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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.
  • Handle: RePEc:mes:emfitr:v:50:y:2014:i:2:p:190-202
    DOI: 10.2753/REE1540-496X500211
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    References listed on IDEAS

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    1. repec:nax:conyad:v:62:y:2017:i:4:p:1063-1080 is not listed on IDEAS
    2. Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.

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