The Econometric Analysis of Volatility Dynamics between Developed Market Economies and Emerging Market Economies
Journal Title: Scholars Journal of Economics, Business and Management - Year 2014, Vol 1, Issue 7
Abstract
In this study volatility dynamics between the stock markets of developed market economies and emerging market economies were analyzed. Within this context, in this study covering the period of 05.01.2000-13.01.2014, daily closing values of the stock market index of 10 countries were used, and volatility dynamics between countries were examined by using the analyses of BEKK GARCH and CCC GARCH. NSYE Composite Index (USA), FTSE 100 (UK), DAX 30 (Germany), CAC 40 (France), Nikkei 225 (Japan), IBOVESPA (Brazil), SSE Composite Index (China), HSI Index (Hong Kong), RTSI Index (Russia), BIST 100 (Istanbul) are the stock index included in the analysis. According to the findings, while there is a strong volatility spillover among developed country markets there is a weak volatility spillover, when it comes to from developed countries towards developing countries. However, domestic shocks in the previous period and the volatility of the previous period affect current period of volatility. Keywords: Volatility Spillover, Multivariable GARCH Model
Authors and Affiliations
Aziz Kutlar, Pınar Torun
Keywords
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