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|Title:||Shock and Volatility Transmission in the Futures and Spot Markets: Evidence from Turkish Markets||Authors:||Mutafoğlu, Takvor H.
Tokat, Hakki Arda
Turkish Derivatives Exchange
|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.||URI:||https://doi.org/10.2753/REE1540-496X460406
|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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