Gelişen ve Sınır Piyasalarda Risk Aktarımı ve Volatilite Yayılımlarının Haritalanması: Bibliyometrik Bir Perspektif

Öz

Bu çalışma, gelişmekte olan ve sınır piyasalarda risk aktarımı ve volatilite yayılımları üzerine akademik literatürün kapsamlı bir bibliyometrik analizini sunmakta olup, finansal serbestleşme ve sınır ötesi sermaye akımlarının piyasa bağımlılıklarını ve sistemik kırılganlıkları nasıl yoğunlaştırdığını incelemektedir. Web of Science Core Collection'dan elde edilen veriler kullanılarak, 2005-2025 yılları arasında yayımlanmış 687 makale VOSviewer yazılımı aracılığıyla uygulanan gelişmiş bibliyometrik tekniklerle analiz edilmiştir. Analiz, yayın eğilimlerini haritalandırarak, önde gelen katkı sağlayanları tanımlayarak ve anahtar kelime birlikte oluşumu, ortak atıf ve bibliyografik eşleştirme ağları aracılığıyla tematik yapıları ortaya çıkararak alanın entelektüel manzarasını sistematik bir şekilde haritalamaktadır. Bulgular, gelişmekte olan piyasalar üzerinde belirgin bir araştırma yoğunlaşması olduğunu, sınır piyasaların ise önemli ölçüde az keşfedilmiş kaldığını göstermektedir. Metodolojik olarak alan, zamana bağlı değişen ve doğrusal olmayan ekonometrik çerçeveler, özellikle DCC-GARCH, BEKK-GARCH ve bağlantılılık yaklaşımları tarafından domine edilmekte olup, bu durum literatürün dinamik ve asimetrik risk aktarım mekanizmalarını yakalamaya verdiği önemi yansıtmaktadır. Anahtar kelime analizi, kriz dönemlerinde finansal bulaşma, portföy çeşitlendirme stratejileri ve makroekonomik bağlantılar etrafında merkezi temaları ortaya koyarken, emtialar, kripto paralar ve yeşil finans gibi konular çevresel temalar olarak belirlenmektedir. Çalışma, finansal istikrar çerçeveleri tasarlayan politika yapıcılar, çeşitlendirme fırsatları arayan yatırımcılar ve giderek daha bağlantılı hale gelen küresel finansal sistemde gelecek araştırmalar için umut verici yollar belirleyen araştırmacılar için değerli içgörüler sağlamaktadır.

Anahtar Kelimeler

• Volatilite Yayılımları
• Risk Aktarımı
• Gelişen Piyasalar
• Sınır Piyasalar
• Bibliyometrik Analiz

Mapping Risk Transmission and Volatility Spillovers in Emerging and Frontier Markets: A Bibliometric Perspective

Öz

This study presents a comprehensive bibliometric analysis of the academic literature on risk transmission and volatility spillovers in emerging and frontier markets, examining how financial liberalization and cross-border capital flows have intensified market interdependencies and systemic vulnerabilities. Using data from the Web of Science Core Collection, 687 articles published between 2005 and 2025 were analyzed using advanced bibliometric techniques implemented via the VOSviewer software. The analysis systematically maps the intellectual landscape of the field by examining publication trends, identifying leading contributors, and revealing thematic structures through keyword co-occurrence, co-citation, and bibliographic coupling networks. Findings indicate a pronounced research concentration on emerging markets, while frontier markets remain significantly underexplored. Methodologically, the field is dominated by time-varying and non-linear econometric frameworks, particularly DCC-GARCH, BEKK-GARCH, and connectedness approaches, reflecting the literature's emphasis on capturing dynamic and asymmetric risk transmission mechanisms. Keyword analysis reveals central themes around financial contagion during crisis periods, portfolio diversification strategies, and macroeconomic linkages, while peripheral topics include commodities, cryptocurrencies, and green finance. The study provides valuable insights for policymakers designing financial stability frameworks, investors seeking diversification opportunities, and researchers identifying promising avenues for future investigation in an increasingly interconnected global financial system.

