Publication: Volatility and contagion: evidence from the Istanbul stock exchange
Program
KU-Authors
KU Authors
Co-Authors
Alper, C. Emre
Publication Date
Language
Type
Embargo Status
Journal Title
Journal ISSN
Volume Title
Alternative Title
Abstract
This paper presents an empirical analysis of real stock return volatility contagion from emerging markets and financial centers to the Turkish market since 1992. We first present descriptive statistics and contemporaneous correlation of the real stock returns and unconditional stock return volatility. Using simple rolling regressions and goodness of fit measures, we identify periods of persistent volatility in the Istanbul Stock Exchange (ISE) and volatility contagion towards the ISE. Finally, using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) estimations, we obtain robust estimates of volatility contagion from stock markets to the ISE. There is clear evidence of volatility contagion from the financial centers especially in the aftermath of the Asian Crisis to the ISE.
Source
Publisher
Elsevier
Subject
Economics
Citation
Has Part
Source
Economic Systems
Book Series Title
Edition
DOI
10.1016/j.ecosys.2004.08.003