Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil
AbstractThis 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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Bibliographic InfoPaper provided by Turkish Economic Association in its series Working Papers with number 2010/8.
Length: 21 pages
Date of creation: 2010
Date of revision: Jan 2010
Causalit-in-variance; volatility spiiovers; emerging markets; Turkey; Brazil;
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PIER Working Paper Archive
07-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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