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dc.contributor.authorAlkan, Buket
dc.contributor.authorÇiçek, Serkan
dc.date.accessioned2020-07-12T12:17:37Z
dc.date.available2020-07-12T12:17:37Z
dc.date.issued2020en_US
dc.identifier.issn1303-0701
dc.identifier.issn1305-8800
dc.identifier.urihttps://hdl.handle.net/11363/2306
dc.description.abstractAn increase in the return of an asset in the financial markets may cause the returns of the remaining assets to fluctuate over time because of the arbitrage conditions. This may also create a spillover or contagion between the volatilities of the assets in the financial markets. This study aimed to capture the spillover between financial markets in the Turkish economy and to investigate the effects of global markets on Turkish financial markets, since the spillover may arise from the global financial markets as well as the domestic ones. Employing BEKK parameterization of the multivariate GARCH model between 2006 and 2018, it found a strong mean spillover from global markets to domestic stock and bond markets, from stock and exchange markets to the bond market and from the dollar return to the stock market. For the volatility spillover, the results also supported strong spillover between each market pairs. These findings implied that the Turkish economy is well integrated into global markets and that a fluctuation in volatility in a global or domestic market immediately spreads to other domestic markets, regardless of borders.en_US
dc.language.isoengen_US
dc.publisherCENTRAL BANK REPUBLIC TURKEY, ISTIKLAL CAD 10 ULUS, ANKARA, 06100, TURKEYen_US
dc.relation.isversionof10.1016/j.cbrev.2020.02.003en_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectVolatility spilloveren_US
dc.subjectSpillover effecten_US
dc.subjectBEKK-GARCHen_US
dc.subjectTurkish financial marketsen_US
dc.subjectTIME-SERIESen_US
dc.subjectMULTIVARIATEen_US
dc.subjectMODELSen_US
dc.titleSpillover effect in financial markets in Turkeyen_US
dc.typearticleen_US
dc.relation.journalCENTRAL BANK REVIEWen_US
dc.contributor.departmentİktisadi İdari ve Sosyal Bilimler Fakültesien_US
dc.identifier.volume20en_US
dc.identifier.issue2en_US
dc.identifier.startpage53en_US
dc.identifier.endpage64en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US


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