Impact of Stock Market Trading on Currency Market Volatility Spillovers
| dc.contributor.author | Baklaci, Hasan Fehmi | |
| dc.contributor.author | Aydogan, Berna | |
| dc.contributor.author | Yelkenci, Tezer | |
| dc.date.accessioned | 2023-06-16T14:11:28Z | |
| dc.date.available | 2023-06-16T14:11:28Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | This research aims to detect the volatility linkages among various currencies during operating and non-operating hours of three major stock markets (Tokyo, London and New York) by employing bivariate VAR-BEKK-GARCH model in selected currency pairs. In particular, the aim is to analyze whether the major stock markets have a differential impact on volatility linkages in currency markets. The results indicate that volatility linkages in intraday are far stronger then in daily results. One remarkable result is that rather than major currencies, some minor and exotic currencies play a leading role in volatility transmission during trading hours of major stock markets. | en_US |
| dc.identifier.doi | 10.1016/j.ribaf.2020.101182 | |
| dc.identifier.issn | 0275-5319 | |
| dc.identifier.issn | 1878-3384 | |
| dc.identifier.scopus | 2-s2.0-85079140071 | |
| dc.identifier.uri | https://doi.org/10.1016/j.ribaf.2020.101182 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14365/1398 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.relation.ispartof | Research in Internatıonal Busıness And Fınance | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Volatility spillover | en_US |
| dc.subject | Exchange rates | en_US |
| dc.subject | Multivariate GARCH | en_US |
| dc.subject | Intraday | en_US |
| dc.subject | Foreign-Exchange Market | en_US |
| dc.subject | Dynamic Relationship | en_US |
| dc.subject | Oil Market | en_US |
| dc.subject | Rates | en_US |
| dc.subject | Brics | en_US |
| dc.subject | Linkages | en_US |
| dc.subject | Returns | en_US |
| dc.subject | Contagion | en_US |
| dc.subject | Prices | en_US |
| dc.subject | Crisis | en_US |
| dc.title | Impact of Stock Market Trading on Currency Market Volatility Spillovers | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
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| gdc.coar.type | text::journal::journal article | |
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| gdc.description.department | İzmir Ekonomi Üniversitesi | en_US |
| gdc.description.departmenttemp | [Baklaci, Hasan Fehmi; Aydogan, Berna] Izmir Univ Econ, Fac Business, Dept Int Trade & Finance, Sakarya Caddesi 156 Balcova, TR-35330 Izmir, Turkey; [Yelkenci, Tezer] Nora Int Forwarding Co Ltd, Head Investments, Izmir, Turkey | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.scopusquality | Q1 | |
| gdc.description.volume | 52 | en_US |
| gdc.description.wosquality | Q1 | |
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| gdc.oaire.sciencefields | 0502 economics and business | |
| gdc.oaire.sciencefields | 05 social sciences | |
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| gdc.virtual.author | Baklacı, Hasan Fehmi | |
| gdc.virtual.author | Aydoğan, Berna | |
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