Bu çalışma, gelişmekte olan E7 ülke borsaları (Brezilya, Rusya, Hindistan, Çin, Endonezya, Meksika ve Türkiye) arasındaki finansal bağlantılılığı incelemeyi amaçlamaktadır. Bu amaç doğrultusunda 02 Temmuz 1997-24 Haziran 2020 dönemi için E7 ülke borsaları arasındaki finansal bağlantılılık Diebold ve Yılmaz (2009,2012) yöntemi ile incelenmiştir. Çalışmada elde edilen bulgular, E7 ülke borsaları arasındaki toplam volatilite yayılım endeksinin düşük seviyede olduğunu ortaya koymuştur. Özellikle diğer ülkelere doğru en yüksek finansal risk geçişinin ve risk alışının sırasıyla Meksika ve Brezilya borsalarından kaynaklandığı görülmüştür. Diğer yandan Çin borsası, diğer altı ülke piyasalarına göre risk yayma ve risk alma noktasında düşük seviyede kalmıştır. Ayrıca toplam volatilite endeksi 200 günlük kayan pencereler yaklaşımına göre incelenmiş ve E7 ülke borsaları arasındaki finansal risk geçişinin en yüksek olduğu dönem COVID-19 pandemi dönemi olarak tespit edilmiştir. Çalışmadan elde edilen bulgular dikkate alındığında çalışmanın portföy çeşitlendirmesinde ve piyasa volatilitesinin tahmin edilmesi için portföy yöneticileri ve piyasa düzenleyiciler için önem arz ettiği düşünülmektedir
Abbas, G., Hammoudeh, S., Shahzad, S. J. H., Wang, S. ve Wei, Y. (2019). Return and volatility connectedness between stock markets and macroeconomic factors in the G-7 countries. Journal of Systems Science and Systems Engineering, 28(1), 1-36. doi:10.1007/s11518-018-5371-y
Alom, F., Ward, B. ve Hu, B. (2011). Cross country mean and volatility spillover effects of food prices:
Multivariate GARCH analysis. Economics Bulletin, 31(2), 1439-1450.
Alotaibi, A. R. ve Mishra, A. V. (2015). Global and regional volatility spillovers to GCC stock markets. Economic
Modelling, 45, 38-49. doi:10.1016/j.econmod.2014.10.052
Aloui, C. (2011). Latin American stock markets’ volatility spillovers during the financial crises: A multivariate
FIAPARCH-DCC framework. doi:10.1080/17520843.2011.590597
Awartani, B., Aktham, M. ve Cherif, G. (2016). The connectedness between crude oil and financial markets:
Evidence from implied volatility indices. Journal of Commodity Markets, 4(1), 56-69.
doi:10.1016/j.jcomm.2016.11.002
Baele, L. (2005). Volatility spillover effects in European equity markets. The Journal of Financial and
Quantitative Analysis, 40(2), 373-401.
Bala, D. A. ve 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. doi:10.1016/j.bir.2017.02.002
Balcılar, M., Özdemir, Z. A. ve Özdemir, H. (2019). Dynamic return and volatility spillovers among S&P 500,
crude oil, and gold. International Journal of Finance & Economics, n/a(n/a). doi:10.1002/ijfe.1782
Baruník, J., Kočenda, E. ve Vácha, L. (2016). Asymmetric connectedness on the U.S. stock market: Bad and
good volatility spillovers. Journal of Financial Markets, 27, 55-78. doi:10.1016/j.finmar.2015.09.003
Beirne, J., Caporale, G. M., Schulze‐Ghattas, M. ve Spagnolo, N. (2013). Volatility spillovers and contagion from
mature to emerging stock markets. Review of International Economics, 21(5), 1060-1075. doi:10.1111/roie.12091
Ben Rejeb, A. (2016, Temmuz). Volatility Spillover between Islamic and conventional stock markets: Evidence
from quantile regression analysis. MPRA Paper. 10 Ağustos 2020 tarihinde https://mpra.ub.uni-
muenchen.de/73302/ adresinden erişildi.
