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Analysis Of Volatility Spillover Between Turkey Exchange And Developed And Developing Country Exchanges

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  • Süreyya Ä°MRE

    (Ä°stanbul GeliÅŸim Ãœniversitesi)

Abstract

The volatility spread between the Turkish Stock Exchange and the stock markets of developed and developing countries was investigated using daily data from 24.03.2015-21.04.2021 in order to determine the power of international stock exchanges to influence each other. In the analysis, DCC-GARCH model evaluated in the multivariate GARCH models class was used. According to the findings, no mutual volatility spillover was found between BIST100 volatility and IDX and MOEX volatility. One-way volatility spillover was found between BIST100 and NSE30, CAC40, DAX, while bidirectional volatility spillover was found between BIST100 and DJIA and NIFTY50 exchanges.

Suggested Citation

  • Süreyya Ä°MRE, 2021. "Analysis Of Volatility Spillover Between Turkey Exchange And Developed And Developing Country Exchanges," Eurasian Eononometrics, Statistics and Emprical Economics Journal, Eurasian Academy Of Sciences, vol. 19(19), pages 52-66, February.
    • Handle: RePEc:eas:econst:v:19:y:2021:i:19:p:52-66
    DOI: 10.17740/eas.stat.2021-V19-05
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