CONTAGION EFFECT IN THE BIST STOCK MARKET

Authors : Osman Emre Arli, Berkan Ataş

Pages : 112-126

Doi:10.52122/nisantasisbd.1347687

View : 67 | Download : 109

Publication Date : 2023-10-20

Article Type : Research Paper

Abstract :The contagion effect refers to the transfer of price fluctuations from one market to others. In periods of turmoil, the relationship between various asset markets can result in substantial risks of contagion that go further the typical risks connected with changes in volatility and correlation. This can occur through various channels, such as the spread of shocks caused by transformations in the statistical relationships on asset returns, including changes in the relationship between average yields and volatility across different markets. This paper analyses the contagion of the BIST stock market on the volatility of gold, foreign exchange, and crude oil markets during the Covid-19 period. The correlation, coskewness, cocurtosis, covolatility test applied to measure the volatility contagion. The result shows contagions among the mentioned markets through higher moments. Our results are essential for asset management and developing preventive measures for financial stability.
Keywords : Bulaşma etkisi, Eşçarpıklık, Covid 19