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Volatility Spillover Effect from Volatility Implied Index to Emerging Markets

Author

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  • Turhan Korkmaz
  • Emrah Ismail Çevik

Abstract

This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news concludes that volatility further increases. The results of the analysis show that implied volatility index affect Argentina, Brazil, Mexico, Chili, Peru, Hungary, Poland, Turkey, Malaysia, Thailand and Indonesia stock markets through volatility increases

Suggested Citation

  • Turhan Korkmaz & Emrah Ismail Çevik, 2009. "Volatility Spillover Effect from Volatility Implied Index to Emerging Markets," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 3(2), pages 87-106.
  • Handle: RePEc:bdd:journl:v:3:y:2009:i:2:p:87-106
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    1. repec:pdc:jrnbeh:v:13:y:2017:i:5:p:666-675 is not listed on IDEAS

    More about this item

    Keywords

    Implied Volatility; Spillover Effect; GJR-GARCH Model; Emerging Markets;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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