İsmail ÇELİK, Arife ÖZDEMİR, Samet GÜRSOY, Hande UZUNOĞLU ÜNLÜ

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Return and Volatility Spillover Between Emerging Stock Markets and Precious Metals

This study aims to reveal the return and volatilityspillovers between developing/emerging countrystock market indexes and precious metals thatinvestors recently have concentrated on issues suchas portfolio diversification and hedging. As a resultof the multivariate VAR-EGARCH analysis, negativeinformation shocks for precious metals have beenfound to be more dominant.It is proved that from gold returns to the equitymarkets of Indonesia, India, Brazil, Turkey havepositive spillover, also from Brent oil returns to theequity markets of India, Brazil, Turkey have negativereturn spillover. The only market in which both ofprecious metals have positive return spillover hasbeen the South African market. According to theresults of the model’s variance equation, there isno volatility spillover to the Turkish equity marketsfrom precious metals therefore the result is thatTurkish equity market is stronger compared toother countries’ markets.
Keywords:

Return and Volatility Spillover, Multivariate VAR-EGARCH, Precious Metals,

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Ege Akademik Bakış Dergisi-Cover
  • ISSN: 1303-099X
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2000
  • Yayıncı: Ege Üniversitesi
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