016-87178), 107-127.
  • Akgün, I. & Sayyan, H. (2007). İMKB-30 hisse senedi getirilerinde volatilitenin kısa ve uzun hafızalı asimetrik koşullu değişen varyans modelleri ile öngörüsü. Iktisat Isletme ve Finans, 22 (250), 127-141.
  • Baillie, R. T. & DeGennaro, R. P. (1990). Stock returns and volatility. Journal of financial and Quantitative Analysis, 25(2), 203-214.
  • Bala, D. A. & Takimoto, T. (2017). Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. Borsa Istanbul Review, 17(1), 25-48.
  • Bala, L. & Premaratne, G. (2004). Volatility spillover and co-movement: some new evidence from Singapore. In Midwest Econometrics Group (MEG) Fall Meetings North Western University Evanston.
  • Baykut, E. & Kula, V. (2018). Borsa İstanbul pay endekslerinin volatilite yapısı: BİST-50 örneği (2007-2016 yılları). Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi, 20(1), 279-303.
  • Bayramoglu, M. F. & Abasiz, T. (2017). Gelismekte Olan Piyasa Endeksleri Arasinda Volatilite Yayilim Etkisinin Analizi/Analysis of Volatility Spreading Effect Between Developing Market Indices. Muhasebe ve Finansman Dergisi, (74).
  • Black, F. (1976). Studies of stock market volatility changes. Proceedings of the American Statistical Association Bisiness and Economic Statistics Section.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
  • Brooks, C. (2019). Introductory econometrics for finance. Cambridge university press.
  • Büberkökü, Ö. (2013). Kriz döneminde yükselen piyasa ekonomileri, Euro bölgesi ve ABD piyasaları arasındaki volatilite yayılmasının incelenmesi: Varyansta-granger-nedensellik testinden kanıtlar. In EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey (No. 208). Ekonomik Yaklasim Association.
  • Çağıl, G., & Okur, M. (2010). 2008 Küresel Krizinin İmkb Hisse Senedi Piyasasi Üzerindeki Etkilerinin Garch Modelleri İle Analizi. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 28(1), 573-585.
  • Çelik, İ., Özdemir, A., & Gülbahar, S. D. (2018). Gelişmekte Olan Ülkelerde Getiri ve Volatilite Yayılımı: NIMPT Ülkelerinde VAR-EGARCH Uygulaması. Finans Politik & Ekonomik Yorumlar, 55(636), 9-24.
  • Çukur, S., Gümrah, Ü., & Üstün Gümrah, M. (2012). İstanbul Menkul Kiymetler Borsasinda Hisse Senedi Getirileri Ve İşlem Hacmi İlişkisi. Academic Review of Economics & Administrative Sciences, 5(1).
  • Dedi, L., & Yavaş, B. F. (2016). Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies. Cogent Economics & Finance, 4(1), 1266788.
  • Değirmenci, N. & Abdioğlu, Z. (2017), Finansal piyasalar arasındaki oynaklık yayılımı. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, (54), 107-125.
  • Demir, İ., & Çene, E. (2012). IMKB 100 endeksindeki kaldıraç etkisinin ARCH modelleriyle iki alt dönemde incelenmesi/Investigating leverage effect on Turkish stock market with ARCH models within two sub-groups. Istanbul Üniversitesi Işletme Fakültesi Dergisi, 41(2), 214.
  • Demirgil, H., & Gök, İ. Y. (2014). Türkiye Ve Başlıca AB Pay Piyasaları Arasında Asimetrik Volatilite Yayılımı. Yönetim ve Ekonomi Araştırmaları Dergisi, 12(23), 315-340.
  • Demirhan, D. (2013). Stock market reaction to national sporting success: case of Borsa Istanbul. Pamukkale Journal of Sport Sciences, 4(3).
  • Doğanay, M. M. (2003). İMKB DİBS Fiyat Endekslerinin Volatilite ve Kovaryanslarının Öngörülmesi. İMKB Dergisi, 27, 17-37.
  • Dornbusch, R., Park, Y. C., & Claessens, S. (2000). Contagion: How it spreads and how it can be stopped. World Bank Research Observer, 15(2), 177-197.
