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Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil

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Author Info

  • Murat Tasdemir

    (Eskisehir Osmangazi University)

  • Abdullah Yalama

    (University of Tasmania)

Abstract

This study investigates volatility spillovers between two stock markets, Turkish and Brazilian, located in different regions of the world. Using a misspecification robust causality-in-variance test, we found strong evidence supporting volatility spillovers from Istanbul Stock Exchange (ISE) to São Paulo Stock Exchange (BOVESPA). The results imply that financial crises may change the size and the direction of volatility spillovers between markets.

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File URL: http://www.tek.org.tr/dosyalar/Tasdemir&Yalama.pdf
File Function: Revised version, 2010
Download Restriction: no

Bibliographic Info

Paper provided by Turkish Economic Association in its series Working Papers with number 2010/8.

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Length: 21 pages
Date of creation: 2010
Date of revision: Jan 2010
Handle: RePEc:tek:wpaper:2010/8

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Related research

Keywords: Causalit-in-variance; volatility spiiovers; emerging markets; Turkey; Brazil;

References

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  1. Gebka, Bartosz & Serwa, Dobromil, 2007. "Intra- and inter-regional spillovers between emerging capital markets around the world," Research in International Business and Finance, Elsevier, vol. 21(2), pages 203-221, June.
  2. Francis X. Diebold & Kamil Yilmaz, 2007. "Measuring Financial Asset Return and Volatility Spillovers, With Application to Global Equity Markets," PIER Working Paper Archive 07-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  3. Fujii, Eiji, 2005. "Intra and inter-regional causal linkages of emerging stock markets: evidence from Asia and Latin America in and out of crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(4), pages 315-342, October.
  4. Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 89-119.
  5. International Monetary Fund, 2000. "Spillovers Through Banking Centers," IMF Working Papers 00/88, International Monetary Fund.
  6. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004. "Empirical Modeling of Contagion," IMF Working Papers 04/78, International Monetary Fund.
  7. Cheung, Yin-Wong & Ng, Lilian K., 1996. "A causality-in-variance test and its application to financial market prices," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 33-48.
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