Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/7458
Full metadata record
DC FieldValueLanguage
dc.contributor.authorMutafoğlu, Takvor H.-
dc.contributor.authorTokat, Ekin-
dc.contributor.authorTokat, Hakki Arda-
dc.date.accessioned2021-09-11T15:57:09Z-
dc.date.available2021-09-11T15:57:09Z-
dc.date.issued2010en_US
dc.identifier.issn1540-496X-
dc.identifier.issn1558-0938-
dc.identifier.urihttps://doi.org/10.2753/REE1540-496X460406-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/7458-
dc.description.abstractThis paper examines the volatility transmission mechanism between the futures and corresponding underlying asset spot markets, focusing on Turkish currency and stock index futures traded on the lately established Turkish Derivatives Exchange (TURKDEX). Employing multivariate generalized autoregressive conditional heteroskedasticity modeling, which allows for potential spillovers and asymmetries in the variance covariance structure for the market returns, the paper investigates the volatility interactions among each of the three futures-spot market systems. For all market systems under study, the volatility spillovers are found to be important and bidirectional. For the stock index market system, in line with the previous literature, volatility shows asymmetric behavior and strong asymmetric shock transmission. The main implication is that investors need to account for volatility spillovers and asymmetries among the futures and the spot markets to correctly build hedging strategies.en_US
dc.language.isoenen_US
dc.publisherM E Sharpe Incen_US
dc.relation.ispartofEmerging Markets Finance And Tradeen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectasymmetric volatilityen_US
dc.subjectfutures marketen_US
dc.subjectmultivariate GARCHen_US
dc.subjectTurkish Derivatives Exchangeen_US
dc.subjectvolatility transmissionen_US
dc.titleShock and Volatility Transmission in the Futures and Spot Markets: Evidence From Turkish Marketsen_US
dc.typeArticleen_US
dc.departmentFaculties, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.departmentFaculties, Faculty of Economics and Administrative Sciences, Department of International Entrepreneurshipen_US
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümütr_TR
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, Uluslararası Girişimcilik Bölümütr_TR
dc.identifier.volume46en_US
dc.identifier.issue4en_US
dc.identifier.startpage92en_US
dc.identifier.endpage104en_US
dc.identifier.wosWOS:000281935400007en_US
dc.identifier.scopus2-s2.0-77957567377en_US
dc.institutionauthorTokat, Ekin-
dc.institutionauthorTokat, Hakkı Arda-
dc.identifier.doi10.2753/REE1540-496X460406-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ2-
item.openairetypeArticle-
item.languageiso639-1en-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
crisitem.author.dept04.03. Department of Management-
crisitem.author.dept04.02. Department of International Entrepreneurship-
Appears in Collections:İşletme Bölümü / Department of Management
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
Uluslararası Girişimcilik Bölümü / Department of International Entrepreneurship
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
Show simple item record



CORE Recommender

SCOPUSTM   
Citations

8
checked on Dec 21, 2024

WEB OF SCIENCETM
Citations

10
checked on Dec 21, 2024

Page view(s)

140
checked on Dec 23, 2024

Google ScholarTM

Check




Altmetric


Items in GCRIS Repository are protected by copyright, with all rights reserved, unless otherwise indicated.