Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa Istanbul
Küçük Resim Yok
Tarih
2022
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Using data from the Borsa Istanbul (BIST), this study analyzes whether derivatives market operations have a volatility spillover effect on stock indexes using multivariate GARCH models and wavelet methods. We use the DVECH method, with variables for the daily BIST 30 index and BIST 30 index futures contracts between January 5 and September 27, 2017. The results show that wavelet theory is more consistent with M-GARCH models. Our results show that the variance equation demonstrates a general volatility spillover effect from the derivatives market to the stock market, except for the frequency that covers all the series. As the frequency decreases, the effect of time-varying conditional variance decreases, and the effect of past volatility shocks increases. These results indicate that inexperienced investors should be informed about derivatives markets, and the depth of the financial markets in Turkey must be increased.& nbsp;Copyright (C)& nbsp;2021, Borsa Istanbul Anonim Sirketi. Production and hosting by Elsevier B.V.& nbsp;
Açıklama
Anahtar Kelimeler
Borsa Istanbul, Derivatives Markets, Futures Contracts, M-Garch, Volatility Spillover Effect, Wavelets
Kaynak
Borsa Istanbul Review
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
22
Sayı
2