  • Duran, S. & Şahin, A. (2006). İMKB Hizmetler, Mali, Sınai ve Teknoloji Endeksleri Arasındaki İlişkinin Belirlenmesi. Gaziosmanpaşa Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, 13, 1,57-70.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
  • Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica: journal of the Econometric Society, 391-407.
  • Engle, R. F., Gallo, G. M., & Velucchi, M. (2012). Volatility spillovers in East Asian financial markets: a MEM-based approach. Review of Economics and Statistics, 94(1), 222-223.
  • Er, Ş. & Fidan, N. (2013). Modeling Istanbul Stock Exchange-100 Daily Stock Returns: A Nonparametric GARCH Approach. Journal of Business, Economics & Finance, 2 (1), 36-50.
  • Eryılmaz, F. (2015). Modelling Stock Market Volatility: The Case Of BIST-100. Annals of' Constantin Brancusi'University of Targu-Jiu. Economy Series, (5).
  • Evlimoğlu, U. & Çondur, F. (2012). İMKB ile Bazı Gelişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Karşılıklı Bağlantıların Küresel Kriz Öncesi ve Sonrası Dönem İçin İncelenmesi. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 31(1): 31-58.
  • Eun, C. S., & Shim, S. (1989). International transmission of stock market movements. Journal of financial and quantitative Analysis, 24(2), 241-256.
  • French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of financial Economics, 19(1), 3.
  • Fry, R., Martin, V. L., & Tang, C. (2008). A new class of tests of contagion with applications to real estate markets. Centre For Applied Macroeconomics Analyses Working Paper Series, 1.
  • Gökbulut, R. & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets. International Journal of Economics and Finance, 6 (4), 23-33. http://dx.doi.org/10.5539/ijef.v6n4p23
  • Gujarati, D. (2011). Econometrics by Example. Palgrave Macmillan.
  • Güriş, S. & Saçildi, İ. S. (2011). İstanbul Menkul Kiymetler Borsasi’nda Hisse Senedi Getiri Volatilitesinin Klasik Ve Bayesyen Garch Modelleri İle Analizi. Trakya Üniversitesi Sosyal Bilimler Dergisi, 13(2), 153-171.
  • Gürsoy, M. & Balaban, M. (2014). Hisse Senedi Getirilerindeki Volatilitenin Tahminlenmesinde Destek Vektör Makinelerine Dayali Garch Modellerinin Kullanimi. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 167-186.
  • Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The review of financial studies, 3(2), 281-307.
  • Islam, R., Islam, M. T., & Chowdhury, A. H. (2013). Testing for global volatility spillover, financial contagion and structural break in fifteen economies from two regions: a diagonal VECH matrix and EGARCH (1, 1) approach. International Journal of Economics and Finance, 5(5), 159-170.
  • Joshi, P. (2011). Return and volatility spillovers among Asian stock markets. Sage Open, 1(1), 1-8.
  • Kanas, A. (1998). Volatility spillovers across equity markets: European evidence. Applied financial economics, 8(3), 245-256.
  • Karabacak, M., Meçik, O., & Genç, E. (2014). Koşullu Değişen Varyans Modelleri ile BİST 100 Endeks Getirisi ve Altın Getiri Serisi Volatilitesinin Tahmini. Journal of Alanya Faculty of Business/Alanya Isletme Fakültesi Dergisi, 6(1), 79-90.
  • Kırkulak Uludag, B., & Ezzat, H. (2017). Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post-Egyptian Revolution. Journal of Yasar University, 12(45), 32-47.
  • Kishor, N., & Singh, R. P. (2014). Stock return volatility effect: Study of BRICS. Transnational Corporations Review, 6(4), 406-418.
  • Kocabaş, C. (2019). Testing for Contagion in Economic Literature. Journal of Governance and Regulation, 8(3).
  • Kutlar, A. & Torun, P. (2013). İMKB 100 Endeksi Günlük Getirileri İçin Uygun Genelleştirilmiş Farkli Varyans Modelinin Seçimi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (42), 1-24.
