Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81622
Authors: 
Tasdemir, Murat
Yalama, Abdullah
Year of Publication: 
2010
Series/Report no.: 
Discussion Paper, Turkish Economic Association 2010/8
Abstract: 
This study investigates volatility spillovers between two stock markets, Turkish and Brazilian, located in different regions of the world. Using a misspecification robust causality-in-variance test, we found strong evidence supporting volatility spillovers from Istanbul Stock Exchange (ISE) to São Paulo Stock Exchange (BOVESPA). The results imply that financial crises may change the size and the direction of volatility spillovers between markets.
Subjects: 
Causalit-in-variance
volatility spiiovers
emerging markets
Turkey
Brazil
Document Type: 
Working Paper

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