THE INVESTIGATION OF VOLATILITY SPILLOVER EFFECT BETWEEN STOCK MARKETS OF TURKEY, ITALY, GREECE AND RUSSIA

In this study, the volatility spillover effects in stock markets of various countries are examined. Volatility spillover effect occurs in two forms as heat wave and meteor shower in literature. From this point to these two effects were investigated in stock markets of Turkey, Italy, Russia and Greece. In the research, cointegration, ARCH-LM, VAR, and finally VAR-MGARCH analyzes were used. According to the results of the analysis, it was concluded that the volatility spillover effect is effective in all stock markets. Also, it was determined that more meteor shower hypothesis is more effective when the time was extended, although heat wave hypothesis is effective in the short term.

TÜRKİYE, İTALYA, YUNANİSTAN VE RUSYA MENKUL KIYMET PİYASALARINDA VOLATİLİTE YAYILIMI ETKİSİNİN İNCELENMESİ

Bu çalışmada, çeşitli ülkelerin borsalarındaki volatilitenin yayılma etkileri incelenmiştir. Volatilite yayılma etkisi literatürde sıcak hava dalgası ve meteor yağmuru olmak üzere iki şekilde ortaya çıkmaktadır. Bu noktadan hareketle Türkiye, İtalya, Rusya ve Yunanistan'ın borsalarında bu iki etki incelenmiştir. Araştırmada eş bütünleşme, ARCH-LM, VAR ve son olarak VAR-MGARCH analizleri kullanılmıştır. Analiz sonuçlarına göre, Volatilite yayılma etkisinin tüm borsalarda etkili olduğu sonucuna varılmıştır. Ayrıca, kısa vadede ısı dalgası hipotezi etkili olurken süre uzadığında meteor yağmuru hipotezinin daha etkili olduğu belirlenmiştir.

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