The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises

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dc.authoridBajo-Rubio, Oscar/0000-0003-2728-312X
dc.contributor.authorBajo-Rubio, Oscar
dc.contributor.authorBerke, Burcu
dc.contributor.authorMcMillan, David
dc.date.accessioned2024-11-07T13:32:46Z
dc.date.available2024-11-07T13:32:46Z
dc.date.issued2017
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractThis 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.
dc.description.sponsorshipTubitak [2219]; Tubitak
dc.description.sponsorshipThis paper is based on Burcu Berke's Tubitak 2219 Project. Therefore, this author thanks Tubitak for its support.
dc.identifier.doi10.1016/j.ribaf.2017.04.003
dc.identifier.endpage589
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.scopus2-s2.0-85033234049
dc.identifier.scopusqualityQ1
dc.identifier.startpage577
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2017.04.003
dc.identifier.urihttps://hdl.handle.net/11480/15601
dc.identifier.volume41
dc.identifier.wosWOS:000416970200046
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier Science Bv
dc.relation.ispartofResearch in International Business and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241106
dc.subjectSpillovers
dc.subjectExchange rates
dc.subjectStock returns
dc.subjectVolatility
dc.subjectCommodity markets
dc.subjectTurkey
dc.titleThe behaviour of asset return and volatility spillovers in Turkey: A tale of two crises
dc.typeArticle

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