Dynamic Volatility Spillover Among Emerging EAGLE Markets

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dc.contributor.authorBozma, Gürkan
dc.contributor.authorİmamoğlu, İlyas Kays
dc.contributor.authorKünü, Serkan
dc.date.accessioned2024-10-04T19:05:18Z
dc.date.available2024-10-04T19:05:18Z
dc.date.issued2023
dc.departmentBayburt Üniversitesien_US
dc.description.abstractThe aim of this study is to investigate the volatility spillover between EAGLE stock market indices using the method proposed by Diebold and Yilmaz (2009, 2012). To achieve this aim, EAGLE stock market data was collected from the DataStream database for the period from 2005 to 2019. The Granger causality test was applied using the VAR model, and it was found that there are various causality relationships between countries. The findings indicate that, while the total volatility spillover index was approximately 10% in 2005, it nearly tripled during the financial crisis. The US debt crisis and the economic contraction in the Eurozone caused the total volatility spillover index to reach its maximum level of approximately 40%, and it continued to decrease until 2019. Turkey, Brazil, India, and Indonesia were found to be the net receivers of volatility, while China, Russia, and Mexico were identified as the net transmitters of volatility.en_US
dc.identifier.endpage336en_US
dc.identifier.issn1306-2174
dc.identifier.issn1306-3553
dc.identifier.issue2en_US
dc.identifier.startpage316en_US
dc.identifier.trdizinid1216837en_US
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1216837
dc.identifier.urihttp://hdl.handle.net/20.500.12403/4314
dc.identifier.volume19en_US
dc.indekslendigikaynakTR-Dizinen_US
dc.language.isoenen_US
dc.relation.ispartofEkonomik ve Sosyal Araştırmalar Dergisien_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectEAGLE marketen_US
dc.subjectVolatility spilloveren_US
dc.subjectMarket linkageen_US
dc.subjectVARen_US
dc.subjectBRICMITen_US
dc.titleDynamic Volatility Spillover Among Emerging EAGLE Marketsen_US
dc.typeArticleen_US

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