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Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey

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  • Murat Taşdemir
  • Abdullah Yalama

Abstract

We investigate volatility spillovers between two stock markets: Turkey and Brazil. Using a misspecification-robust causality-in-variance test, we find evidence supporting volatility spillovers from the São Paulo Stock Exchange to the Istanbul Stock Exchange. Moreover, the results imply that financial crises may change the nature of volatility spillovers between the two markets by adding an additional channel of volatility transmission from Turkey to Brazil.

Suggested Citation

  • Murat Taşdemir & Abdullah Yalama, 2014. "Volatility Spillover Effects in Interregional Equity Markets: Empirical Evidence from Brazil and Turkey," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(2), pages 190-202, March.
  • Handle: RePEc:mes:emfitr:v:50:y:2014:i:2:p:190-202
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    2. Raúl de Jesús Gutiérrez & Edgar Ortiz & Oswaldo García Salgado, 2017. "Los efectos de largo plazo de la asimetría y persistencia en la predicción de la volatilidad: evidencia para mercados accionarios de América Latina," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1063-1080, Octubre-D.

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