Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey

Aykut KARAK, (Samsun Üniversitesi, İktisadi İdari ve Sosyal Bilimler Fakültesi, Uluslararası Ticaret ve İşletmecilik Bölümü, Samsun, Türkiye)
Melih KUTLU (Recep Tayyip Erdoğan Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Rize, Türkiye)
Ege Akademik Bakış
2 2
Yıl: 2023 Cilt: 23 Sayı: 2 Sayfa Aralığı: 297 - 314 Metin Dili: İngilizce DOI: 10.21121/eab.855864 İndeks Tarihi: 11-07-2023

Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey

Öz:
In this study to analyze the asymmetric volatility spillovers. We study in the stock and bond markets in Borsa Istanbul. The research covers 2003-2019. Financial crises have increased the importance of the transition between the stock and bond market. Apart from the full period, the 2008 financial crisis period examines separately in order to see the effects of the spillovers during the crisis period. First, asymmetric volatility tests with the sign bias test. Then, whether the stock and bond market volatility is asymmetric, investigate with the GJR-GARCH model. Finally, asymmetric volatility between the two markets test with the VARMA-AGARCH model. According to the asymmetric volatility test results, negative volatility asymmetry exists in the bond market in full period. Asymmetric volatility is positive in both market in the crisis time. Return spillovers from the stock market to bond market in full period. It is opposite direction during the crisis period. We have found volatility spillovers bidirectional among the stock market and the bond market. However, during the global crisis period, volatility spillover is bidirectional from the stock market to the bond market.
Anahtar Kelime: Asymmetric Volatility Spillovers Borsa Istanbul VARMA-AGARCH

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA KARAKAYA A, KUTLU M (2023). Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. , 297 - 314. 10.21121/eab.855864
Chicago KARAKAYA AYKUT,KUTLU MELIH Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. (2023): 297 - 314. 10.21121/eab.855864
MLA KARAKAYA AYKUT,KUTLU MELIH Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. , 2023, ss.297 - 314. 10.21121/eab.855864
AMA KARAKAYA A,KUTLU M Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. . 2023; 297 - 314. 10.21121/eab.855864
Vancouver KARAKAYA A,KUTLU M Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. . 2023; 297 - 314. 10.21121/eab.855864
IEEE KARAKAYA A,KUTLU M "Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey." , ss.297 - 314, 2023. 10.21121/eab.855864
ISNAD KARAKAYA, AYKUT - KUTLU, MELIH. "Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey". (2023), 297-314. https://doi.org/10.21121/eab.855864
APA KARAKAYA A, KUTLU M (2023). Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. Ege Akademik Bakış, 23(2), 297 - 314. 10.21121/eab.855864
Chicago KARAKAYA AYKUT,KUTLU MELIH Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. Ege Akademik Bakış 23, no.2 (2023): 297 - 314. 10.21121/eab.855864
MLA KARAKAYA AYKUT,KUTLU MELIH Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. Ege Akademik Bakış, vol.23, no.2, 2023, ss.297 - 314. 10.21121/eab.855864
AMA KARAKAYA A,KUTLU M Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. Ege Akademik Bakış. 2023; 23(2): 297 - 314. 10.21121/eab.855864
Vancouver KARAKAYA A,KUTLU M Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. Ege Akademik Bakış. 2023; 23(2): 297 - 314. 10.21121/eab.855864
IEEE KARAKAYA A,KUTLU M "Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey." Ege Akademik Bakış, 23, ss.297 - 314, 2023. 10.21121/eab.855864
ISNAD KARAKAYA, AYKUT - KUTLU, MELIH. "Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey". Ege Akademik Bakış 23/2 (2023), 297-314. https://doi.org/10.21121/eab.855864
Sayfa Oluşturulma Tarihi
24-04-2024 7:13

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