SPILLOVERS OF STOCK RETURN VOLATILITY TO TURKISH EQUITY MARKETS FROM GERMANY, FRANCE, AND AMERICA

SPILLOVERS OF STOCK RETURN VOLATILITY TO TURKISH EQUITY MARKETS FROM GERMANY, FRANCE, AND AMERICA

Abstract: The aim of this study is to examine the volatility spillover effects of German, French and American stock market indices on BIST 100 Turkish stock market index. Dataset consists of daily closing price observations starting from January 2, 2004, until February 6, 2017, for indices DAX 30, C...

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Bibliographic Details
Main Authors:	Sibel KARĞIN, Koray KAYALIDERE, Tuna Can GÜLEÇ, Deniz ERER
Format:	Article
Language:	English
Published:	Dokuz Eylul University 2018-04-01
Series:	Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi
Subjects:	Volatility Spillover E-GARCH TVAR BIST100 DAX30 Volatilite Yayılımı
Online Access:	http://dergipark.gov.tr/download/article-file/525379

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