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.accessioned2026-02-28T11:58:40Z
dc.date.available2026-02-28T11:58:40Z
dc.date.issued2023
dc.departmentBayburt Üniversitesi
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.
dc.identifier.endpage336
dc.identifier.issn1306-2174
dc.identifier.issn1306-3553
dc.identifier.issue2
dc.identifier.startpage316
dc.identifier.trdizinid1216837
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1216837
dc.identifier.urihttps://hdl.handle.net/20.500.12403/5680
dc.identifier.volume19
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofEkonomik ve Sosyal Araştırmalar Dergisi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_TR-Dizin_20260218
dc.subjectVAR
dc.subjectVolatility spillover
dc.subjectEAGLE market
dc.subjectMarket linkage
dc.subjectBRICMIT
dc.titleDynamic Volatility Spillover Among Emerging EAGLE Markets
dc.typeArticle

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