Anahtar Kelimeler

• Volatility Spillovers
• Risk Transmission
• Emerging Markets
• Frontier Markets
• Bibliometric Analysis

Kaynakça

1. Abou-Zaid, A. S. (2011). Volatility spillover effects in emerging MENA stock markets. Review of Applied Economics, 7, 107-127.
2. Al-Khazaleh, S., Badwan, N., & Almashaqbeh, M. (2025). Financial contagion in financial markets: a systematic literature review and directions for future research. Journal of Money Laundering Control, 28(3), 572-591.
3. Alotaibi, A. R., & Mishra, A. V. (2015). Global and regional volatility spillovers to GCC stock markets. Economic Modelling, 45, 38-49.
4. Aloui, R., Aïssa, M. S. B., & Nguyen, D. K. (2011). Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?. Journal of Banking & Finance, 35(1), 130-141.
5. Amin, A. S., & Orlowski, L. T. (2014). Returns, volatilities, and correlations across mature, regional, and frontier markets: evidence from South Asia. Emerging Markets Finance and Trade, 50(3), 5-27.
6. Arcand, J. L., Berkes, E., & Panizza, U. (2015). Too much finance?. Journal of Economic Growth, 20(2), 105-148.
7. Arsalan, T., Chishty, B. A., Ghouri, S., & Ansari, N. U. H. (2025). Comparison of volatility and mean reversion among developed, developing and emerging countries. Journal of Economic and Administrative Sciences, 41(2), 470-489.
8. Baig, T., & Goldfajn, I. (1999). Financial market contagion in the Asian crisis. IMF Staff Papers, 46(2), 167-195.

