Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa Istanbul

Basit Öğe Kaydı
dc.contributor.authorGurbuz, Suleyman
dc.contributor.authorSahbaz, Ahmet
dc.date.accessioned2024-02-23T14:02:20Z
dc.date.available2024-02-23T14:02:20Z
dc.date.issued2022
dc.departmentNEÜen_US
dc.description.abstractUsing 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;en_US
dc.identifier.doi10.1016/j.bir.2021.05.006
dc.identifier.endpage331en_US
dc.identifier.issn2214-8450
dc.identifier.issn2214-8469
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85108265982en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage321en_US
dc.identifier.urihttps://doi.org/10.1016/j.bir.2021.05.006
dc.identifier.urihttps://hdl.handle.net/20.500.12452/11650
dc.identifier.volume22en_US
dc.identifier.wosWOS:000792796300011en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofBorsa Istanbul Reviewen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectBorsa Istanbulen_US
dc.subjectDerivatives Marketsen_US
dc.subjectFutures Contractsen_US
dc.subjectM-Garchen_US
dc.subjectVolatility Spillover Effecten_US
dc.subjectWaveletsen_US
dc.titleInvestigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa Istanbulen_US
dc.typeArticleen_US

Dosyalar

Koleksiyon

WoS İndeksli Yayınlar Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu