Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil

This 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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Year of publication:	2010
Authors:	Tasdemir, Murat ; Yalama, Abdullah
Publisher:	Ankara : Turkish Economic Association
Subject:	Börsenkurs \| Volatilität \| Spillover-Effekt \| Kausalanalyse \| Schwellenländer \| Brasilien \| Türkei \| Causalit-in-variance \| volatility spiiovers \| emerging markets \| Turkey \| Brazil

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Series:	Discussion Paper ; 2010/8
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	635651343 [GVK] hdl:10419/81622 [Handle] RePEc:tek:wpaper:2010/8 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010320499