Please use this identifier to cite or link to this item:
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises (Forthcoming/Available Online)
Authors: Bajo-Rubio, Oscar
Berke, Burcu
McMillan, David
Contact Email:
Keywords: Spillovers
Exchange Rates
Stock Returns
Commodity Markets
Issue Date: 12-Apr-2017
Citation: Bajo-Rubio O, Berke B & McMillan D (2017) The Behaviour of Asset Return and Volatility Spillovers in Turkey: A Tale of Two Crises (Forthcoming/Available Online), Research in International Business and Finance.
Abstract: This paper examines return and volatility spillovers between the Turkish stock market with international stock, exchange rate and commodity markets. Our aim is not only to examine spillover behaviour with a large emerging market but also to examine cross—asset spillovers and how they vary across two periods of financial market crisis; the dotcom crash and the liquidity-induced financial crisis. This is to be compared with existing work that typically focuses on industrialised countries or single asset markets only. Using the spillover index methodology we uncover an interesting distinction between these two periods of markets stress. Over the dotcom period spillovers are largely between the same asset class, notably two exchange rate series and two international stock markets series. However, in the period including the financial crisis, spillovers both increase and cross asset types and suggest a much greater degree of market interdependence. Understanding this changing nature in spillovers is key for investors, regulators and academics involved in theoretical model development.
DOI Link:
Rights: This item has been embargoed for a period. During the embargo please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.

Files in This Item:
File Description SizeFormat 
turkey_spillovers_revise_final.pdf837.43 kBAdobe PDFUnder Embargo until 12/10/2018     Request a copy

Note: If any of the files in this item are currently embargoed, you can request a copy directly from the author by clicking the padlock icon above. However, this facility is dependent on the depositor still being contactable at their original email address.

This item is protected by original copyright

Items in the Repository are protected by copyright, with all rights reserved, unless otherwise indicated.

If you believe that any material held in STORRE infringes copyright, please contact providing details and we will remove the Work from public display in STORRE and investigate your claim.