Çamlıca, F., Güneş, D. ve Özen, E. (2017). A financial connectedness analysis for Turkey.
Cardona, L., Gutiérrez, M. ve Agudelo, D. A. (2017). Volatility transmission between US and Latin American
stock markets: Testing the decoupling hypothesis. Research in International Business and Finance, 39, 115-
127. doi:10.1016/j.ribaf.2016.07.008
Chancharoenchai, K. ve Dibooglu, S. (2006). Volatility spillovers and contagion during the Asian crisis:
Evidence from six Southeast Asian stock markets. Emerging Markets Finance and Trade, 42(2), 4–17.
Chow, H. K. (2017). Volatility Spillovers and Linkages in Asian Stock Markets. Emerging Markets Finance and
Trade, 53(12), 2770-2781. doi:10.1080/1540496X.2017.1314960
Christiansen, C. (2007). Volatility-spillover effects in European bond markets. European Financial
Management, 13(5), 923-948. doi:10.1111/j.1468-036X.2007.00403.x
Diebold, F. X. ve Yılmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application
to global equity markets. The Economic Journal, 119(534), 158-171. doi:10.1111/j.1468-0297.2008.02208.x
Diebold, F. X. ve Yılmaz, K. (2012). Better to give than to receive: Predictive directional measurement of
volatility spillovers. International Journal of Forecasting, Special Section 1: The Predictability of Financial
Markets, 28(1), 57-66. doi:10.1016/j.ijforecast.2011.02.006
Do, A., Powell, R., Yong, J. ve Singh, A. (2019). Time-varying asymmetric volatility spillover between global
markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. The North American
Journal of Economics and Finance, 101096. doi:10.1016/j.najef.2019.101096
Du, X., Yu, C. L. ve Hayes, D. J. (2011). Speculation and volatility spillover in the crude oil and agricultural
commodity markets: A Bayesian analysis. Energy Economics, 33(3), 497-503. doi:10.1016/j.eneco.2010.12.015
Faizulayev, A. ve Wada, I. (2019). Spillover Effect of Interest Rate Volatility on Banking Sector Development in
Nigeria: Dynamic ARDL Bound Test Approach. N. Ozatac ve K. K. Gokmenoglu (Ed.), Global Issues in Banking
and Finance içinde (s. 111-125). Springer Proceedings in Business and Economics Cham: Springer
International Publishing. doi:10.1007/978-3-030-30387-7_8
Gamba-Santamaria, S., Gomez-Gonzalez, J. E., Hurtado-Guarin, J. L. ve Melo-Velandia, L. F. (2017). Stock
market volatility spillovers: Evidence for Latin America. Finance Research Letters, 20, 207-216.
doi:10.1016/j.frl.2016.10.001
Gong, X.-L., Liu, X.-H., Xiong, X. ve Zhang, W. (2019). Financial systemic risk measurement based on causal
network connectedness analysis. International Review of Economics & Finance, 64, 290-307.
doi:10.1016/j.iref.2019.07.004
Jeong, D. ve Park, S. (2018). The more connected, the better? Impact of connectedness on volatility and
price discovery in the Korean financial sector. Managerial Finance, 44(1), 46-73. doi:10.1108/MF-09-2016-0277
Joshi, P. (2011). Return and volatility spillovers among Asian stock markets. SAGE Open, 1(1), 2158244011413474.
doi:10.1177/2158244011413474
Kamışlı, M., Kamışlı, S. ve Temizel, F. (2019). Empirical evidence of the relationships between bitcoin and stock
exchanges: Case of return and volatility spillover. U. Hacioglu (Ed.), Blockchain Economics and Financial
Market Innovation: Financial Innovations in the Digital Age içinde (s. 293-318). , Contributions to Economics
Cham: Springer International Publishing. doi:10.1007/978-3-030-25275-5_15
Karali, B. ve Ramirez, O. A. (2014). Macro determinants of volatility and volatility spillover in energy markets.
