Basit öğe kaydını göster

dc.contributor.authorKhurshid, Muzammil
dc.contributor.authorBulut, Mehmet
dc.contributor.authorBadshah, Waqar
dc.contributor.authorIrshad, Shoaib
dc.date.accessioned2023-05-29T13:47:12Z
dc.date.available2023-05-29T13:47:12Z
dc.date.issued2021
dc.identifier.citationIrshad S., Khurshid M., Badshah W., Bulut M., "VOLATILITY SPILLOVERS FROM US TO EMERGING SEVEN STOCK MARKETS: PRE & POST ANALYSIS OF GFC", International Journal of Contemporary Economics and Administrative Sciences, cilt.11, sa.1, ss.46-59, 2021
dc.identifier.othervv_1032021
dc.identifier.otherav_3d2c93b5-9773-43a4-a514-da48cdb1142d
dc.identifier.urihttp://hdl.handle.net/20.500.12627/189113
dc.identifier.urihttps://doi.org/10.5281/zenodo.5136385
dc.identifier.urihttps://avesis.istanbul.edu.tr/api/publication/3d2c93b5-9773-43a4-a514-da48cdb1142d/file
dc.description.abstractThis study is conducted to check volatility spillovers from US to Emerging seven stock markets before and after the Global Financial Crisis through the VAR-GARCH model. The pre GFC sub sample data ranges from January 8, 2002 to June 29, 2007 and Post GFC data starts from July 4, 2009 to December 28, 2014. The outcomes of the VAR-GARCH model show that there are significant volatility spillovers from US stock market to emerging seven stock markets in most cases. The correlations reveal that the US stock market is strongly correlated with the Brazilian stock exchange, Mexican stock exchange and Russian stock exchange. These findings suggest that the investors may consider geographical proximity into consideration. The empirical results also mention that the Chinese stock market, Indonesian stock market and Indian stock market have less effect by the volatility spillovers from US stock market. The findings also demonstrate that Brazilian, Mexican and Russian stock markets observed rapid increase in the CCC with the US market.
dc.language.isoeng
dc.subjectSosyal Bilimler (SOC)
dc.subjectSosyal ve Beşeri Bilimler
dc.titleVOLATILITY SPILLOVERS FROM US TO EMERGING SEVEN STOCK MARKETS: PRE & POST ANALYSIS OF GFC
dc.typeMakale
dc.relation.journalInternational Journal of Contemporary Economics and Administrative Sciences
dc.contributor.department, ,
dc.identifier.volume11
dc.identifier.issue1
dc.identifier.startpage46
dc.identifier.endpage59
dc.contributor.firstauthorID4270309


Bu öğenin dosyaları:

DosyalarBoyutBiçimGöster

Bu öğe ile ilişkili dosya yok.

Bu öğe aşağıdaki koleksiyon(lar)da görünmektedir.

Basit öğe kaydını göster