Küresel Faktörlerden Uluslararası Hisse Senedi Piyasalarına Volatilite Yayılma Etkileri (Volatility Spillover Effects From Global Factors to International Stock Markets)

2019 ◽  
Author(s):  
Çiğdem Kurt Cihangir
Keyword(s):  
Stock Markets ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
International Stock Markets

Nexus between Southeast Asian stock markets, bitcoin and gold: spillover effect before and during the COVID-19 pandemic

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yosuke Kakinuma
Keyword(s):  
Southeast Asia ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Southeast Asian ◽  
Series Data ◽  
Financial Assets ◽  
Volatility Spillover ◽  
Content Type ◽  
Asset Classes

Purpose This study aims to provide empirical evidence on the return and volatility spillover effects between Southeast Asian stock markets, bitcoin and gold in the periods before and during the COVID-19 pandemic. The interdependence among different asset classes, the two leading stock markets in Southeast Asia (Singapore and Thailand), bitcoin and gold, is analyzed for diversification opportunities. Design/methodology/approach The vector autoregressive-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity model is used to capture the return and volatility spillover effects between different financial assets. The data cover the period from October 2013 to May 2021. The full period is divided into two sub-sample periods, the pre-pandemic period and the during-pandemic period, to examine whether the financial turbulence caused by COVID-19 affects the interconnectedness between the assets. Findings The stocks in Southeast Asia, bitcoin and gold become more interdependent during the pandemic. During turbulent times, the contagion effect is inevitable regardless of region and asset class. Furthermore, bitcoin does not provide protection for investors in Southeast Asia. The pricing mechanism and technology behind bitcoin are different from common stocks, yet the results indicate the co-movement of bitcoin and the Singaporean and Thai stocks during the crisis. Finally, risk-averse investors should ensure that gold constitutes a significant proportion of their portfolio, approximately 40%–55%. This strategy provides the most effective hedge against risk. Originality/value The mean return and volatility spillover is analyzed between bitcoin, gold and two preeminent stock markets in Southeast Asia. Most prior studies test the spillover effect between the same asset classes such as equities in different regions or different commodities, currencies and cryptocurrencies. Moreover, the time-series data are divided into two groups based on the structural break caused by the COVID-19 pandemic. The findings of this study offer practical implications for risk management and portfolio diversification. Diversification opportunities are becoming scarce as different financial assets witness increasing integration.

Transmission of Volatility across Asia-Pacific Stock Markets: Is There a Pattern?

2016 ◽  
Vol 6 (1) ◽  
pp. 42-54 ◽  
Author(s):  
Amarnath Mitra ◽  
Vishwanathan Iyer
Keyword(s):  
Stock Markets ◽  
Asia Pacific ◽  
Pacific Region ◽  
Volatility Spillover ◽  
Asia Pacific Region ◽  
Volatility Transmission ◽  
International Stock Markets

The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a period of 20 years, which includes both crisis (i.e., contagion form) and non-crisis periods. It also investigates whether the global transmission of volatility follows a pattern. The study contributes to the literature in two ways: (a) it provides a historical map of volatility transmission in the Asia-Pacific region and (b) it identifies the path and pattern of volatility spillover across stock markets in the Asia-Pacific region.

Volatility spillovers among G7, E7 stock markets and cryptocurrencies

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Berna Aydoğan ◽  
Gülin Vardar ◽  
Caner Taçoğlu
Keyword(s):  
Financial Market ◽  
Portfolio Management ◽  
Stock Markets ◽  
Negative Impact ◽  
Spillover Effects ◽  
Volatility Spillover ◽  
Content Type ◽  
Volatility Spillovers ◽  
Dynamic Relationship ◽  
The Stability

PurposeThe existence of long memory and persistent volatility characteristics of cryptocurrencies justifies the investigation of return and volatility/shock spillovers between traditional financial market asset classes and cryptocurrencies. The purpose of this paper is to investigate the dynamic relationship between the cryptocurrencies, namely Bitcoin and Ethereum, and stock market indices of G7 and E7 countries to analyze the return and volatility spillover patterns among these markets by means of multivariate (MGARCH) approach.Design/methodology/approachApplying the newly developed VAR-GARCH-in mean framework with the BEKK representation, the empirical results reveal that there exists an evidence of mean and volatility spillover effects among Bitcoin and Ethereum as the proxies for the cryptocurrencies, and stock markets reviewed.FindingsInterestingly, the direction of the return and volatility spillover effects is unidirectional in most E7 countries, but bidirectional relationship was found in most G7 countries. This can be explained as the presence of a strong return and volatility interaction among G7 stock markets and crypto market.Originality/valueOverall, the results of this study are of particular interest for portfolio management since it provides insights for financial market participants to make better portfolio allocation decisions. It is also increasingly important to understand the volatility transmission mechanism across these markets to provide policymakers and regulatory bodies with guidance to eliminate the negative impact of cryptocurrency's volatility on the stability of financial markets.

scholarly journals INTERRELATIONSHIPS AMONG INTERNATIONAL STOCK MARKET INDICES: EUROPE, ASIA AND THE AMERICAS

2005 ◽  
Vol 08 (05) ◽  
pp. 603-622 ◽  
Author(s):  
ADEL SHARKASI ◽  
HEATHER J. RUSKIN ◽  
MARTIN CRANE
Keyword(s):  
Hong Kong ◽  
Wavelet Transform ◽  
Stock Market ◽  
Stock Markets ◽  
Spillover Effects ◽  
Data Series ◽  
Testing Method ◽  
International Stock Markets ◽  
The Us ◽  
European Markets

In this paper, we investigate the price interdependence between seven international stock markets, namely Irish, UK, Portuguese, US, Brazilian, Japanese and Hong Kong, using a new testing method, based on the wavelet transform to reconstruct the data series, as suggested by Lee [11]. We find evidence of intra-European (Irish, UK and Portuguese) market co-movements with the US market also weakly influencing the Irish market. We also find co-movement between the US and Brazilian markets and similar intra-Asian co-movements (Japanese and Hong Kong). Finally, we conclude that the circle of impact is that of the European markets (Irish, UK and Portuguese) on both American markets (US and Brazilian), with these in turn impacting on the Asian markets (Japanese and Hong Kong) which in turn influence the European markets. In summary, we find evidence for intra-continental relationships and an increase in importance of international spillover effects since the mid 1990s, while the importance of historical transmissions has decreased since the beginning of this century.

scholarly journals THE INVESTIGATION OF VOLATILITY SPILLOVER EFFECT BETWEEN STOCK MARKETS OF TURKEY, ITALY, GREECE AND RUSSIA

2020 ◽  
Vol 8 (2) ◽  
pp. 1576-1598
Author(s):  
Murat BERBEROĞLU
Keyword(s):  
Heat Wave ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Meteor Shower ◽  
Volatility Spillover ◽  
Short Term ◽  
Volatility Spillover Effect

In this study, the volatility spillover effects in stock markets of various countries are examined. Volatility spillover effect occurs in two forms as heat wave and meteor shower in literature. From this point to these two effects were investigated in stock markets of Turkey, Italy, Russia and Greece. In the research, cointegration, ARCH-LM, VAR, and finally VAR-MGARCH analyzes were used. According to the results of the analysis, it was concluded that the volatility spillover effect is effective in all stock markets. Also, it was determined that more meteor shower hypothesis is more effective when the time was extended, although heat wave hypothesis is effective in the short term.                         

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