Pregledni rad
TESTING INTRADAY VOLATILITY SPILLOVERS IN TURKISH CAPITAL MARKETS: EVIDENCE FROM ISE
Mustafa Okur
Sažetak
The aim of this article is to examine the presence of
volatility transmission between futures index and
underlying stock index by using intraday data in
Turkey. We first examined the sudden changes in the
variance of futures index return and the underlying
spot index return. Then we employed the causality
in the variance tests proposed by Hong (2001)
and Hafner and Herwartz (2006). According to the
empirical results, the spot market was found to
be Granger cause of futures market and this result
suggests that the spot market plays a more dominant
role in the price discovery process in Turkey.
Ključne riječi
Spot and Futures Markets; Structural Breaks in Variance; Volatility Spillovers; Intraday Data; Causality in Variance
Hrčak ID:
109118
URI
Datum izdavanja:
1.10.2013.
Posjeta: 2.042 *