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Given the evidence of occasional discrete shifts in the conditional variance process, it is essential to test the volatility of financial markets when a reasonable suspicion exists for structural change. This paper examines the volatility changes of emerging stock markets over a period extending from April 2005 to March 2015. We apply the Bai and P...
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Context 1
... t P is the daily closing price and t r is the daily log-returns. Summary statistics for daily returns of different stock markets are presented in Table 2. This table shows clear evidence of deviations from normality as it can be seen by the high values of skewness and kurtosis. ...Context 2
... 6 indicates that the estimation results of the AR (p)-GARCH (1, 1) models with dummy in the mean and variance provide significant findings. First, The improvement of the values of the maximum log-likelihood and the decreasing of the AIC and BIC values (see Table 2 and Table 4) indicate that including dummy variables in the GARCH models provides a better performance. Moreover, For all countries, we can note that the measure of volatility persistence decreases substantially when incorporating the structural change into our model, which is consistent, for both the emerging and major stock markets, with the results found by Aggarwal et al. [3]; Shawkat and Humin [38]; Wenshwo et al. [46]; Go and Hamori [23]; etc. ...Similar publications
L’objet du travail présenté est de savoir si les rendements et la volatilité du marché brésilien des actions s’ajustent rapidement aux annonces du rating souverain et si la finance directe (par les investisseurs internationaux) permet de créer une meilleure allocation des ressources au Brésil. Pour la rentabilité financière et la volatilité des act...
Citations
... The prominent structural breaks in Istanbul Stock Market were mainly seen in March, 2003, when the invasion of Iraq happened, and the Turkish parliament refused to send troops to Iraq. Turkish Stock Market decreased by 11.29% during [17][18][19][20][21][22][23][24][25]2003 due to the invasion of Iraq (Taşkin et al., 2016). Second, the exchange rates were determined to be floating in this period (2001)(2002)(2003)(2004)(2005)(2006)(2007)(2008). ...
In this paper, we investigate the effects of selected macroeconomic variables on the Istanbul Stock Market Return. We explore the relationship among the Istanbul Stock Market Return, Crude oil price, Inflation rate, and Exchange rate via employing monthly data from 2000-04-01 until 2017-12-01 in Turkey. Based on the Markov Regime Switching Model, we find that the Turkish Stock Market Return is divided into two regimes. The results indicate that Stock Return lags have a positive effect on the Stock Market itself, and only the second lag in regime 1 is significant. Besides, the test results show that the positive effects of crude oil price and negative effects of inflation rate in regime 0 (Low-return regime) are meaningful, while the exchange rate is meaningful just in regime 1 (High-return regime), which leads to reductions in Stock Market Return. Furthermore, the probability matrix indicates that the probability of stability in regime 0 is more than that of regime 1.
... Bu vb. nedenlerle özellikle güncel literatüre bakıldığında ICSS algoritmasına alternatif olarak, finansal zaman serilerinin volatilitesindeki çoklu yapısal kırılmaların belirlenmesinde Bai ve Perron (1998, 2003 testinden yararlanan çalışmaların sayısında belirgin bir artış olduğu gözlemlenmektedir (Örneğin bakınız : Hua vd., 2013;Mensi vd., 2014;Jung ve Maderitsch, 2014;Abdennadher ve Hallara, 2018). ...
Bu çalışmada Türk hisse senedi piyasaları için risk ile getiri arasındaki ilişki analiz edilmiştir. Bu amaçla öncelikle geleneksel yaklaşım çerçevesinde FIAPARCH-M, FIGARCH-M, HYGARCH, APARCH-M, GJR-GARCH ve GARCH-M modellerinden yararlanılmıştır. İlgili modeller hem tüm dönem için hem de volatilitedeki çoklu yapısal kırılmalar dikkate alınarak belirlenen yüksek ve düşük volatilite dönemleri için ayrı ayrı tahmin edilmiştir. Daha sonra alternatif bir yaklaşım olarak ilgili tüm modeller gerçekleşen piyasa risk priminin pozitif olduğu dönemler ile negatif olduğu dönemler dikkate alınarak tekrar tahmin edilmiştir. Ayrıca, bu alternatif modele dayalı olarak aşırı tepki hipotezinin Türk hisse senedi piyasaları için geçerli olup olmadığı da incelenmiştir. Geleneksel yaklaşıma dayalı bulgular teorik beklentilerin aksine Türk hisse senedi piyasasında risk ile getiri arasında negatif ve istatistiki olarak anlamlı olmayan bir ilişki olduğu sonucuna işaret etmektedir. Alternatif yaklaşıma dayalı bulgular ise risk ile getiri arasında teorik beklentilerle uyumlu bir ilişki olduğunu göstermektedir. Bulgular ayrıca aşırı tepki hipotezinin Türk hisse senedi piyasaları için geçerli olmadığı sonucuna işaret etmektedir. Bu bulgu da Türk hisse senedi piyasalarında uygulanabilecek yatırım stratejileri konusunda önemli bilgiler içermektedir.
... The succession of crises during the recent years to the Global Financial Crisis (GFC) showed that financial shocks in one country can quickly affect other countries and have bad effects on several other financial markets [3,4]. Consequently, this has fueled the debate on the contagious character of these financial crises and highlighted its seriousness [3,4]. ...
... The succession of crises during the recent years to the Global Financial Crisis (GFC) showed that financial shocks in one country can quickly affect other countries and have bad effects on several other financial markets [3,4]. Consequently, this has fueled the debate on the contagious character of these financial crises and highlighted its seriousness [3,4]. In fact, there is a considerable ambiguity surrounding the precise definition of contagion. ...
One of the most debated issues of financial markets is the importance of volatility and contagion, especially during the periods of global financial crises. To address this literature gap, this paper tries to examine the possible factors behind contagion. To achieve that, we examine a wide array of proxies' variables controlling fundamental and pure contagion for MENA and US stock markets during the period from April 2005 to March 2015 using a regression model. Overall, our results provide considerable evidence about the coexistence of "pure" and "fundamental-based contagion" during the global financial crises and its effect on the stock market volatility spillovers.
In this study, the mean and volatility spillover effects from the Euro, British pound, Japanese yen, Brazilian real, South African rand, Mexican peso, S. Korean won against US dollar to the Turkish lira against the US dollar are examined using the Cheung-Ng (1996) causality-in variance test. Structural breaks in the volatility series are also taken into account in the analyses. The FIGARCH model is used to model the volatility of the relevant foreign exchange returns, and the Bai and Perron (1998, 2003) test is applied to determine the structural breaks in the volatility series. Results indicate that there is a unidirectional mean spillover effect from Japanese yen, British pound, Mexican peso and South African rand to Turkish lira whereas it is found that there exists a bidirectional mean spillover effect between Turkish lira and Brazilian real, Euro and S.Korean won. As for volatility spillover effect, the results show that though the volatility of all currencies within the scope of the study has an significant effect on the volatility of Turkish lira, the volatility of Turkish lira mostly stems from its own internal dynamics. The study findings have important implications for both international investors and policy makers.
