Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey

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dc.authorid0000-0002-4721-6576
dc.contributor.authorTasdemir, Murat
dc.contributor.authorYalama, Abdullah
dc.date.accessioned2025-05-10T19:36:12Z
dc.date.issued2014
dc.departmentİstanbul Medeniyet Üniversitesi
dc.descriptionSWUFE International Workshop on Applied Microeconomics -- JUN 08-09, 2012 -- Chengdu, PEOPLES R CHINA
dc.description.abstractWe investigate volatility spillovers between two stock markets: Turkey and Brazil. Using a misspecification-robust causality-in-variance test, we find evidence supporting volatility spillovers from the Sao Paulo Stock Exchange to the Istanbul Stock Exchange. Moreover, the results imply that financial crises may change the nature of volatility spillovers between the two markets by adding an additional channel of volatility transmission from Turkey to Brazil.
dc.identifier.doi10.2753/REE1540-496X500211
dc.identifier.endpage202
dc.identifier.issn1540-496X
dc.identifier.issn1558-0938
dc.identifier.issue2
dc.identifier.scopus2-s2.0-84904964983
dc.identifier.scopusqualityQ1
dc.identifier.startpage190
dc.identifier.urihttps://doi.org/10.2753/REE1540-496X500211
dc.identifier.urihttps://hdl.handle.net/20.500.14730/9089
dc.identifier.volume50
dc.identifier.wosWOS:000341381200012
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.relation.ispartofEmerging Markets Finance and Trade
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WOS_20250302
dc.subjectBrazil
dc.subjectcausality-in-variance
dc.subjectemerging markets
dc.subjectTurkey
dc.subjectvolatility spillovers
dc.titleVolatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey
dc.typeConference Object

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