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dc.contributor.authorAkkaya, Muraten_US
dc.date.accessioned2022-02-21T12:53:18Z
dc.date.available2022-02-21T12:53:18Z
dc.date.issued2021en_US
dc.identifier.citationAKKAYA M (2021). An Analysis of the Stock Market Volatility Spread in Emerging Countries. Istanbul business research, 50(2), 215 - 233. Doi: 10.26650/ibr.2021.50.861135en_US
dc.identifier.issn2630-5488
dc.identifier.urihttps://doi.org/10.26650/ibr.2021.50.861135
dc.identifier.urihttps://hdl.handle.net/20.500.12294/2983
dc.description.abstractThis article provides results on the volatility spread for stock markets in emerging economies. Empirical studies on determining or predicting volatility in national and international financial markets provide information for investors. The aim of this study is also to analyze volatility spreads from the United States of America, France, Germany, Japan Turkey, China, India, Indonesia from emerging markets within the scope of EGARCH models, which take into account the asymmetric effects using daily stock returns for the period of January 2008 - April 2020. The a symmetric effect parameter (λ or μt-i/ht-1) appears to be negative and statistically significant at 1% for all countries, except the Shanghai Composite Stock Exchange, China. This result shows that the asymmetric effect, or the leverage effect in other words, is valid in stock markets other than China. The volatility spreads from the Dow Jones Industrial Average Index – USA to Borsa Istanbul and the Shanghai Stock Exchange – China. Also, the S & P 500 Index – USA is significant on the volatility spread of the Borsa Istanbul and Shanghai Stock Exchange. The volatility spread between Jakarta Stock Exchange - Indonesia and Borsa Istanbul is two-way and mutual.en_US
dc.language.isoengen_US
dc.publisherIstanbul Business Researchen_US
dc.relation.ispartofIstanbul Business Researchen_US
dc.identifier.doi10.26650/ibr.2021.50.861135en_US
dc.identifier.doi10.26650/ibr.2021.50.861135
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rightsAttribution-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nd/3.0/us/*
dc.subjectVolatilityen_US
dc.subjectContagionen_US
dc.subjectStock Marketen_US
dc.subjectE-Garchen_US
dc.subjectEmerging Countriesen_US
dc.titleAn Analysis of the Stock Market Volatility Spread in Emerging Countriesen_US
dc.typearticleen_US
dc.departmentİktisadi ve İdari Bilimler Fakültesi, Uluslararası Ticaret ve Finans Bölümüen_US
dc.authorid0000-0002-7071-8662en_US
dc.identifier.volume50en_US
dc.identifier.issue2en_US
dc.identifier.startpage215en_US
dc.identifier.endpage233en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.institutionauthorAkkaya, Muraten_US


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