RETURN AND VOLATILITY SPILLOVERS AMONG THE SHARE MARKETS OF EMERGING ECONOMIES: AN ANALYSIS FROM 2006 TO 2015 YEARS


Gursoy S., Eroglu O.

JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY, cilt.3, sa.5, ss.16-33, 2016 (ESCI İndekslerine Giren Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 3 Konu: 5
  • Basım Tarihi: 2016
  • Dergi Adı: JOURNAL OF MEHMET AKIF ERSOY UNIVERSITY ECONOMICS AND ADMINISTRATIVE SCIENCES FACULTY
  • Sayfa Sayıları: ss.16-33

Özet

The aim of this study is to analyze whether there is an interaction among five stock markets in the countries which were grouped as the fragile-five. Therefore, it has been tried to investigate return and volatility spillovers among these five stock markets by means of the multivariate E-GARCH model. The study includes daily stockclosing prices in years from 2006 to 2015. Generally, these five countries have been counted among the developing countries and it seems there has been return and volatility spillovers among them in most studies. In this study, only these five stock markets have been included and it seems that the results do not match with the results of previous researches completely. It is concluded that the effect is not so strong although it seems there is an interaction among the markets. On the other hand, it has been observed that there is a strong effect only in two terms among these five stock markets. The first one is that there is a volatility spillover from India share market to the other four markets. The second one is that there is a return spillover from all four markets to Indonesia share markets. Therefore, it is difficult to make a generalization except these two spreads. As a result of this study, it is observed that the return and volatility spillovers do not include all the four countries in terms of each condition although there is a significant relationship among the five stock markets of the countries which were grouped as the fragile five.