The Effect of 2008 Crisis on the Volatility Spillovers among Six Major Markets

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dc.authoridOzturk, Serda Selin/0000-0003-2758-9321
dc.contributor.authorAkca, Kuebra
dc.contributor.authorOzturk, Serda Selin
dc.date.accessioned2024-07-18T20:47:31Z
dc.date.available2024-07-18T20:47:31Z
dc.date.issued2016
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractThe scope of this paper is to determine whether global stock markets function differently under conditions of economic crisis by measuring volatility spillovers between six major markets, namely the US, the UK, Germany, Spain, Turkey, and Greece. We examine the volatility spillover effects of the 2008 US financial crisis to these six major markets using daily stock returns from January 2003 to December 2014, before, during, and after the 2008 financial crisis. We combine the Diebold and Yilmaz methodology with the stochastic volatility model of Taylor implemented through the sequential Efficient Importance Sampling method of Richard and Zhang to obtain variance decompositions derived from an estimated vector autoregressive model. The empirical findings suggest that stock markets tend to show increased volatility spillovers during the crisis period, thus resulting in lesser diversification benefits for investors.en_US
dc.identifier.doi10.1111/irfi.12071
dc.identifier.endpage178en_US
dc.identifier.issn1369-412X
dc.identifier.issn1468-2443
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-84959188168en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage169en_US
dc.identifier.urihttps://doi.org/10.1111/irfi.12071
dc.identifier.urihttps://hdl.handle.net/11411/7830
dc.identifier.volume16en_US
dc.identifier.wosWOS:000371824900006en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherWiley-Blackwellen_US
dc.relation.ispartofInternational Review of Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectFinancial Crisisen_US
dc.subjectEquity Marketsen_US
dc.subjectStock Marketsen_US
dc.titleThe Effect of 2008 Crisis on the Volatility Spillovers among Six Major Marketsen_US
dc.typeArticleen_US

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