The volatility spillovers between Turkey and North Africa (ETM) stock markets: VARMA-BEKK GARCH model

Year 2018, Volume: 7 Issue: 4, 0 - 0, 01.10.2018

E. Ağırman G. Bozma A. Ahmid

Abstract

These days one of the most important research is the financial integration of international markets, also around the world because of the development of financial markets the emerging markets receiving more interest. This paper exam the volatility spillovers among stock market returns by using VARMA-BEKK GARCH. The volatility spillovers index collected from the series of the asset returns over a period of time from 2010 until 2017 with daily data. Our method is going to applied in the stock markets located in Turkey and North Africa (Egypt, Tunisia and Morocco) moreover in North Africa there is no other stock markets except these. Because of the financial relationship between these countries Turkey and North Africa countrıes were chosen, last but not least (emerging markets in developing countries) located in the close area and there is not any paper like this also to fill the gap in the research. Our aims to understand better the movement of the volatility and volatility pass through stock market returns which was observed. Moreover we compared diversification of portfolio between stock markets for hedging strategies and optimal hedge ratio.

Keywords

Stock Markets, Volatility Spillovers, VARMA-BEKK GARCH Model, Turkey and North Africa (ETM).