Energy Economics, 46, 413-421. doi:10.1016/j.eneco.2014.06.004
Kırkulak Uludag, B. ve Khurshid, M. (2019). Volatility spillover from the Chinese stock market to E7 and G7
stock markets. Journal of Economic Studies, 46(1), 90-105. doi:10.1108/JES-01-2017-0014
Koop, G., Pesaran, M. H. ve Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models.
Journal of Econometrics, 74(1), 119-147. doi:10.1016/0304-4076(95)01753-4
Korkmaz, T., Çevik, E. İ. ve Atukeren, E. (2012). Return and volatility spillovers among CIVETS stock markets.
Emerging Markets Review, 13(2), 230-252. doi:10.1016/j.ememar.2012.03.003
Kumar, A. S. ve Kamaiah, B. (2017). Returns and volatility spillover between Asian equity markets: A wavelet
approach. Economic Annals, 62(212), 63–83.
Lee, J. (2009). Currency risk and volatility spillover in emerging foreign exchange markets (SSRN Scholarly
Paper No: ID 1650049). Rochester, NY: Social Science Research Network. doi:10.2139/ssrn.1650049
Li, Y. ve 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. doi:10.1002/ijfe.1506
Liow, K. H. ve Huang, Y. (2018). The dynamics of volatility connectedness in international real estate
investment trusts. Journal of International Financial Markets, Institutions and Money, 55, 195-210.
doi:10.1016/j.intfin.2018.02.003
Mensi, W., Boubaker, F. Z., Al-Yahyaee, K. H. ve Kang, S. H. (2018). Dynamic volatility spillovers and
connectedness between global, regional, and GIPSI stock markets. Finance Research Letters, 25, 230-238.
doi:10.1016/j.frl.2017.10.032
Mishra, A. (2019). Crude oil, stock market, and foreign exchange return volatility and spillover: A GARCH DCC
analysis of Indian and Japanese financial market. International Journal of Business Innovation and
Research, 20(1), 25-46. doi:10.1504/IJBIR.2019.101687
Nazlıoglu, S., Erdem, C. ve Soytaş, U. (2013). Volatility spillover between oil and agricultural commodity
markets. Energy Economics, 36, 658-665. doi:10.1016/j.eneco.2012.11.009
Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific–Basin. Journal of International
Money and Finance, 19(2), 207-233. doi:10.1016/S0261-5606(00)00006-1
Parkinson, M. (1980). The Extreme Value Method for Estimating the Variance of the Rate of Return. The
Journal of Business, 53(1), 61-65.
Pesaran, H. H. ve Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models.
Economics Letters, 58(1), 17-29. doi:10.1016/S0165-1765(97)00214-0
Polat, O. (2018). Hisse senedi piyasalarında finansal bağlantılılık analizi. Politik Ekonomik Kuram, 2(1), 73–86.
Priya, S. (2008). Volatility spillover in bullion and energy futures and spot markets. Journal of Emerging
Financial Markets, 1(1), 85–107.
Qarni, M. O., Gulzar, S., Fatima, S. T., Khan, M. J. ve Shafi, K. (2019). Inter-markets volatility spillover in U.S.
bitcoin and financial markets. Journal of Business Economics and Management, 20(4), 694-714.
doi:10.3846/jbem.2019.8316
Qayyum, A. ve Kemal, A. R. (2006). Volatility spillover between the stock market and the foreign exchange
market in Pakistan (SSRN Scholarly Paper No: ID 963308). Rochester, NY: Social Science Research Network.
doi:10.2139/ssrn.963308
Reboredo, J. C. ve Ugolini, A. (2020). Price connectedness between green bond and financial markets.
