Abstract:

In this study, the interaction between stock market indices of emerging markets was analyzed by VAR-EGARCH method. The volatility spillover and variance change were examined between Morgan Stanley Capital International (MSCI) Indices which are Brazil, Mexico, Russia, Turkey, and Emerging Market Indices, in the period from 3/12/2013 to 12/30/2016. The results of the econometric analysis: i) AR parameter values show that permanent deviations in the return of the stock indices following the shocks experienced in the markets, ii) estimating very low levels of the coefficient of determination to explain the change in the markets suggests that all of the markets are in the weak-form efficiency, iii) the leverage effect, represents the asymmetric effect of shocks on volatility has been found to be fairly high for Mexican and Russian markets- negative shocks increased volatility by 5.71 and 5.01 times to positive shocks, and the asymmetric volatility spillover mechanism has found, iv) in Brazil and Turkey, the volatility spillover effect between the markets was obtained symmetrically but insignificant, and v) MSCI EM Index was determined as the lead index.

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