Akademik Veri Yönetim Sistemi
ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, sa.3, ss.597-613, 2019 (ESCI)
In this study, volatility spillovers analyzed between Istanbul Stock Market Index (BIST-100) and JP Morgan Emerging Markets Bond Index - Index Global (EMBI), Dow Jones Global Indexes (DJI), American Dollar Index (DXY), Chicago Board Options Exchange SPX Volatility Index (VIX) and Brent Oil (BrP) representing crude oil prices. The data are the daily return series in the period of 30.09.2009-05.07. 2018 and as an econometric model, DCC-GARCH model employed which takes into account the time-varying correlation of the multivariate GARCH (Generalized Autoregressive Conditional Heteroscedastic). Empirical results show that volatility has persistent features and there exists high volatility clustering in BIST-100 and in variables that are included in the study as global financial market indicators. While Crude oil (BrP) and EMBI volatility leads to reduce BIST-100 index volatility, other variables volatilities raise volatility in BIST-100 index. Furthermore, DXY volatility is the most significant variable on the volatility of BIST-100 index.