Economic Modelling, 88, 25-38. doi:10.1016/j.econmod.2019.09.004
Singh, P., Kumar, B. ve Pandey, A. (2010). Price and volatility spillovers across North American, European and
Asian stock markets. International Review of Financial Analysis, 19(1), 55-64. doi:10.1016/j.irfa.2009.11.001
Toraman, C., İğde, M., Buğan, M. F. ve Kılıç, Y. (2016). Volatility spillover effect from conventional stock markets
to Islamic stock markets. International Journal of Academic Research in Economics and Management
Sciences, 5(4), 2226–3624.
Umer, U. M., Coskun, M. ve Kiraci, K. (2018). Time-varying return and volatility spillover among eagles stock
markets: A multivariate garch analysis. Journal of Finance and Economics Research, 3(1), 23–42.
Vo, X. V. ve Tran, T. T. A. (2020). Modelling volatility spillovers from the US equity market to ASEAN stock
markets. Pacific-Basin Finance Journal, 59, 101246. doi:10.1016/j.pacfin.2019.101246
Wu, F., Guan, Z. ve Myers, R. J. (2011). Volatility spillover effects and cross hedging in corn and crude oil
futures. Journal of Futures Markets, 31(11), 1052-1075. doi:10.1002/fut.20499
Wu, M. ve Zhu, Z. (2019). The volatility spillover effect between the ınternational crude oil futures price and
China’s stock market-multivariate bekk-garch model based on wavelet multiresolution. International
Journal of Financial Research, 10(4).
Yarovaya, L., Brzeszczyński, J. ve Lau, C. K. M. (2016). Intra- and inter-regional return and volatility spillovers
across emerging and developed markets: Evidence from stock indices and stock index futures. International
Review of Financial Analysis, 43, 96-114. doi:10.1016/j.irfa.2015.09.004
Yılmaz, K. (2010). Return and volatility spillovers among the East Asian equity markets. Journal of Asian
Economics, The Financial Crisis of 2008-09: Origins, Issues, and Prospects, 21(3), 304-313.
doi:10.1016/j.asieco.2009.09.001
Yoon, S.-M., Al Mamun, M., Uddin, G. S. ve Kang, S. H. (2019). Network connectedness and net spillover
between financial and commodity markets. The North American Journal of Economics and Finance, 48, 801-818. doi:10.1016/j.najef.2018.08.012
Zeng, T., Yang, M. ve Shen, Y. (2020). Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks. Economic Modelling, 90, 209-220. doi:10.1016/j.econmod.2020.05.003
Zhou, X., Zhang, W. ve Zhang, J. (2012). Volatility spillovers between the Chinese and world equity markets.
Pacific-Basin Finance Journal, 20(2), 247-270. doi:10.1016/j.pacfin.2011.08.002
Financial Connectedness in Emerging Markets
Yıl 2020,
Cilt: 16 Sayı: 30, 3134 - 3160, 31.10.2020
This study aims to examine the financial connectedness between emerging E7 (Brazil, Russia, India, China, Indonesia, Mexico and, Turkey) stock markets. For this purpose, the connectedness between E7 stock markets was examined using the Diebold and Yilmaz (2009,2012) method for the period of 02 July 1997 - 24 June 2020. The findings of the study revealed that the total volatility spillover index among E7 country stock markets was low level. It was seen that the highest financial risk transition and risk receiving to other countries originated from the Mexican and Brazilian stock markets, respectively. On the other hand, the Chinese stock market remained at a low level in terms of risk transmission and risk receiving compared to the markets of the other six countries. In addition, the total volatility index was analyzed according to the 200-day rolling windows approach and the highest financial risk transition between E7 country stock markets was determined as the COVID-19 pandemic period. However, according to the 200-day rolling windows approach, the period in which the financial risk transition between E7 country stock markets is the highest indicates the COVID-19 pandemic period. Considering the findings obtained from the study, it is thought that the study is important for portfolio managers and market regulators in portfolio diversification and for estimating market volatility.
