An Analysis of the Stock Market Volatility Spread in Emerging Countries
This 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 fro...
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| Format: | Article |
| Language: | English |
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Istanbul University Press
2021-11-01
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| Series: | Istanbul Business Research |
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| Online Access: | https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/F587FA0241D641B0B8E1E5412A649F10 |
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| author | Murat Akkaya |
| author_facet | Murat Akkaya |
| author_sort | Murat Akkaya |
| collection | DOAJ |
| description | This 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. |
| format | Article |
| id | doaj-art-ea1c0217489f4f48a377b5ed103a3473 |
| institution | DOAJ |
| issn | 2630-5488 |
| language | English |
| publishDate | 2021-11-01 |
| publisher | Istanbul University Press |
| record_format | Article |
| series | Istanbul Business Research |
| spelling | doaj-art-ea1c0217489f4f48a377b5ed103a34732025-08-20T03:11:22ZengIstanbul University PressIstanbul Business Research2630-54882021-11-0150221523310.26650/ibr.2021.50.861135123456An Analysis of the Stock Market Volatility Spread in Emerging CountriesMurat Akkaya0https://orcid.org/0000-0002-7071-8662İstanbul Arel Üniversitesi, Istanbul, TurkiyeThis 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.https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/F587FA0241D641B0B8E1E5412A649F10volatilitycontagionstock markete-garchemerging countries |
| spellingShingle | Murat Akkaya An Analysis of the Stock Market Volatility Spread in Emerging Countries Istanbul Business Research volatility contagion stock market e-garch emerging countries |
| title | An Analysis of the Stock Market Volatility Spread in Emerging Countries |
| title_full | An Analysis of the Stock Market Volatility Spread in Emerging Countries |
| title_fullStr | An Analysis of the Stock Market Volatility Spread in Emerging Countries |
| title_full_unstemmed | An Analysis of the Stock Market Volatility Spread in Emerging Countries |
| title_short | An Analysis of the Stock Market Volatility Spread in Emerging Countries |
| title_sort | analysis of the stock market volatility spread in emerging countries |
| topic | volatility contagion stock market e-garch emerging countries |
| url | https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/F587FA0241D641B0B8E1E5412A649F10 |
| work_keys_str_mv | AT muratakkaya ananalysisofthestockmarketvolatilityspreadinemergingcountries AT muratakkaya analysisofthestockmarketvolatilityspreadinemergingcountries |