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Volatility spillovers from COVID-19 to stocks, exchange rates and oil prices: evidence from Turkiye

Author

Listed:
  • Burcu Berke

    (Niğde Ömer Halisdemir University)

  • Gülsüm Akarsu

    (Ondokuz Mayıs University)

Abstract

Global crises destabilize stocks, exchange rates, and oil prices. Most recently, the COVID-19 pandemic, which started in Wuhan, China, in December 2019, has been another factor leading to volatility in global financial markets. This makes it important to investigate how volatility spreads among financial assets during the relevant period. This study's main contribution to the existing literature is the simultaneous analysis of the volatility spread from COVID-19 to exchange rates, stock, and oil prices in Turkiye during the period January 1, 2020, to July 15, 2022. Understanding such interactions throughout the pandemic period is essential for policymakers and investors.

Suggested Citation

  • Burcu Berke & Gülsüm Akarsu, 2024. "Volatility spillovers from COVID-19 to stocks, exchange rates and oil prices: evidence from Turkiye," Economics Bulletin, AccessEcon, vol. 44(3), pages 1254-1262.
    • Handle: RePEc:ebl:ecbull:eb-24-00456
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    References listed on IDEAS

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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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