Abbas, G., Hammoudeh, S., Shahzad, S. J. H., Wang, S. ve Wei, Y. (2019). Return and volatility connectedness between stock markets and macroeconomic factors in the G-7 countries. Journal of Systems Science and Systems Engineering, 28(1), 1-36. doi:10.1007/s11518-018-5371-y
Alom, F., Ward, B. ve Hu, B. (2011). Cross country mean and volatility spillover effects of food prices:
Multivariate GARCH analysis. Economics Bulletin, 31(2), 1439-1450.
Alotaibi, A. R. ve Mishra, A. V. (2015). Global and regional volatility spillovers to GCC stock markets. Economic
Modelling, 45, 38-49. doi:10.1016/j.econmod.2014.10.052
Aloui, C. (2011). Latin American stock markets’ volatility spillovers during the financial crises: A multivariate
FIAPARCH-DCC framework. doi:10.1080/17520843.2011.590597
Awartani, B., Aktham, M. ve Cherif, G. (2016). The connectedness between crude oil and financial markets:
Evidence from implied volatility indices. Journal of Commodity Markets, 4(1), 56-69.
doi:10.1016/j.jcomm.2016.11.002
Baele, L. (2005). Volatility spillover effects in European equity markets. The Journal of Financial and
Quantitative Analysis, 40(2), 373-401.
Bala, D. A. ve 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. doi:10.1016/j.bir.2017.02.002
Balcılar, M., Özdemir, Z. A. ve Özdemir, H. (2019). Dynamic return and volatility spillovers among S&P 500,
crude oil, and gold. International Journal of Finance & Economics, n/a(n/a). doi:10.1002/ijfe.1782
Baruník, J., Kočenda, E. ve Vácha, L. (2016). Asymmetric connectedness on the U.S. stock market: Bad and
good volatility spillovers. Journal of Financial Markets, 27, 55-78. doi:10.1016/j.finmar.2015.09.003
Beirne, J., Caporale, G. M., Schulze‐Ghattas, M. ve Spagnolo, N. (2013). Volatility spillovers and contagion from
mature to emerging stock markets. Review of International Economics, 21(5), 1060-1075. doi:10.1111/roie.12091
Ben Rejeb, A. (2016, Temmuz). Volatility Spillover between Islamic and conventional stock markets: Evidence
from quantile regression analysis. MPRA Paper. 10 Ağustos 2020 tarihinde https://mpra.ub.uni-
muenchen.de/73302/ adresinden erişildi.
Çamlıca, F., Güneş, D. ve Özen, E. (2017). A financial connectedness analysis for Turkey.
Cardona, L., Gutiérrez, M. ve Agudelo, D. A. (2017). Volatility transmission between US and Latin American
stock markets: Testing the decoupling hypothesis. Research in International Business and Finance, 39, 115-
127. doi:10.1016/j.ribaf.2016.07.008
Chancharoenchai, K. ve Dibooglu, S. (2006). Volatility spillovers and contagion during the Asian crisis:
Evidence from six Southeast Asian stock markets. Emerging Markets Finance and Trade, 42(2), 4–17.