9. Baklaci, H. F., Süer, Ö., & Yelkenci, T. (2016). Volatility linkages among gold futures in emerging markets. Emerging Markets Finance and Trade, 52(1), 1-9.
10. Barbaglia, L., Croux, C., & Wilms, I. (2020). Volatility spillovers in commodity markets: A large t-vector autoregressive approach. Energy Economics, 85, 104555.
11. Baruník, J., Kočenda b, a, E., & Vácha, L. (2016). Volatility spillovers across petroleum markets. The Energy Journal, 37(1), 136-158.
12. Basher, S. A., & Sadorsky, P. (2016). Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. Energy Economics, 54, 235-247.
13. Bhargava, V., Malhotra, D. K., Russel, P., & Singh, R. (2012). An empirical examination of volatility spillover between the Indian and US swap markets. International Journal of Emerging Markets, 7(3), 289-304.
14. Bonato, M. (2019). Realized correlations, betas and volatility spillover in the agricultural commodity market: What has changed?. Journal of International Financial Markets, Institutions and Money, 62, 184-202.
15. Boschi, M. (2005). International financial contagion: evidence from the Argentine crisis of 2001–2002. Applied Financial Economics, 15(3), 153-163.
16. Boubaker, S., Jouini, J., & Lahiani, A. (2016). Financial contagion between the US and selected developed and emerging countries: The case of the subprime crisis. The Quarterly Review of Economics and Finance, 61, 14-28.
17. Bouri, E., De Boyrie, M. E., & Pavlova, I. (2017). Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries. International Review of Financial Analysis, 49, 155-165.
18. Calvo, G. A. (1998). Capital flows and capital-market crises: the simple economics of sudden stops. Journal of Applied Economics, 1(1), 35-54.
19. Cărăuşu, D. N., Filip, B. F., Cigu, E., & Toderaşcu, C. (2018). Contagion of capital markets in CEE countries: Evidence from wavelet analysis. Emerging Markets Finance and Trade, 54(3), 618-641.
20. Chevallier, J., & Ielpo, F. (2013). Volatility spillovers in commodity markets. Applied Economics Letters, 20(13), 1211-1227.
21. Christiansen, C. (2007). Volatility‐spillover effects in European bond markets. European Financial Management, 13(5), 923-948.
22. Constancio, V. (2012). Contagion and the European debt crisis. Financial Stability Review, 16(2012), 109-21.
23. Das, D., Kannadhasan, M., Tiwari, A. K., & Al-Yahyaee, K. H. (2018). Has co-movement dynamics in emerging stock markets changed after global financial crisis? New evidence from wavelet analysis. Applied Economics Letters, 25(20), 1447-1453.
24. Demirgüç-Kunt, A., & Detragiache, E. (1998). Financial liberalization and financial fragility (No. 1917). World Bank Publications.
25. Dereli, A. B. (2024). Vosviewer Ile bibliyometrik analiz. Communicata, 28, 1-7.
26. Dewandaru, G., Masih, R., & Masih, M. (2017). Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis. Economic Modelling, 65, 30-40.
27. Dimitriou, D., Kenourgios, D., & Simos, T. (2013). Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach. International Review of Financial Analysis, 30, 46-56.
28. Dogan, E., Madaleno, M., Taskin, D., & Tzeremes, P. (2022). Investigating the spillovers and connectedness between green finance and renewable energy sources. Renewable Energy, 197, 709-722.
29. Duan, Y., Zhang, P., Zhang, T., Zhou, L., & Yin, R. (2023). Characterization of global research trends and prospects on platinum-resistant ovarian cancer: a bibliometric analysis. Frontiers in Oncology, 13, 1151871.
30. Esmalifalak, H., & Moradi‐Motlagh, A. (2025). Correlation networks in economics and finance: A review of methodologies and bibliometric analysis. Journal of Economic Surveys, 39(3), 1252-1286.
31. Ewing, B. T., Gormus, A., & Soytas, U. (2018). Risk transmission from oil and natural gas futures to emerging market mutual funds. Emerging Markets Finance and Trade, 54(8), 1827-1836.
32. Fernández-Rodríguez, F., Gómez-Puig, M., & Sosvilla-Rivero, S. (2015). Volatility spillovers in EMU sovereign bond markets. International Review of Economics & Finance, 39, 337-352.
33. Fostel, A., & Geanakoplos, J. (2008). Leverage cycles and the anxious economy. American Economic Review, 98(4), 1211-1244.
34. Fry-McKibbin, R., Hsiao, C. Y. L., & Tang, C. (2014). Contagion and global financial crises: Lessons from nine crisis episodes. Open Economies Review, 25(3), 521-570.
35. FTSE Russell. (2023). FTSE Equity Country Classification September 2023 Annual Announcement. FTSE International Limited. https://research.ftserussell.com/products/downloads/FTSE-Country-Classification-Update_latest.pdf
36. Gamba-Santamaria, S., Gomez-Gonzalez, J. E., Hurtado-Guarin, J. L., & Melo-Velandia, L. F. (2017). Stock market volatility spillovers: Evidence for Latin America. Finance Research Letters, 20, 207-216.
37. Ghabri, Y., Huynh, L. D. T., & Nasir, M. A. (2024). Volatility spillovers, hedging and safe‐havens under pandemics: All that glitters is not gold!. International Journal of Finance & Economics, 29(2), 1318-1344.
38. Ghosh, S. (2014). Volatility spillover in the foreign exchange market: the Indian experience. Macroeconomics and Finance in Emerging Market Economies, 7(1), 175-194.
