Abstract:

The aim of this study is to examine the volatility spillover effects of German, French and American stock market indices on BIST 100 Turkish stock market index. Dataset consists of daily closing price observations starting from January 2, 2004, until February 6, 2017, for indices DAX 30, CAC 40, S&P 500 and BIST 100. E-GARCH(1,1) method has been used to model the conditional variance. Volatility is in a relatively narrow band under a non-crisis economic conjuncture. On the other hand, it is expected that the global risk will be higher during crisis periods. Therefore, the differentiation in the volatility spillover behavior among the markets while under different economic conditions is a rational expectation. In this regard, the Threshold VAR (TVAR) model was used in the study. In the result of the study, it has been observed that the volatility spillover effect on the BIST 100 index is relatively low in the regimes where the global risk is low, whereas the effect is relatively higher in the regime where the global risk is high. Furthermore, results of analysis also indicate that S&P is the most influential index to affect BIST 100 both in high and low-risk regimes.

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