Chow, H. K. (2017). Volatility Spillovers and Linkages in Asian Stock Markets. Emerging Markets Finance and
Trade, 53(12), 2770-2781. doi:10.1080/1540496X.2017.1314960
Christiansen, C. (2007). Volatility-spillover effects in European bond markets. European Financial
Management, 13(5), 923-948. doi:10.1111/j.1468-036X.2007.00403.x
Diebold, F. X. ve Yılmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application
to global equity markets. The Economic Journal, 119(534), 158-171. doi:10.1111/j.1468-0297.2008.02208.x
Diebold, F. X. ve Yılmaz, K. (2012). Better to give than to receive: Predictive directional measurement of
volatility spillovers. International Journal of Forecasting, Special Section 1: The Predictability of Financial
Markets, 28(1), 57-66. doi:10.1016/j.ijforecast.2011.02.006
Do, A., Powell, R., Yong, J. ve Singh, A. (2019). Time-varying asymmetric volatility spillover between global
markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. The North American
Journal of Economics and Finance, 101096. doi:10.1016/j.najef.2019.101096
Du, X., Yu, C. L. ve Hayes, D. J. (2011). Speculation and volatility spillover in the crude oil and agricultural
commodity markets: A Bayesian analysis. Energy Economics, 33(3), 497-503. doi:10.1016/j.eneco.2010.12.015
Faizulayev, A. ve Wada, I. (2019). Spillover Effect of Interest Rate Volatility on Banking Sector Development in
Nigeria: Dynamic ARDL Bound Test Approach. N. Ozatac ve K. K. Gokmenoglu (Ed.), Global Issues in Banking
and Finance içinde (s. 111-125). Springer Proceedings in Business and Economics Cham: Springer
International Publishing. doi:10.1007/978-3-030-30387-7_8
Gamba-Santamaria, S., Gomez-Gonzalez, J. E., Hurtado-Guarin, J. L. ve Melo-Velandia, L. F. (2017). Stock
market volatility spillovers: Evidence for Latin America. Finance Research Letters, 20, 207-216.
doi:10.1016/j.frl.2016.10.001
Gong, X.-L., Liu, X.-H., Xiong, X. ve Zhang, W. (2019). Financial systemic risk measurement based on causal
network connectedness analysis. International Review of Economics & Finance, 64, 290-307.
doi:10.1016/j.iref.2019.07.004
Jeong, D. ve Park, S. (2018). The more connected, the better? Impact of connectedness on volatility and
price discovery in the Korean financial sector. Managerial Finance, 44(1), 46-73. doi:10.1108/MF-09-2016-0277
Joshi, P. (2011). Return and volatility spillovers among Asian stock markets. SAGE Open, 1(1), 2158244011413474.
doi:10.1177/2158244011413474
Kamışlı, M., Kamışlı, S. ve Temizel, F. (2019). Empirical evidence of the relationships between bitcoin and stock
exchanges: Case of return and volatility spillover. U. Hacioglu (Ed.), Blockchain Economics and Financial
Market Innovation: Financial Innovations in the Digital Age içinde (s. 293-318). , Contributions to Economics
Cham: Springer International Publishing. doi:10.1007/978-3-030-25275-5_15
Karali, B. ve Ramirez, O. A. (2014). Macro determinants of volatility and volatility spillover in energy markets.
Energy Economics, 46, 413-421. doi:10.1016/j.eneco.2014.06.004
Kırkulak Uludag, B. ve Khurshid, M. (2019). Volatility spillover from the Chinese stock market to E7 and G7
stock markets. Journal of Economic Studies, 46(1), 90-105. doi:10.1108/JES-01-2017-0014
Koop, G., Pesaran, M. H. ve Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models.
Journal of Econometrics, 74(1), 119-147. doi:10.1016/0304-4076(95)01753-4
Korkmaz, T., Çevik, E. İ. ve Atukeren, E. (2012). Return and volatility spillovers among CIVETS stock markets.
Emerging Markets Review, 13(2), 230-252. doi:10.1016/j.ememar.2012.03.003
Kumar, A. S. ve Kamaiah, B. (2017). Returns and volatility spillover between Asian equity markets: A wavelet
approach. Economic Annals, 62(212), 63–83.
