TESTING INTRADAY VOLATILITY SPILLOVERS IN TURKISH CAPITAL MARKETS: EVIDENCE FROM ISE

被引：2
|
作者：
Okur, Mustafa [1 ]
Cevik, Emrah I. [2 ]
机构：
[1] Marmara Univ, Sch Banking & Insurance, TR-34722 Istanbul, Turkey
[2] Bulent Ecevit Univ, Dept Econometr, TR-67100 Incivez Zonguldak, Turkey
来源：
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA | 2013年 / 26卷 / 03期
关键词：
Spot and Futures Markets; Structural Breaks in Variance; Volatility Spillovers; Intraday Data; Causality in Variance; STOCK INDEX FUTURES; LEAD-LAG RELATIONSHIP; PRICE DISCOVERY; TIME-SERIES; UNIT-ROOT; CAUSALITY; SPOT; VARIANCE; INFORMATION; TRANSMISSION;
D O I：
10.1080/1331677X.2013.11517624
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：99 / 116
页数：18
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