  • Lee, S. J. (2009). Volatility spillover effects amongsix Asian countries. Applied Economics Letters, 16(5), 501-508.
  • Li, Y., & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. International Journal of Finance & Economics, 20(2), 155-177.
  • Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452-470.
  • Masson, M. P. R. (1998). Contagion: Monsoonal effects, spillovers, and jumps between multiple equilibria (No. 98-142). International Monetary Fund.
  • McMillan, D. G., Berke, B., & Bajo‐Rubio, O. (2016). The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises. Available at SSRN 2832803.
  • Miyakoshi, T. (2003). Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of International Financial Markets, Institutions and Money, 13(4), 383-399.
  • Nelson D. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347 – 370.
  • Özer, M., Kamışlı, S. & Kamışlı, M. (2016). Do volatility spillovers among G7 stock markets symmetric or asymmetric. In Proceedings Of 7th European Business Research Conference, 15-16 Aralık, University of Roma Tre, Roma, İtalya.
  • Qian, P. Y., & Diaz, J. F. (2017). Volatility integration of global stock markets with the Malaysian stock market: A Multivariate GARCH approach. Malaysian Journal of Economic Studies, 54(1), 83-117.
  • Samırkaş, M. C. & Düzakın, H. (2013). İstanbul Menkul Kıymetler Borsasının Avrasya Borsaları ile Entegrasyonu. Akademik Bakış Dergisi, 35(25): 1-19.
  • Sevüktekin, M., & Nargeleçekenler, M. (2006). İstanbul Menkul Kiymetler Borsasinda Getiri Volatilitesinin Modellenmesi Ve Önraporlanmasi. Ankara Üniversitesi SBF Dergisi, 61(4), 243-265.
  • Sheng, H. C. & Tu, A. H. (2000). A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis. Journal of Multinational Financial Management, 10(3-4), 345-365.
  • Shin, J. (2005). Stock returns and volatility in emerging stock markets. International Journal of Business and economics, 4(1), 31.
  • Syriopoulos, T., Makram, B. & Boubaker, A. (2015). Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis. International Review of Financial Analysis, 39, 7-18.
  • Theodossiou, P. & Lee, U, (1995). Relationship between Volatility and Expected Returns across International Stock Markets. Journal of Business Finance and Accounting, 22(2), 289-300.
  • Tülin, A. (2009). İstanbul Menkul Kıymetler Borsasında Değişkenliğin (Volatilitenin) ARCH-GARCH Yöntemleri ile Modellenmesi. İstanbul Üniversitesi, İşletme Fakültesi, İşletme İktisadı Enstitüsü Yönetim Dergisi, (62).
  • Tripathy, N., & Garg, A. (2013). Forecasting stock market volatility: Evidence from six emerging markets. Journal of International Business and Economy, 14(2), 69-93. Xie, S., & Huang, X. (2013). An empirical analysis of the volatility in the open-end fund market: Evidence from China. Emerging Markets Finance and Trade, 49(sup4), 150-162.
  • Xiao, L., & Dhesi, G. (2010). Volatility spillover and time-varying conditional correlation between the European and US stock markets. Global Economy and Finance Journal, 3(2), 148-164.
  • Yıldız, B. (2016). Oynaklık Tahmininde Simetrik ve Asimetrik GARCH Modellerinin Kullanılması: Seçilmiş BİST Alt Sektör Endeksleri Üzerine Bir Uygulama. Journal of Accounting & Finance, 72.
  • Yonis, M. (2011). Stock market co-movement and volatility spillover between USA and South Africa.
  • Yorulmaz, Ö. & Ekinci, O. (2010). İMKB'nin Latin Amerika Borsalariyla İlişkisi Üzerine Çok Değişkenli GARCH Modellemesi. Sosyal Bilimler Dergisi, (1), 25-32.

