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


OKUR M. , ÇEVİK E. İ.

ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, vol.26, no.3, pp.99-116, 2013 (Journal Indexed in SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 26 Issue: 3
  • Publication Date: 2013
  • Doi Number: 10.1080/1331677x.2013.11517624
  • Title of Journal : ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA
  • Page Numbers: pp.99-116

Abstract

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.