Title: BİST 30 endeksi ve uluslararası hisse senedi piyasaları arasındaki volatilite etkileşiminin çok değişkenli stokastik volatilite modeli ile araştırılması.
Authors: Mutlu, Salih; Aktaş, Rabia; Kayalıdere, Koray
Abstract: The globalization of markets increases the integration between markets, and as a result, high volatility interactions can be observed among these markets. Analyzing the volatility interactions of markets impacts investors' decisions regarding portfolio approach. This study aims to investigate the volatility interactions between the Turkish stock market and international stock markets. The BIST 30 Index and the stock indices of 7 countries (USA, UK, Germany, France, China, Brazil and Greece) are analyzed using a multivariate stochastic volatility model. As a result of the study, only volatility spillovers from the US and Chinese markets to the Turkish stock market were found. There is no transmission from the Turkish stock market to any analysed markets.
Subjects: FINANCIAL markets; STOCK price indexes; INVESTORS; INTERNATIONAL markets; EXPORT marketing; VOLATILITY (Securities); MARKET volatility
Publication: Business & Management Studies: An International Journal (BMIJ), 2023, Vol 11, Issue 4, p1321
ISSN: 2148-2586
Publication type: Academic Journal
DOI: 10.15295/bmij.v11i4.2324

BİST 30 endeksi ve uluslararası hisse senedi piyasaları arasındaki volatilite etkileşiminin çok değişkenli stokastik volatilite modeli ile araştırılması.

Mutlu, Salih; Aktaş, Rabia; Kayalıdere, Koray