Arbeitspapier
Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil
This study investigates volatility spillovers between two stock markets, Turkish and Brazilian, located in different regions of the world. Using a misspecification robust causality-in-variance test, we found strong evidence supporting volatility spillovers from Istanbul Stock Exchange (ISE) to São Paulo Stock Exchange (BOVESPA). The results imply that financial crises may change the size and the direction of volatility spillovers between markets.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper ; No. 2010/8
- Classification
-
Wirtschaft
- Subject
-
Causalit-in-variance
volatility spiiovers
emerging markets
Turkey
Brazil
Börsenkurs
Volatilität
Spillover-Effekt
Kausalanalyse
Schwellenländer
Brasilien
Türkei
- Event
-
Geistige Schöpfung
- (who)
-
Tasdemir, Murat
Yalama, Abdullah
- Event
-
Veröffentlichung
- (who)
-
Turkish Economic Association
- (where)
-
Ankara
- (when)
-
2010
- Handle
- Last update
- 10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Tasdemir, Murat
- Yalama, Abdullah
- Turkish Economic Association
Time of origin
- 2010
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