Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14365/1398
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dc.contributor.authorBaklaci, Hasan Fehmi-
dc.contributor.authorAydogan, Berna-
dc.contributor.authorYelkenci, Tezer-
dc.date.accessioned2023-06-16T14:11:28Z-
dc.date.available2023-06-16T14:11:28Z-
dc.date.issued2020-
dc.identifier.issn0275-5319-
dc.identifier.issn1878-3384-
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2020.101182-
dc.identifier.urihttps://hdl.handle.net/20.500.14365/1398-
dc.description.abstractThis 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.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofResearch in Internatıonal Busıness And Fınanceen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectVolatility spilloveren_US
dc.subjectExchange ratesen_US
dc.subjectMultivariate GARCHen_US
dc.subjectIntradayen_US
dc.subjectForeign-Exchange Marketen_US
dc.subjectDynamic Relationshipen_US
dc.subjectOil Marketen_US
dc.subjectRatesen_US
dc.subjectBricsen_US
dc.subjectLinkagesen_US
dc.subjectReturnsen_US
dc.subjectContagionen_US
dc.subjectPricesen_US
dc.subjectCrisisen_US
dc.titleImpact of stock market trading on currency market volatility spilloversen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.ribaf.2020.101182-
dc.identifier.scopus2-s2.0-85079140071en_US
dc.departmentİzmir Ekonomi Üniversitesien_US
dc.authorscopusid22984460700-
dc.authorscopusid54946151900-
dc.authorscopusid56455368000-
dc.identifier.volume52en_US
dc.identifier.wosWOS:000522397200022en_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ1-
dc.identifier.wosqualityQ1-
item.grantfulltextreserved-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
item.openairetypeArticle-
item.fulltextWith Fulltext-
item.languageiso639-1en-
crisitem.author.dept03.04. International Trade and Finance-
crisitem.author.dept03.04. International Trade and Finance-
Appears in Collections:Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection
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