Dynamic Volatility Spillover Among Emerging Eagle Markets

Authors : Gürkan Bozma, Ilyas Kays Imamoğlu, Serkan Künü

Pages : 316-336

View : 47 | Download : 63

Publication Date : 2023-12-29

Article Type : Research Paper

Abstract :This study aims to reveal the volatility spillover between EAGLE stock market indices using the method proposed by Diebold and Yilmaz (2009, 2012). For this purpose, EAGLE stock market data was collected from the DataStream database from 2005 to 2019. Due to the use of the VAR model, the Granger causality test was firstly performed, and it was determined that there are various causality relationships between countries. According to the findings, while the total volatility spillover index was around 10% in 2005, it nearly tripled during the financial crisis. The US debt crisis and the economic contraction in the Eurozone increased the total volatility spillover index to its maximum level of approximately 40% and continued to decrease until 2019. Turkey, Brazil, India, and Indonesia were determined as the net receiver volatility, and China, Russia, and Mexico were identified as the volatility of the net transmitter.
Keywords : EAGLE Piyasaları, Oynaklık Geçişkenliği, Piyasa İlişkisi