The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises
Küçük Resim Yok
Tarih
2017
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science Bv
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This paper examines return and volatility spillovers between the Turkish stock market with international stock, exchange rate and commodity markets. Our aim is not only to examine spillover behaviour with a large emerging market but also to examine cross-asset spillovers and how they vary across two periods of financial market crisis; the dotcom crash and the liquidity-induced financial crisis. This is to be compared with existing work that typically focuses on industrialised countries or single asset markets only. Using the spillover index methodology we uncover an interesting distinction between these two periods of markets stress. Over the dotcom period spillovers are largely between the same asset class, notably two exchange rate series and two international stock markets series. However, in the period including the financial crisis, spillovers both increase and cross asset types and suggest a much greater degree of market interdependence. Understanding this changing nature in spillovers is key for investors, regulators and academics involved in theoretical model development.
Açıklama
Anahtar Kelimeler
Spillovers, Exchange rates, Stock returns, Volatility, Commodity markets, Turkey
Kaynak
Research in International Business and Finance
WoS Q Değeri
N/A
Scopus Q Değeri
Q1
Cilt
41
