ANALYSIS OF VOLATILITY SPILLOVERS BETWEEN THE BANK STOCKS TRADED IN ISTANBUL STOCK EXCHANGE AND NEW YORK STOCK EXCHANGE

Abstract

The aim of this study is to investigate the volatility spillovers between the bank stocks traded in Istanbul Stock Exchange and New York Stock Exchange. We use daily stock returns of the variables and also use DCC-GARCH models for examining the volatility spillovers the bank stocks traded in Istanbul Stock Exchange and New York Stock Exchange. According to the empirical results, we find out that there exists high volatility clustering in New York Stock Exchange and in most of bank stocks and the volatility has persistent features. Furthermore, an increase in the volatility of New York Stock Exchange also raises the volatility of most of the bank stock traded in Istanbul Stock Exchange. Lastly, there also exists a dynamic, positive and powerful correlation relationship between the returns of New York Stock Exchange and the bank stocks traded in Istanbul Stock Exchange.