Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey


TAŞDEMİR M. , Yalama A.

EMERGING MARKETS FINANCE AND TRADE, cilt.50, ss.190-202, 2014 (SSCI İndekslerine Giren Dergi)

  • Cilt numarası: 50 Konu: 2
  • Basım Tarihi: 2014
  • Doi Numarası: 10.2753/ree1540-496x500211
  • Dergi Adı: EMERGING MARKETS FINANCE AND TRADE
  • Sayfa Sayısı: ss.190-202

Özet

We investigate volatility spillovers between two stock markets: Turkey and Brazil. Using a misspecification-robust causality-in-variance test, we find evidence supporting volatility spillovers from the Sao Paulo Stock Exchange to the Istanbul Stock Exchange. Moreover, the results imply that financial crises may change the nature of volatility spillovers between the two markets by adding an additional channel of volatility transmission from Turkey to Brazil.
We investigate volatility spillovers between two stock markets: Turkey and Bra-
zil. Using a misspecification-robust causality-in-variance test, we find evidence supporting
volatility spillovers from the São Paulo Stock Exchange to the Istanbul Stock Exchange.
Moreover, the results imply that financial crises may change the nature of volatility spill-
overs between the two markets by adding an additional channel of volatility transmission
from Turkey to Brazil.