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Title: Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets
Authors: Mutafoğlu, Takvor H.
Tokat, Ekin
Tokat, Hakki Arda
Keywords: asymmetric volatility
futures market
multivariate GARCH
Turkish Derivatives Exchange
volatility transmission
Issue Date: 2010
Publisher: M E Sharpe Inc
Abstract: This 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.
ISSN: 1540-496X
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

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