We found a match
Your institution may have rights to this item. Sign in to continue.
- Title
Gelişmekte Olan Ülkelerde Getiri ve Volatilite Yayılımı: NIMPT Ülkelerinde VAR-EGARCH Uygulaması.
- Authors
ÇELİK, İsmail; ÖZDEMİR, Arife; DEMİR GÜLBAHAR, Semra
- Abstract
In this study, the returns and volatility spreads between the markets of Nigeria, Indonesia, Mexico, Philippines and Turkey referred to as NIMPT by Euromonitor International, are examined by VAR-EGARCH model. We have used the day-end data in the period of 28.01.2013- 26.01.2017. As a result, we have observed that the level of correlation between NIMPT countries was low and this is in line with international portfolio diversification. Indonesia, Mexico, Nigeria, the Philippines and Turkey have not achieved superiority over the other in terms of useful information and market activity. Similar to the spread of returns, we have understood that information shocks spread asymmetrically across countries, and statistically significant parts of them. Finally, we have determined that negative information shocks are more prevalent in all stock markets except the Nigerian stock exchange, that the negative information reaching the market leads to more volatility than positive information on the market, and that the two countries with the highest leverage effect are Turkey and Mexico.
- Publication
Journal of Financial Politic & Economic Reviews / Finans Politik & Ekonomik Yorumlar, 2018, Vol 55, Issue 636, p9
- ISSN
1307-7112
- Publication type
Article