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The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets

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  • Kübra Akca
  • Serda Selin Ozturk

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  • Kübra Akca & Serda Selin Ozturk, 2016. "The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 169-178, March.
    • Handle: RePEc:bla:irvfin:v:16:y:2016:i:1:p:169-178
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    File URL: http://hdl.handle.net/10.1111/irfi.12071
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    References listed on IDEAS

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    1. Roman Liesenfeld & Jean-Francois Richard, 2006. "Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 335-360.
    2. Tsai, I-C., 2014. "Spillover of fear: Evidence from the stock markets of five developed countries," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 281-288.
    3. Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
    4. Samarakoon, Lalith P., 2011. "Stock market interdependence, contagion, and the U.S. financial crisis: The case of emerging and frontier markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 724-742.
    5. Francis X. Diebold & Kamil Yilmaz, 2009. "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, Royal Economic Society, vol. 119(534), pages 158-171, January.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    7. Baele, Lieven, 2005. "Volatility Spillover Effects in European Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(2), pages 373-401, June.
    8. Erdal Atukeren & Turhan Korkmaz & Emrah İ Çevik, 2013. "Spillovers Between Business Confidence And Stock Returns In Greece, Italy, Portugal, And Spain," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(3), pages 205-215, July.
    9. Jae-Kwang Hwang, 2014. "Spillover Effects of the 2008 Financial Crisis in Latin America Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(3), pages 311-324, August.
    10. Sugimoto, Kimiko & Matsuki, Takashi & Yoshida, Yushi, 2014. "The global financial crisis: An analysis of the spillover effects on African stock markets," Emerging Markets Review, Elsevier, vol. 21(C), pages 201-233.
    11. Klaus Grobys, 2010. "Have volatility spillover effects of cointegrated European stock markets increased over time?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 2(2), pages 083-94, December.
    12. Jean-Francois Richard, 2007. "Efficient High-Dimensional Importance Sampling," Working Paper 321, Department of Economics, University of Pittsburgh, revised Jan 2007.
    13. Gulser Meric & Christine Lentz & Wayne Smeltz & Ilhan Meric, 2012. "International Evidence on Market Linkages After the 2008 Stock Market Crash," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(4), pages 45-57.
    14. Taufiq Choudhry, 2004. "International Transmission of Stock Returns and Volatility : Empirical Comparison Between Friends and Foes," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(4), pages 33-52, July.
    15. Richard, Jean-Francois & Zhang, Wei, 2007. "Efficient high-dimensional importance sampling," Journal of Econometrics, Elsevier, vol. 141(2), pages 1385-1411, December.
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    Cited by:

    1. Flavio Ivo Riedlinger & João Nicolau, 2020. "The Profitability in the FTSE 100 Index: A New Markov Chain Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 61-81, March.
    2. Ferhat Camlica & Didem Gunes & Etkin Ozen, 2017. "A Financial Connectedness Analysis for Turkey," Working Papers 1719, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Li, Yanshuang & Zhuang, Xintian & Wang, Jian & Dong, Zibing, 2021. "Analysis of the impact of COVID-19 pandemic on G20 stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).

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