39. Goyal, P., & Soni, P. (2025). Stock markets volatility during crises periods: a bibliometric analysis. Qualitative Research in Financial Markets, 17(1), 41-65.
40. Guo, F., Chen, C. R., & Huang, Y. S. (2011). Markets contagion during financial crisis: A regime-switching approach. International Review of Economics & Finance, 20(1), 95-109.
41. Gürbüz, S., & Şahbaz, A. (2022). Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul. Borsa Istanbul Review, 22(2), 321-331.
42. Gyamerah, S. A., Bright, E. O., & Akwaa-Sekyi, E. K. (2022). Modelling the mean and volatility spillover between green bond market and renewable energy stock market. Green Finance, 4(3), 310.
43. Hacihasanoglu, E., Simga-Mugan, F. C., & Soytas, U. (2012). Do global risk perceptions play a role in emerging market equity return volatilities?. Emerging Markets Finance and Trade, 48(4), 67-78.
44. Hemche, O., Jawadi, F., Maliki, S. B., & Cheffou, A. I. (2016). On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation–multivariate GARCH approach. Economic Modelling, 52, 292-299.
45. Jebran, K., & Iqbal, A. (2016). Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries. Financial Innovation, 2(1), 3.
46. Ji, X., Wang, S., Xiao, H., Bu, N., & Lin, X. (2022). Contagion effect of financial markets in crisis: an analysis based on the DCC–MGARCH model. Mathematics, 10(11), 1819.
47. Joshi, P. (2011). Return and volatility spillovers among Asian stock markets. Sage Open, 1(1), 2158244011413474.
48. Kakran, S., Sidhu, A., Bajaj, P. K., & Dagar, V. (2023). Novel evidence from APEC countries on stock market integration and volatility spillover: A Diebold and Yilmaz approach. Cogent Economics & Finance, 11(2), 2254560.
49. Kang, S. H., & Lee, J. W. (2019). The network connectedness of volatility spillovers across global futures markets. Physica A: Statistical Mechanics and its Applications, 526, 120756.
50. Kenourgios, D., & Dimitriou, D. (2015). Contagion of the Global Financial Crisis and the real economy: A regional analysis. Economic Modelling, 44, 283-293.
51. Khalfaoui, R., Sarwar, S., & Tiwari, A. K. (2019). Analysing volatility spillover between the oil market and the stock market in oil-importing and oil-exporting countries: Implications on portfolio management. Resources Policy, 62, 22-32.
52. Khan, N., Siddiqui, O., Yaya, O. S., & Vo, X. V. (2025). Ripple Effects of the US-China Tension on Asian Emerging and Frontier Markets with Portfolio Implications. Studies in Nonlinear Dynamics & Econometrics, (0).
53. Khan, S., & Park, K. W. K. (2009). Contagion in the stock markets: The Asian financial crisis revisited. Journal of Asian Economics, 20(5), 561-569.
54. Lamine, A., Jeribi, A., & Fakhfakh, T. (2024). Spillovers between cryptocurrencies, gold and stock markets: implication for hedging strategies and portfolio diversification under the COVID-19 pandemic. Journal of Economics, Finance and Administrative Science, 29(57), 21-41.
55. Lancho Barrantes, B. S. (2025). Academic perspectives on bibliometrics in a leading UK research university. Education for Information, 41(2), 88-106.
56. 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.
57. Lin, B., & Li, J. (2015). The spillover effects across natural gas and oil markets: Based on the VEC–MGARCH framework. Applied Energy, 155, 229-241.
58. Liu, T., & Gong, X. (2020). Analyzing time-varying volatility spillovers between the crude oil markets using a new method. Energy Economics, 87, 104711.
59. Mensi, W., Aslan, A., Vo, X. V., & Kang, S. H. (2023). Time-frequency spillovers and connectedness between precious metals, oil futures and financial markets: Hedge and safe haven implications. International Review of Economics & Finance, 83, 219-232.
60. Mink, M., & De Haan, J. (2013). Contagion during the Greek sovereign debt crisis. Journal of International Money and Finance, 34, 102-113.
61. Molina-Muñoz, J., Mora-Valencia, A., & Perote, J. (2025). Dynamic volatility spillovers among commodities, bitcoin, and emerging markets. Emerging Markets Review, 101375.
62. Moral-Muñoz, J. A., Herrera-Viedma, E., Santisteban-Espejo, A., & Cobo, M. J. (2020). Software tools for conducting bibliometric analysis in science: An up-to-date review. Profesional de la Información, 29(1), 4.
63. MSCI. (2023). MSCI market classification framework. MSCI Inc. https://www.msci.com/documents/1296102/e7613c4f-f16c-b039-f69a-fbdaafed579f
64. Naldi, S., Maulina, E., & Herawaty, T. (2022). Digital Marketing at SMEs by Bibliometric Analisys. International Journal of Entrepreneurship and Business Development, 5(4), 682-698.
65. Nazlioglu, S., Erdem, C., & Soytas, U. (2013). Volatility spillover between oil and agricultural commodity markets. Energy economics, 36, 658-665.
66. Obstfeld, M., Shambaugh, J. C., & Taylor, A. M. (2005). The trilemma in history: tradeoffs among exchange rates, monetary policies, and capital mobility. Review of Economics and Statistics, 87(3), 423-438.
67. O'Sullivan, C., & Papavassiliou, V. G. (2025). A high-frequency analysis of return and volatility spillovers in the European sovereign bond market. The European Journal of Finance, 31(9), 1115-1140.
