Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals

İsmail ÇELİK; Arife ÖZDEMİR; Samet GÜRSOY; Hande UZUNOĞLU ÜNLÜ

doi:https://doi.org/10.21121/eab.2018237351

Makale detayları

Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals

Yazarlar:

İsmail ÇELİK | Arife ÖZDEMİR | Samet GÜRSOY | Hande UZUNOĞLU ÜNLÜ

Yayıncı:

Ege University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Ege Academic Review 2018 Vol.18 Issue 2, pp.217-230

Belge Tipi:

Makale

Yayın Tarihi:

3/2018

Belge Dili:

Türkçe

Document ID (Org No.):

2000950811

Sıklık:

Üç Aylık

pISSN:

1303-099X

DOI:

https://doi.org/10.21121/eab.2018237351

Özet:

 


This study aims to reveal the return and volatility

spillovers between developing/emerging country

stock market indexes and precious metals that

investors recently have concentrated on issues such

as portfolio diversification and hedging. As a result

of the multivariate VAR-EGARCH analysis, negative

information shocks for precious metals have been

found to be more dominant.

It is proved that from gold returns to the equity

markets of Indonesia, India, Brazil, Turkey have

positive spillover, also from Brent oil returns to the

equity markets of India, Brazil, Turkey have negative

return spillover. The only market in which both of

precious metals have positive return spillover has

been the South African market. According to the

results of the model’s variance equation, there is

no volatility spillover to the Turkish equity markets

from precious metals therefore the result is that

Turkish equity market is stronger compared to

other countries’ markets.

.

Makale detayları

Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals

Yazarlar: İsmail ÇELİK | Arife ÖZDEMİR | Samet GÜRSOY | Hande UZUNOĞLU ÜNLÜ

Yayıncı: Ege University

Ana Başlıklar: Ekonomi ve Maliye

Dergi: Ege Academic Review 2018 Vol.18 Issue 2, pp.217-230

Belge Tipi: Makale

Yayın Tarihi: 3/2018

Belge Dili: Türkçe

Document ID (Org No.): 2000950811

Sıklık: Üç Aylık

pISSN: 1303-099X

DOI: https://doi.org/10.21121/eab.2018237351

Sayı

Yazarlar:

İsmail ÇELİK | Arife ÖZDEMİR | Samet GÜRSOY | Hande UZUNOĞLU ÜNLÜ

Yayıncı:

Ege University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Ege Academic Review 2018 Vol.18 Issue 2, pp.217-230

Belge Tipi:

Makale

Yayın Tarihi:

3/2018

Belge Dili:

Türkçe

Document ID (Org No.):

2000950811

Sıklık:

Üç Aylık

pISSN:

1303-099X

DOI:

https://doi.org/10.21121/eab.2018237351