Lee, J. (2009). Currency risk and volatility spillover in emerging foreign exchange markets (SSRN Scholarly
Paper No: ID 1650049). Rochester, NY: Social Science Research Network. doi:10.2139/ssrn.1650049
Li, Y. ve 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. doi:10.1002/ijfe.1506
Liow, K. H. ve Huang, Y. (2018). The dynamics of volatility connectedness in international real estate
investment trusts. Journal of International Financial Markets, Institutions and Money, 55, 195-210.
doi:10.1016/j.intfin.2018.02.003
Mensi, W., Boubaker, F. Z., Al-Yahyaee, K. H. ve Kang, S. H. (2018). Dynamic volatility spillovers and
connectedness between global, regional, and GIPSI stock markets. Finance Research Letters, 25, 230-238.
doi:10.1016/j.frl.2017.10.032
Mishra, A. (2019). Crude oil, stock market, and foreign exchange return volatility and spillover: A GARCH DCC
analysis of Indian and Japanese financial market. International Journal of Business Innovation and
Research, 20(1), 25-46. doi:10.1504/IJBIR.2019.101687
Nazlıoglu, S., Erdem, C. ve Soytaş, U. (2013). Volatility spillover between oil and agricultural commodity
markets. Energy Economics, 36, 658-665. doi:10.1016/j.eneco.2012.11.009
Ng, A. (2000). Volatility spillover effects from Japan and the US to the Pacific–Basin. Journal of International
Money and Finance, 19(2), 207-233. doi:10.1016/S0261-5606(00)00006-1
Parkinson, M. (1980). The Extreme Value Method for Estimating the Variance of the Rate of Return. The
Journal of Business, 53(1), 61-65.
Pesaran, H. H. ve Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models.
Economics Letters, 58(1), 17-29. doi:10.1016/S0165-1765(97)00214-0
Polat, O. (2018). Hisse senedi piyasalarında finansal bağlantılılık analizi. Politik Ekonomik Kuram, 2(1), 73–86.
Priya, S. (2008). Volatility spillover in bullion and energy futures and spot markets. Journal of Emerging
Financial Markets, 1(1), 85–107.
Qarni, M. O., Gulzar, S., Fatima, S. T., Khan, M. J. ve Shafi, K. (2019). Inter-markets volatility spillover in U.S.
bitcoin and financial markets. Journal of Business Economics and Management, 20(4), 694-714.
doi:10.3846/jbem.2019.8316
Qayyum, A. ve Kemal, A. R. (2006). Volatility spillover between the stock market and the foreign exchange
market in Pakistan (SSRN Scholarly Paper No: ID 963308). Rochester, NY: Social Science Research Network.
doi:10.2139/ssrn.963308
Reboredo, J. C. ve Ugolini, A. (2020). Price connectedness between green bond and financial markets.
Economic Modelling, 88, 25-38. doi:10.1016/j.econmod.2019.09.004
Singh, P., Kumar, B. ve Pandey, A. (2010). Price and volatility spillovers across North American, European and
Asian stock markets. International Review of Financial Analysis, 19(1), 55-64. doi:10.1016/j.irfa.2009.11.001
Toraman, C., İğde, M., Buğan, M. F. ve Kılıç, Y. (2016). Volatility spillover effect from conventional stock markets
to Islamic stock markets. International Journal of Academic Research in Economics and Management
Sciences, 5(4), 2226–3624.
Umer, U. M., Coskun, M. ve Kiraci, K. (2018). Time-varying return and volatility spillover among eagles stock
markets: A multivariate garch analysis. Journal of Finance and Economics Research, 3(1), 23–42.
Vo, X. V. ve Tran, T. T. A. (2020). Modelling volatility spillovers from the US equity market to ASEAN stock
markets. Pacific-Basin Finance Journal, 59, 101246. doi:10.1016/j.pacfin.2019.101246
Wu, F., Guan, Z. ve Myers, R. J. (2011). Volatility spillover effects and cross hedging in corn and crude oil
futures. Journal of Futures Markets, 31(11), 1052-1075. doi:10.1002/fut.20499
Wu, M. ve Zhu, Z. (2019). The volatility spillover effect between the ınternational crude oil futures price and
China’s stock market-multivariate bekk-garch model based on wavelet multiresolution. International
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