Abstract:

Volatility in financial markets is known as a measure of uncertainty on future asset prices or the returns. Since volatility is a major risk measure for modern financial theories, risk management is an important factor for strategic financial planning and policy analysis. The researches on the crisis was especially examined the volatility spillover effect. It is known that the impact of volatility spillover increases in the period of crisis with developing economic systems, new financial architecture and international financial integration. Thus, in this study, the volatility spillover effects of financial markets between United States, Turkey, Germany, Spain, Hungary, and Poland are examined within the 2008 global crisis. In order to detect the volatility transmission, the effects of the FED’s and the ECB's decisions / shocks on the studied markets were investigated by the BEKK-GARCH method. As a result, it was determined that all other countries examined except of Hungary were affected in FED interest rate decisions in the short term.

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