THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL

AHMİD, Alma Brook; Bozma, Gürkan; AĞIRMAN, ENSAR

THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL

Ensar AĞIRMAN, (Atatürk Üniversitesi)

Gürkan BOZMA, (Atatürk Üniversitesi)

Alma Brook AHMİD (Atatürk Üniversitesi)

Manas Journal of Social Studies

28 5

Yıl: 2018 Cilt: 7 Sayı: 4 Sayfa Aralığı: 181 - 192 Metin Dili: İngilizce İndeks Tarihi: 05-02-2020

THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL

Öz:

These days one of the most important researches is the financial integration of internationalmarkets, also around the world because of the development of financial markets the emergingmarkets receiving more interest. This paper exam the volatility spillovers among stock marketreturn by using VARMA-BEKK GARCH. The volatility spillovers index collected from theseries of the asset returns over a period of time from 2010 until 2017 with daily data. Ourmethod is going to applied in the stock markets located in Turkey and North Africa (Egypt,Tunisia and Morocco) moreover in North Africa there is no other stock markets except these.Because of the financial relationship between these countries Turkey and North Africa countrıeswere chosen, last but not least (emerging markets in developing countries) located in the closearea and there is not any paper like this also to fill the gap in the research. Our aims tounderstand better the movement of the volatility and volatility pass through stock marketreturns which were observed. Moreover, we compared diversification of portfolio betweenstock markets for hedging strategies and optimal hedge ratio.

Anahtar Kelime:

Konular: İş Tarih İşletme Coğrafya Edebiyat Felsefe İktisat İşletme Finans Psikoloji

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	AĞIRMAN E, Bozma G, AHMİD A (2018). THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. , 181 - 192.
Chicago	AĞIRMAN ENSAR,Bozma Gürkan,AHMİD Alma Brook THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. (2018): 181 - 192.
MLA	AĞIRMAN ENSAR,Bozma Gürkan,AHMİD Alma Brook THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. , 2018, ss.181 - 192.
AMA	AĞIRMAN E,Bozma G,AHMİD A THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. . 2018; 181 - 192.
Vancouver	AĞIRMAN E,Bozma G,AHMİD A THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. . 2018; 181 - 192.
IEEE	AĞIRMAN E,Bozma G,AHMİD A "THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL." , ss.181 - 192, 2018.
ISNAD	AĞIRMAN, ENSAR vd. "THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL". (2018), 181-192.

APA	AĞIRMAN E, Bozma G, AHMİD A (2018). THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. Manas Journal of Social Studies, 7(4), 181 - 192.
Chicago	AĞIRMAN ENSAR,Bozma Gürkan,AHMİD Alma Brook THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. Manas Journal of Social Studies 7, no.4 (2018): 181 - 192.
MLA	AĞIRMAN ENSAR,Bozma Gürkan,AHMİD Alma Brook THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. Manas Journal of Social Studies, vol.7, no.4, 2018, ss.181 - 192.
AMA	AĞIRMAN E,Bozma G,AHMİD A THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. Manas Journal of Social Studies. 2018; 7(4): 181 - 192.
Vancouver	AĞIRMAN E,Bozma G,AHMİD A THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL. Manas Journal of Social Studies. 2018; 7(4): 181 - 192.
IEEE	AĞIRMAN E,Bozma G,AHMİD A "THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL." Manas Journal of Social Studies, 7, ss.181 - 192, 2018.
ISNAD	AĞIRMAN, ENSAR vd. "THE VOLATILITY SPILLOVERS BETWEEN TURKEY AND NORTH AFRICA (ETM) STOCK MARKETS: VARMA-BEKK GARCH MODEL". Manas Journal of Social Studies 7/4 (2018), 181-192.