search query: @freeterm SPILLOVERS / total: 36
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| Author: | Darrat, A.F. Benkato, O.M. |
| Title: | Interdependence and volatility spillovers under market liberalization: the case of Istanbul Stock Exchange |
| Journal: | Journal of Business Finance and Accounting
2003 : SEP/OCT, VOL. 30:7/8, p. 1089-1114 |
| Index terms: | Liberalization Stock exchanges Volatility Turkey |
| Freeterms: | Spillovers |
| Language: | eng |
| Abstract: | Stock returns and volatily relations are analyzed between the Istanbul Stock Exchange (ISE) and the global market as represented by stock markets in the US and the UK, Japan and Germany. Results from monthly data and multivariate cointegration tests indicate that the ISE became significantly integrated in the global market only in the period following market liberalization in the late 1989. Evidence is also found based on GARCH estimations that capital liberalization actually mitigated, rather than intensified, volatility in the ISE. |
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