Spillover effect in financial markets in Turkey

Buket ALKAN, (İstanbul Gelişim Üniversitesi, İşletme Bölümü, İstanbul, Türkiye)
Serkan ÇİÇEK (Muğla Sıtkı Koçman Üniversitesi, Ekonomi ve Finans Bölümü, Muğla, Türkiye)
Central Bank Review
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Yıl: 2020 Cilt: 20 Sayı: 2 Sayfa Aralığı: 53 - 64 Metin Dili: İngilizce DOI: 10.1016/j.cbrev.2020.02.003 İndeks Tarihi: 29-06-2021

Spillover effect in financial markets in Turkey

Öz:
An increase in the return of an asset in the financial markets may cause the returns of the remainingassets to fluctuate over time because of the arbitrage conditions. This may also create a spillover orcontagion between the volatilities of the assets in the financial markets. This study aimed to capture thespillover between financial markets in the Turkish economy and to investigate the effects of globalmarkets on Turkish financial markets, since the spillover may arise from the global financial markets aswell as the domestic ones. Employing BEKK parameterization of the multivariate GARCH model between2006 and 2018, it found a strong mean spillover from global markets to domestic stock and bondmarkets, from stock and exchange markets to the bond market and from the dollar return to the stockmarket. For the volatility spillover, the results also supported strong spillover between each market pairs.These findings implied that the Turkish economy is well integrated into global markets and that afluctuation in volatility in a global or domestic market immediately spreads to other domestic markets,regardless of borders.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA ALKAN B, ÇİÇEK S (2020). Spillover effect in financial markets in Turkey. , 53 - 64. 10.1016/j.cbrev.2020.02.003
Chicago ALKAN Buket,ÇİÇEK Serkan Spillover effect in financial markets in Turkey. (2020): 53 - 64. 10.1016/j.cbrev.2020.02.003
MLA ALKAN Buket,ÇİÇEK Serkan Spillover effect in financial markets in Turkey. , 2020, ss.53 - 64. 10.1016/j.cbrev.2020.02.003
AMA ALKAN B,ÇİÇEK S Spillover effect in financial markets in Turkey. . 2020; 53 - 64. 10.1016/j.cbrev.2020.02.003
Vancouver ALKAN B,ÇİÇEK S Spillover effect in financial markets in Turkey. . 2020; 53 - 64. 10.1016/j.cbrev.2020.02.003
IEEE ALKAN B,ÇİÇEK S "Spillover effect in financial markets in Turkey." , ss.53 - 64, 2020. 10.1016/j.cbrev.2020.02.003
ISNAD ALKAN, Buket - ÇİÇEK, Serkan. "Spillover effect in financial markets in Turkey". (2020), 53-64. https://doi.org/10.1016/j.cbrev.2020.02.003
APA ALKAN B, ÇİÇEK S (2020). Spillover effect in financial markets in Turkey. Central Bank Review, 20(2), 53 - 64. 10.1016/j.cbrev.2020.02.003
Chicago ALKAN Buket,ÇİÇEK Serkan Spillover effect in financial markets in Turkey. Central Bank Review 20, no.2 (2020): 53 - 64. 10.1016/j.cbrev.2020.02.003
MLA ALKAN Buket,ÇİÇEK Serkan Spillover effect in financial markets in Turkey. Central Bank Review, vol.20, no.2, 2020, ss.53 - 64. 10.1016/j.cbrev.2020.02.003
AMA ALKAN B,ÇİÇEK S Spillover effect in financial markets in Turkey. Central Bank Review. 2020; 20(2): 53 - 64. 10.1016/j.cbrev.2020.02.003
Vancouver ALKAN B,ÇİÇEK S Spillover effect in financial markets in Turkey. Central Bank Review. 2020; 20(2): 53 - 64. 10.1016/j.cbrev.2020.02.003
IEEE ALKAN B,ÇİÇEK S "Spillover effect in financial markets in Turkey." Central Bank Review, 20, ss.53 - 64, 2020. 10.1016/j.cbrev.2020.02.003
ISNAD ALKAN, Buket - ÇİÇEK, Serkan. "Spillover effect in financial markets in Turkey". Central Bank Review 20/2 (2020), 53-64. https://doi.org/10.1016/j.cbrev.2020.02.003
Sayfa Oluşturulma Tarihi
24-04-2024 17:1

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