ANALYSIS OF VOLATILITY SPILLOVER BETWEEN TURKEY EXCHANGE AND DEVELOPED AND DEVELOPING COUNTRY EXCHANGES

Abstract

The volatility spread between the Turkish Stock Exchange and the stock markets of developed and developing countries was investigated using daily data from 24.03.2015-21.04.2021 in order to determine the power of international stock exchanges to influence each other. In the analysis, DCC-GARCH model evaluated in the multivariate GARCH models class was used. According to the findings, no mutual volatility spillover was found between BIST100 volatility and IDX and MOEX volatility. One-way volatility spillover was found between BIST100 and NSE30, CAC40, DAX, while bidirectional volatility spillover was found between BIST100 and DJIA and NIFTY50 exchanges.