Determination of Volatility Spillover Effect Between Exchange Rates and BIST Tourism Index Returns

Article Information
Journal: Business and Economics Research Journal
Title of Article: Determination of Volatility Spillover Effect Between Exchange Rates and BIST Tourism Index Returns
Author(s): Serdar Yaman, Turhan Korkmaz
Volume: 11
Number: 3
Year: 2020
Page: 681-702
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.277
Abstract
The purpose of this study is to determine the volatility spillover effects between exchange rates and BİST Tourism Index (XTRZM) returns by using econometric methods. In this concept, the volatility spillover between USD, EUR, JPY, and GBP as highly convertible currencies and RUB, the currency of Russia which is a country that sends large amounts of tourists to Turkey, and BIST XTRZM returns has been analyzed by Diagonal VECH-GARCH method which is one of the multivariate GARCH models. The findings show that volatility has constant effects on XTRZM and exchange rates and volatility clusters are formed. According to the results of Diagonal VECH-GARCH model, statistically significant volatility spillover effects between USD/TRY, EUR/TRY, GBP/TRY and RUB/TRY exchange rates and XTRZM Index returns have been determined. According to the results of the analysis, there is no statistically significant volatility spillover effect between JPY/TRY and XTRZM Index returns. The findings of the study indicate that volatility in XTRZM index returns increased especially during periods of volatility in exchange rates.

Keywords: Exchange Rates, BIST Tourism Index, Volatility Spillover, Multi-GARCH Models

JEL Classification: C58, F31, G10

https://www.berjournal.com/wp-content/plugins/downloads-manager/img/icons/pdf.gif Full Text

Halfera