The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises

26 Pages Posted: 1 Sep 2016

See all articles by David G. McMillan

David G. McMillan

University of Stirling

Burcu Berke

Omer Halisdemir University

Oscar Bajo‐Rubio

University of Castilla-La Mancha

Date Written: August 31, 2016

Abstract

This paper examines mean and volatility spillovers between the Turkish stock market with international stock, exchange rate and commodity markets. Our aim is not only to examine spillover behaviour with a large emerging market but also to examine cross — asset spillovers and how they vary across two periods of financial market crisis; the dotcom crash and the liquidity-induced financial crisis. This is to be compared with existing work that typically focuses on industrialised countries or single asset markets only. Using the spillover index methodology we uncover an interest distinction between these two periods of markets stress. Over the dotcom period spillovers are largely between the same asset class, notably two exchange rate series and two international stock markets series. However, in the period including the financial crisis, spillovers both increase and cross asset types and suggest a much greater degree of market interdependence. Understanding the change in the nature of spillovers key investors and regulators as well as academics involved in theoretical model development.

Keywords: Spillovers, Exchange Rates, Stock Returns, Volatility, Commodity Markets, Turkey

JEL Classification: F31, G12

Suggested Citation

McMillan, David G. and Berke, Burcu and Bajo-Rubio, Oscar, The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises (August 31, 2016). Available at SSRN: https://ssrn.com/abstract=2832803 or http://dx.doi.org/10.2139/ssrn.2832803

David G. McMillan (Contact Author)

University of Stirling ( email )

Stirling, Scotland FK9 4LA
United Kingdom

Burcu Berke

Omer Halisdemir University ( email )

Niğde Üniversitesi Rektörlüğü,, Bor Yolu Üzeri
Niğde, 51240
Turkey

Oscar Bajo-Rubio

University of Castilla-La Mancha ( email )

Facultad de Derecho y Ciencias Sociales
Ronda de Toledo, s/n
Ciudad Real, E-13071
Spain
+34 926 295300 (Phone)
+34 926 295211 (Fax)

HOME PAGE: http://www.uclm.es/profesorado/obajo

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