Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals

Yıl 2018, Cilt: 18 Sayı: 2, 217 - 230, 01.04.2018

İsmail Çelik , Arife Özdemir , Samet Gürsoy , Hande Uzunoğlu Ünlü

https://doi.org/10.21121/eab.2018237351

Cited By: 9

Öz

This study aims to reveal the return and volatility

spillovers between developing/emerging country

stock market indexes and precious metals that

investors recently have concentrated on issues such

as portfolio diversification and hedging. As a result

of the multivariate VAR-EGARCH analysis, negative

information shocks for precious metals have been

found to be more dominant.

It is proved that from gold returns to the equity

markets of Indonesia, India, Brazil, Turkey have

positive spillover, also from Brent oil returns to the

equity markets of India, Brazil, Turkey have negative

return spillover. The only market in which both of

precious metals have positive return spillover has

been the South African market. According to the

results of the model’s variance equation, there is

no volatility spillover to the Turkish equity markets

from precious metals therefore the result is that

Turkish equity market is stronger compared to

other countries’ markets.

Anahtar Kelimeler

Return and Volatility Spillover, Multivariate VAR-EGARCH, Precious Metals

Kaynakça

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