An Analysis of the Stock Market Volatility Spread in Emerging Countries

Year 2021, Volume: 50 Issue: 2, 215 - 233, 07.10.2021
https://doi.org/10.26650/ibr.2021.50.861135

Abstract

This article provides results on the volatility spread for stock markets in emerging economies. Empirical studies on determining or predicting volatility in national and international financial markets provide information for investors. The aim of this study is also to analyze volatility spreads from the United States of America, France, Germany, Japan Turkey, China, India, Indonesia from emerging markets within the scope of EGARCH models, which take into account the asymmetric effects using daily stock returns for the period of January 2008 - April 2020. The a symmetric effect parameter (λ or μt-i/ht-1) appears to be negative and statistically significant at 1% for all countries, except the Shanghai Composite Stock Exchange, China. This result shows that the asymmetric effect, or the leverage effect in other words, is valid in stock markets other than China. The volatility spreads from the Dow Jones Industrial Average Index – USA to Borsa Istanbul and the Shanghai Stock Exchange – China. Also, the S & P 500 Index – USA is significant on the volatility spread of the Borsa Istanbul and Shanghai Stock Exchange. The volatility spread between Jakarta Stock Exchange - Indonesia and Borsa Istanbul is two-way and mutual.

Project Number

yok

References

  • Abou-Zaid, A. S. (2011). Volatility spillover effects in emerging MENA stock markets. Review of Applied Economics, 7(1076-2016-87178), 107-127.
  • Akgün, I. & Sayyan, H. (2007). İMKB-30 hisse senedi getirilerinde volatilitenin kısa ve uzun hafızalı asimetrik koşullu değişen varyans modelleri ile öngörüsü. Iktisat Isletme ve Finans, 22 (250), 127-141.
  • Baillie, R. T. & DeGennaro, R. P. (1990). Stock returns and volatility. Journal of financial and Quantitative Analysis, 25(2), 203-214.
  • Bala, D. A. & Takimoto, T. (2017). Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. Borsa Istanbul Review, 17(1), 25-48.
  • Bala, L. & Premaratne, G. (2004). Volatility spillover and co-movement: some new evidence from Singapore. In Midwest Econometrics Group (MEG) Fall Meetings North Western University Evanston.
  • Baykut, E. & Kula, V. (2018). Borsa İstanbul pay endekslerinin volatilite yapısı: BİST-50 örneği (2007-2016 yılları). Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi, 20(1), 279-303.
  • Bayramoglu, M. F. & Abasiz, T. (2017). Gelismekte Olan Piyasa Endeksleri Arasinda Volatilite Yayilim Etkisinin Analizi/Analysis of Volatility Spreading Effect Between Developing Market Indices. Muhasebe ve Finansman Dergisi, (74).
  • Black, F. (1976). Studies of stock market volatility changes. Proceedings of the American Statistical Association Bisiness and Economic Statistics Section.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
  • Brooks, C. (2019). Introductory econometrics for finance. Cambridge university press.
  • Büberkökü, Ö. (2013). Kriz döneminde yükselen piyasa ekonomileri, Euro bölgesi ve ABD piyasaları arasındaki volatilite yayılmasının incelenmesi: Varyansta-granger-nedensellik testinden kanıtlar. In EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey (No. 208). Ekonomik Yaklasim Association.
  • Çağıl, G., & Okur, M. (2010). 2008 Küresel Krizinin İmkb Hisse Senedi Piyasasi Üzerindeki Etkilerinin Garch Modelleri İle Analizi. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 28(1), 573-585.
  • Çelik, İ., Özdemir, A., & Gülbahar, S. D. (2018). Gelişmekte Olan Ülkelerde Getiri ve Volatilite Yayılımı: NIMPT Ülkelerinde VAR-EGARCH Uygulaması. Finans Politik & Ekonomik Yorumlar, 55(636), 9-24.
  • Çukur, S., Gümrah, Ü., & Üstün Gümrah, M. (2012). İstanbul Menkul Kiymetler Borsasinda Hisse Senedi Getirileri Ve İşlem Hacmi İlişkisi. Academic Review of Economics & Administrative Sciences, 5(1).