68. Panda, A. K., Nanda, S., & Paital, R. R. (2019). An empirical analysis of stock market interdependence and volatility spillover in the stock markets of Africa and Middle East region. African Journal of Economic and Management Studies, 10(3), 314-335.
69. Pätäri, E., Ahmed, S., John, E., & Karell, V. (2019). The changing role of emerging and frontier markets in global portfolio diversification. Cogent Economics & Finance, 7(1), 1701910.
70. Patel, R. (2025). Analyzing the energy markets and financial markets linkage: A bibliometric analysis and future research agenda. Review of Financial Economics, 43(1), 23-61.
71. Polat, O. (2022). On systemic risk contagion in the euro area: Evidence from frequency connectedness and the DY approaches. Borsa Istanbul Review, 22(3), 441-451.
72. Purnell, P. J. (2022). The prevalence and impact of university affiliation discrepancies between four bibliographic databases—Scopus, Web of Science, Dimensions, and Microsoft Academic. Quantitative Science Studies, 3(1), 99-121.
73. Rajhans, R. K., & Jain, A. (2015). Volatility spillover in foreign exchange markets. Paradigm, 19(2), 137-151.
74. Salisu, A. A., Oyewole, O. J., & Fasanya, I. O. (2018). Modelling return and volatility spillovers in global foreign exchange markets. Journal of Information and Optimization Sciences, 39(7), 1417-1448.
75. Samarakoon, L. P. (2011). Stock market interdependence, contagion, and the US financial crisis: The case of emerging and frontier markets. Journal of International Financial Markets, Institutions and Money, 21(5), 724-742.
76. Schularick, M., & Taylor, A. M. (2012). Credit booms gone bust: monetary policy, leverage cycles, and financial crises, 1870–2008. American Economic Review, 102(2), 1029-1061.
77. Shen, Y. (2018). International risk transmission of stock market movements. Economic Modelling, 69, 220-236.
78. Sojli, E. (2007). Contagion in emerging markets: the Russian crisis. Applied Financial Economics, 17(3), 197-213.
79. Su, F., Zhai, L., Zhou, Y., Zhuang, Z., & Wang, F. (2024). Risk contagion in financial markets: A systematic review using bibliometric methods. Australian Economic Papers, 63(1), 163-199.
80. Supriani, I., & Mubarrok, U. S. (2023). Islamic economics, banking, and finance literature bibliometrics approach: Guideline for journal databases. Review of Islamic Social Finance and Entrepreneurship, 2(1), 29-44.
81. Syllignakis, M. N., & Kouretas, G. P. (2011). Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets. International Review of Economics & Finance, 20(4), 717-732.
82. Theodossiou, P., & Lee, U. (1993). Mean and volatility spillovers across major national stock markets: Further empirical evidence. Journal of Financial Research, 16(4), 337-350.
83. Tsai, I. C. (2014). Spillover of fear: Evidence from the stock markets of five developed countries. International Review of Financial Analysis, 33, 281-288.
84. Umar, Z., Manel, Y., Riaz, Y., & Gubareva, M. (2021). Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis. Pacific-Basin Finance Journal, 67, 101563.
85. Umar, Z., Polat, O., Choi, S. Y., & Teplova, T. (2022). The impact of the Russia-Ukraine conflict on the connectedness of financial markets. Finance Research Letters, 48, 102976.
86. Uribe, M., & Yue, V. Z. (2006). Country spreads and emerging countries: Who drives whom?. Journal of international Economics, 69(1), 6-36.
87. Van Eck, N., & Waltman, L. (2010). Software survey: VOSviewer, a computer program for bibliometric mapping. Scientometrics, 84(2), 523-538.
88. Vo, X. V., & Tran, T. T. A. (2020). Modelling volatility spillovers from the US equity market to ASEAN stock markets. Pacific-Basin Finance Journal, 59, 101246.
89. Wang, M., & Liu, J. (2025). Twin commodity shocks: A multi-to-one CoVaR analysis of systemic risk spillovers from gold and crude oil to emerging market currencies. Journal of Commodity Markets, 100500.
90. Wang, Q., Wei, Y., Wang, Y., & Liu, Y. (2022). On the Safe‐Haven ability of bitcoin, gold, and commodities for international stock markets: evidence from spillover index analysis. Discrete Dynamics in Nature and Society, 2022(1), 9520486.
91. Wang, Y., Pan, Z., & Wu, C. (2018). Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model. Journal of Forecasting, 37(3), 385-400.
92. 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.
93. Yarovaya, L., Brzeszczyński, J., Goodell, J. W., Lucey, B., & Lau, C. K. M. (2022). Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic. Journal of International Financial Markets, Institutions and Money, 79, 101589.
94. Yenice, A. C., Ozdemir, M., & Koc, A. (2022). Looking at the ‘Big Picture’in Islamic Economics and Finance Literature A Bibliometric Analysis of WoS Indexed Documents. Turkish Journal of Islamic Economics, 9(1).
95. Zhong, Y., & Liu, J. (2021). Correlations and volatility spillovers between China and Southeast Asian stock markets. The Quarterly Review of Economics and Finance, 81, 57-69.
96. Zhou, W., Gu, Q., & Chen, J. (2021). From volatility spillover to risk spread: An empirical study focuses on renewable energy markets. Renewable Energy, 180, 329-342.
97. Zupic, I., & Čater, T. (2015). Bibliometric methods in management and organization. Organizational Research Methods, 18(3), 429-472.