TY  - JOUR
TI  - ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL
AB  - Due to technological advances,stocks and commodity markets havebecome single market. There is a highdegree of volatility among the stockmarkets especially opening in the sameperiod. In this study, the volatility between Turkey,Romania, Poland, Hungary and Ukrainian stockmarket is examined by using the VAR (1) M-GARCHmodel. Before applying the VAR (1)-M-GARCHmodel, it is tried to determine by using the JohansenCointegration method based on the maximumlikelihood method whether there is a long-runrelationship between stock exchanges. A long-runrelationship is determined among the stock marketaccording to the Johansen Cointegration test. Thevolatility of stock exchange volatility is examined byVAR (1) -M-GARCH-BEKK model. As a result ofthe findings, the conditional variance of the Turkey(BIST-100) is affected by its own short-run shocksand long-run volatility as well as the short-run shocksand the long-run volatility that have occurred in thePoland and Hungary stock markets. In addition, theconditional variance of the Turkey (BIST-100) isaffected by the long-run volatility of the Romanianstock market.
AU  - Başar, Selim
AU  - Bozma, Gürkan
PY  - 2018
JO  - Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
VL  - 36
IS  - 4
SN  - 1301-8752
SP  - 1
EP  - 16
DB  - TRDizin
UR  - http://search/yayin/detay/298606
ER  -