  • Dedi, L., & Yavaş, B. F. (2016). Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies. Cogent Economics & Finance, 4(1), 1266788.
  • Değirmenci, N. & Abdioğlu, Z. (2017), Finansal piyasalar arasındaki oynaklık yayılımı. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, (54), 107-125.
  • Demir, İ., & Çene, E. (2012). IMKB 100 endeksindeki kaldıraç etkisinin ARCH modelleriyle iki alt dönemde incelenmesi/Investigating leverage effect on Turkish stock market with ARCH models within two sub-groups. Istanbul Üniversitesi Işletme Fakültesi Dergisi, 41(2), 214.
  • Demirgil, H., & Gök, İ. Y. (2014). Türkiye Ve Başlıca AB Pay Piyasaları Arasında Asimetrik Volatilite Yayılımı. Yönetim ve Ekonomi Araştırmaları Dergisi, 12(23), 315-340.
  • Demirhan, D. (2013). Stock market reaction to national sporting success: case of Borsa Istanbul. Pamukkale Journal of Sport Sciences, 4(3).
  • Doğanay, M. M. (2003). İMKB DİBS Fiyat Endekslerinin Volatilite ve Kovaryanslarının Öngörülmesi. İMKB Dergisi, 27, 17-37.
  • Dornbusch, R., Park, Y. C., & Claessens, S. (2000). Contagion: How it spreads and how it can be stopped. World Bank Research Observer, 15(2), 177-197.
  • Duran, S. & Şahin, A. (2006). İMKB Hizmetler, Mali, Sınai ve Teknoloji Endeksleri Arasındaki İlişkinin Belirlenmesi. Gaziosmanpaşa Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, 13, 1,57-70.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
  • Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating time varying risk premia in the term structure: The ARCH-M model. Econometrica: journal of the Econometric Society, 391-407.
  • Engle, R. F., Gallo, G. M., & Velucchi, M. (2012). Volatility spillovers in East Asian financial markets: a MEM-based approach. Review of Economics and Statistics, 94(1), 222-223.
  • Er, Ş. & Fidan, N. (2013). Modeling Istanbul Stock Exchange-100 Daily Stock Returns: A Nonparametric GARCH Approach. Journal of Business, Economics & Finance, 2 (1), 36-50.
  • Eryılmaz, F. (2015). Modelling Stock Market Volatility: The Case Of BIST-100. Annals of' Constantin Brancusi'University of Targu-Jiu. Economy Series, (5).
  • Evlimoğlu, U. & Çondur, F. (2012). İMKB ile Bazı Gelişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Karşılıklı Bağlantıların Küresel Kriz Öncesi ve Sonrası Dönem İçin İncelenmesi. Uludağ Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 31(1): 31-58.
  • Eun, C. S., & Shim, S. (1989). International transmission of stock market movements. Journal of financial and quantitative Analysis, 24(2), 241-256.
  • French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of financial Economics, 19(1), 3.
  • Fry, R., Martin, V. L., & Tang, C. (2008). A new class of tests of contagion with applications to real estate markets. Centre For Applied Macroeconomics Analyses Working Paper Series, 1.
  • Gökbulut, R. & Pekkaya, M. (2014). Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets. International Journal of Economics and Finance, 6 (4), 23-33. http://dx.doi.org/10.5539/ijef.v6n4p23
  • Gujarati, D. (2011). Econometrics by Example. Palgrave Macmillan.
  • Güriş, S. & Saçildi, İ. S. (2011). İstanbul Menkul Kiymetler Borsasi’nda Hisse Senedi Getiri Volatilitesinin Klasik Ve Bayesyen Garch Modelleri İle Analizi. Trakya Üniversitesi Sosyal Bilimler Dergisi, 13(2), 153-171.
  • Gürsoy, M. & Balaban, M. (2014). Hisse Senedi Getirilerindeki Volatilitenin Tahminlenmesinde Destek Vektör Makinelerine Dayali Garch Modellerinin Kullanimi. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 167-186.
  • Hamao, Y., Masulis, R. W., & Ng, V. (1990). Correlations in price changes and volatility across international stock markets. The review of financial studies, 3(2), 281-307.
  • Islam, R., Islam, M. T., & Chowdhury, A. H. (2013). Testing for global volatility spillover, financial contagion and structural break in fifteen economies from two regions: a diagonal VECH matrix and EGARCH (1, 1) approach. International Journal of Economics and Finance, 5(5), 159-170.
