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Volatility Spillover from Bond Markets in Turkey, UK, USA and Eurozone, Commoditiy Market and Foreign Currency Market to BIST 100 Index under Different Regimes

Author

Listed:
  • Elif ERER
  • Deniz ERER
  • Ozge KORKMAZ

Abstract

The purpose of this study is to investigate volatility spillover from bond markets in Turkey, UK, USA and Eurozone, commoditiy market and foreign currency market to BIST 100 for bull and bear markets over the period of 2002:01-2018:01. From the results of IGARCH model and MS-VAR, it is seen to be negative volatility spillover from bond markets in Turkey and USA and commoditiy market to BIST 100, and to be positive volatility spillover from bond markets in Eurozone and UK and foreign currency market to BIST 100 during bear market periods. However, there is negative volatility spillover from bond market in Eurozone, and positive volatility spillover from bond markets in Turkey and USA, commodity market and foreign currency market to BIST100 during bull market periods.

Suggested Citation

  • Elif ERER & Deniz ERER & Ozge KORKMAZ, 2019. "Volatility Spillover from Bond Markets in Turkey, UK, USA and Eurozone, Commoditiy Market and Foreign Currency Market to BIST 100 Index under Different Regimes," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 13(1), pages 77-103.
    • Handle: RePEc:bdd:journl:v:13:y:2019:i:1:p:77-103
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    More about this item

    Keywords

    Bond; Commodity; Foreign Currency and Stock Markets; Volatility Spillover; MS-VAR;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models

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