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- Title
ULUSLARARASI PAY PİYASALARI ARASINDAKİ GETİRİ VE VOLATİLİTE YAYILIMI: GELİŞMİŞ ÜLKELER VE SEÇİLMİŞ GELİŞMEKTE OLAN ÜLKELER ÜZERİNE BİR İNCELEME.
- Authors
GÜRSOY, Samet; GÖVDERE, Bekir
- Abstract
Today, fund investors in developed countries are looking for low-correlated investment instruments and financial markets that would transfer their funds in terms of portfolio diversification and risk management. The rapid travel of information among financial markets causes exacerbation of fluctuations in the markets, thus causing prospective financial crises to spread other countries more quickly. In the study that attempts to determine the returns and volatility spillover between developed and developing countries, daily data for 02.01.2006-15.09.2017 period is used. According to the results of the multivariate VAR-EGARCH model mean equation, it is found that the UK and Japanese stock markets, especially the US, have a strong return spillover to all developing countries including the sample, while France and the UK are dominant over volatility spillover. On the other hand, the finding that the most affected market is the Indonesian stock market and the least affected market is the South African stock market that`s the most affected one by the mobility of the developed country's stock markets. According to the multivariate VAR-EGARCH model results established among developing countries, it is observed that there are multi-dimensional lead/lag relations among the countries in terms of return spillover. In terms of volatility spillover, there is a remarkable volatility interaction among the stock markets of the four countries excluding Turkey and it is seen that Turkey is the least affected country by the volatility flows in other countries.
- Subjects
TURKEY; UNITED Kingdom; STOCK exchanges; FINANCIAL markets; FINANCIAL crises; PORTFOLIO diversification; ELECTRONIC funds transfers
- Publication
Visionary E-Journal / Vizyoner Dergisi, 2020, Vol 11, Issue 27, p498
- ISSN
1308-9552
- Publication type
Article
- DOI
10.21076/vizyoner.660976