  • Joshi, P. (2011). Return and volatility spillovers among Asian stock markets. Sage Open, 1(1), 1-8.
  • Kanas, A. (1998). Volatility spillovers across equity markets: European evidence. Applied financial economics, 8(3), 245-256.
  • Karabacak, M., Meçik, O., & Genç, E. (2014). Koşullu Değişen Varyans Modelleri ile BİST 100 Endeks Getirisi ve Altın Getiri Serisi Volatilitesinin Tahmini. Journal of Alanya Faculty of Business/Alanya Isletme Fakültesi Dergisi, 6(1), 79-90.
  • Kırkulak Uludag, B., & Ezzat, H. (2017). Volatility Spillover Effect in MENA Stock Markets: Evidence from Pre-and Post-Egyptian Revolution. Journal of Yasar University, 12(45), 32-47.
  • Kishor, N., & Singh, R. P. (2014). Stock return volatility effect: Study of BRICS. Transnational Corporations Review, 6(4), 406-418.
  • Kocabaş, C. (2019). Testing for Contagion in Economic Literature. Journal of Governance and Regulation, 8(3).
  • Kutlar, A. & Torun, P. (2013). İMKB 100 Endeksi Günlük Getirileri İçin Uygun Genelleştirilmiş Farkli Varyans Modelinin Seçimi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (42), 1-24.
  • Lee, S. J. (2009). Volatility spillover effects amongsix Asian countries. Applied Economics Letters, 16(5), 501-508.
  • Li, Y., & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. International Journal of Finance & Economics, 20(2), 155-177.
  • Majdoub, J., & Mansour, W. (2014). Islamic equity market integration and volatility spillover between emerging and US stock markets. The North American Journal of Economics and Finance, 29, 452-470.
  • Masson, M. P. R. (1998). Contagion: Monsoonal effects, spillovers, and jumps between multiple equilibria (No. 98-142). International Monetary Fund.
  • McMillan, D. G., Berke, B., & Bajo‐Rubio, O. (2016). The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises. Available at SSRN 2832803.
  • Miyakoshi, T. (2003). Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of International Financial Markets, Institutions and Money, 13(4), 383-399.
  • Nelson D. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347 – 370.
  • Özer, M., Kamışlı, S. & Kamışlı, M. (2016). Do volatility spillovers among G7 stock markets symmetric or asymmetric. In Proceedings Of 7th European Business Research Conference, 15-16 Aralık, University of Roma Tre, Roma, İtalya.
  • Qian, P. Y., & Diaz, J. F. (2017). Volatility integration of global stock markets with the Malaysian stock market: A Multivariate GARCH approach. Malaysian Journal of Economic Studies, 54(1), 83-117.
  • Samırkaş, M. C. & Düzakın, H. (2013). İstanbul Menkul Kıymetler Borsasının Avrasya Borsaları ile Entegrasyonu. Akademik Bakış Dergisi, 35(25): 1-19.
  • Sevüktekin, M., & Nargeleçekenler, M. (2006). İstanbul Menkul Kiymetler Borsasinda Getiri Volatilitesinin Modellenmesi Ve Önraporlanmasi. Ankara Üniversitesi SBF Dergisi, 61(4), 243-265.
  • Sheng, H. C. & Tu, A. H. (2000). A study of cointegration and variance decomposition among national equity indices before and during the period of the Asian financial crisis. Journal of Multinational Financial Management, 10(3-4), 345-365.
  • Shin, J. (2005). Stock returns and volatility in emerging stock markets. International Journal of Business and economics, 4(1), 31.
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Details

Primary Language English
Subjects Business Administration
Journal Section Articles
Authors

Murat Akkaya 0000-0002-7071-8662

Project Number yok
Publication Date October 7, 2021
Submission Date January 14, 2021
Published in Issue Year 2021 Volume: 50 Issue: 2

Cite

APA Akkaya, M. (2021). An Analysis of the Stock Market Volatility Spread in Emerging Countries. Istanbul Business Research, 50(2), 215-233. https://doi.org/10.26650/ibr.2021.50.861135

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