Volatility spillovers from US to Emerging seven stock markets: Pre & post analysis of gfc

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dc.authorwosidW-4463-2018
dc.contributor.authorIrshad, Shoaib
dc.contributor.authorKhurshid, Muzammil
dc.contributor.authorBadshah, Waqar
dc.contributor.authorBulut, Mehmet
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2021-08-20T08:33:32Z
dc.date.available2021-08-20T08:33:32Z
dc.date.issued2021
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İktisat Bölümü
dc.description.abstractThis study is conducted to check volatility spillovers from the US to Emerging seven stock markets before and after the Global Financial Crisis through the VAR-GARCH model. The pre The Global Financial Crisis (GFC) sub-sample data ranges from January 8, 2002 to June 29, 2007 and Post GFC data starts from July 4, 2009 to December 28, 2014. The outcomes of the VAR-GARCH model show that there are significant volatility spillovers from US stock market to emerging seven stock markets in most cases. The correlations reveal that the US stock market is strongly correlated with the Brazilian stock exchange, Mexican stock exchange and Russian stock exchange. These findings suggest that investors may consider geographical proximity into consideration. The empirical results also mention that the Chinese stock market, the Indonesian stock market and Indian stock market have less effect by the volatility spillovers from the US stock market. The findings also demonstrate that the Brazilian, Mexican and Russian stock markets observed a rapid increase in the CCC with the US market.
dc.identifier.citationIrshad, S., Khurshid, M., Badshah, W. ve Bulut, M. (2021). Volatility spillovers from US to Emerging seven stock markets: Pre & post analysis of gfc. International Journal of Contemporary Economics and Administrative Sciences, 11(1), 46-59.
dc.identifier.doi10.5281/zenodo.5136385
dc.identifier.endpage59
dc.identifier.issn1925-4423
dc.identifier.issue1
dc.identifier.startpage46
dc.identifier.urihttps://doi.org/10.5281/zenodo.5136385
dc.identifier.urihttps://hdl.handle.net/20.500.12154/1583
dc.identifier.volume11
dc.identifier.wosWOS:000678547100002
dc.identifier.wosqualityQ4
dc.indekslendigikaynakWeb of Science
dc.institutionauthorBadshah, Waqar
dc.institutionauthorid[No ORCID Available]
dc.language.isoen
dc.publisherInt Journal Contemporary Economics & Administrative Sciences
dc.relation.ihupublicationcategory117
dc.relation.ispartofInternational Journal of Contemporary Economics and Administrative Sciences
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectVolatility Spillover
dc.subjectGlobal Financial Crisis
dc.subjectEmerging Seven
dc.subjectUS
dc.subjectVAR-GARCH Model
dc.titleVolatility spillovers from US to Emerging seven stock markets: Pre & post analysis of gfc
dc.typeArticle
dspace.entity.typePublication
relation.isOrgUnitOfPublication9d1809d1-3541-41aa-94ed-639736b7e16f
relation.isOrgUnitOfPublication.latestForDiscovery9d1809d1-3541-41aa-94ed-639736b7e16f

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