{"id":4861,"date":"2020-01-22T23:03:47","date_gmt":"2020-01-22T20:03:47","guid":{"rendered":"https:\/\/www.berjournal.com\/?p=4861"},"modified":"2020-01-24T18:14:50","modified_gmt":"2020-01-24T15:14:50","slug":"volatility-spillover-between-uncertainty-in-financial-and-commodity-markets-and-turkish-stock-market","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/volatility-spillover-between-uncertainty-in-financial-and-commodity-markets-and-turkish-stock-market","title":{"rendered":"Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market"},"content":{"rendered":"

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Makale Bilgileri<\/td>\n<\/tr>\n
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Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nVolatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nBar\u0131\u015f Kocaarslan<\/td>\n<\/tr>\n
Cilt:<\/td>\n11<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n1<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2020<\/td>\n<\/tr>\n
Sayfa:<\/td>\n119-129<\/td>\n<\/tr>\n
ISSN:<\/td>\n2619-9491<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2020.239<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
The aim of this study is to investigate risk spillovers between uncertainty about financial and commodity markets and Turkish stock market by using a causality-in-variance test. To this end, we use implied volatility indexes (the implied volatility of the gold, oil, stock, and currency prices from options markets) and Morgan Stanley Capital International (MSCI) Turkish stock market index. The volatility model estimates demonstrate that implied volatilities and Turkish stock market index are strongly influenced by long-run volatility. The causality-in-variance test results provide evidence of a significant one-way volatility spillover effect from uncertainty in financial and commodity markets to the Turkish stock market. The results suggest that Turkish stock market returns are highly sensitive to uncertainty shocks in global markets, and hence this high-sensitivity reduces the attractiveness of investments in the Turkish market. Our findings present important implications for the implementation of sound economic policies and for the formation of optimal portfolios.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nImplied Volatility, Uncertainty, Causality-in-Variance, Volatility Spillover, Turkish Stock Market<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nC58, G15<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n
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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market Yazar(lar): Bar\u0131\u015f Kocaarslan Cilt: 11 Say\u0131: 1 Y\u0131l: 2020 Sayfa: 119-129 ISSN: 2619-9491 DOI Numaras\u0131: 10.20409\/berj.2020.239 \u00d6z The aim of this study is to investigate risk spillovers between uncertainty about financial and […]<\/p>\n

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