Research Article
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Year 2023, Volume: 23 Issue: 2, 297 - 314, 10.05.2023
https://doi.org/10.21121/eab.855864

Abstract

References

  • Akar C. (2005). Volatilitenin Negatif ve Pozitif Şoklara Asimetrik Tepkisi: TAR-GARCH Modeli Kullanılarak Türkiye Verilerinden Yeni Bir Kanıt, İMKB Dergisi, 9(36), 75-82.
  • Allen, D. E., Amram, R., & McAleer, M. (2013). Volatility spillovers from the Chinese stock market to economic neighbours, Mathematics and Computers in Simulation 94, 238–257.
  • Bae, K.-H., Karolyi, G.A. & Stulz, R.M., 2003. A new approach to measuring financial contagion. Review of Financial Studies 16, 717–763.
  • Baele, L., Bekaert, G. & Inghelbrecht, K. (2010). The Determinants of Stock and Bond Return Comovements, 23(6), 2374-2428.
  • Baykut E. & Kula V. (2018). Borsa Istanbul Pay Endekslerinin Volatilite Yapısı: BİST-50 Örneği (2007-2016 Yılları), Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi 20(1), 279-303 .
  • Black F. (1976.) Studies of Stock Price Volatility Changes, Proceedings of the Business and Economics Section of the American Statistical Association”, 177-181.
  • Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. The Review of Economics and Statistics, 72, 498–505.
  • Bollerslev, T., Engle, R.F. & Wooldridge, J. (1988). A capital asset pricing model with time varying covariances. Journal of Political Economy, 96, 143–172.
  • Campbell J.Y. & Ammer J. (1993). What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance 48: 3–37.
  • Campbell, J.Y., & Vuolteenaho, T., (2004). Bad beta, good beta. The American Economic Review 94, 1249–1275.
  • Chan, F., Marinova D. & McAleer M. (2005). Rolling regressions and conditional correlations of foreign patents in the USA, Environmental Modelling and Software, 20, 1413-1422.
  • Chang, C., McAleer, M., & Tansuchat, R., (2010). Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets, Energy Economics 32, 1445–1455.
  • Chang, C., Khamkaew, T., McAleer, M., & Tansuchat, R., (2011). Modelling conditional correlations in the volatility of Asian rubber spot and futures returns, Mathematics and Computers in Simulation 81, 1482–1490.
  • Chang, C., McAleer, M., & Tansuchat, R., (2013). Conditional correlations and volatility spillovers between crude oil and stock index returns, North American Journal of Economics and Finance 25, 116-138.
  • Cihangir Ç. K., & Uğurlu E. (2017). Volatility In Gold Market: Model Recommendation For Turkey, Journal of Business Research Turk, 9(3), 284-299.
  • Connelly R., Stivers C. & Sun L. (2005). Stock Market Uncertainty and the Stock-Bond Return Relation, The Journal of Financial and Quantitative Analysis, 40(1), 161-194.
  • Dean, Warren G., Faff, Robert W., Loudon & Geoffrey F. (2010), Asymmetry in return and volatility spillovers between equity and bond markets in Australia, Pacific-Basin Finance Journal, 18(3), 272-289.
  • Demirgil H., Kayış A. A. & Sezgin A. (2015). Ham Petrol Fiyatlarında Belirsizlik ve Büyüme Üzerinde Asimetrik Etkileri: VARMA-GARCH ve Asimetrik BEKK Modelleri, International Conference on Economics (August 18-20, 2015), Torino, Italy.
  • Dickey, D. A., & Fuller, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, Vol. 74, Issue 366, 427-431.
  • Ding, Z., Granger, C.W.J. & Engle R. F., (1993), “A Long Memory Property of Stock Market Returns and a New Model”, Journal of Empirical Finance, 1(1): 83–106.
  • Doğanay M.M. (2003), İMKB DİBS Fiyat Endekslerinin Volatilite Ve Kovaryanslarının Öngörülmesi, İMKB Dergisi, 7(27), 17-37.
  • Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica, 50, 987–1008.
  • Engle, R.F., & Ng, V.K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 5, 1749–1778.
  • Engle, R.F., & Kroner, K.F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11, 122–150.
  • Engle, R.F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20, 339–350.
  • Gök, R. & Çankal E. (2020). Granger Causal Relationship Between Bond Yield Changes and Equity Returns Through Wavelets Analysis: The Case of Turkey. Ege Academic Review, 20(4), 301-317.
  • Fleming, J., Kirby, C. & Ostdiek, B., (1998). Information and volatility linkages in the stock, bond, and money markets. Journal of Financial Economics 49, 111–137.
  • Glosten, L.R., Jagannathan, R., & Runkel, D.E. (1993). On the relation between the expected value and volatility of nominal excess return on stocks. Journal of Finance, 48(5), 1779–1801.
  • Gunay S. (2019), An analysis through credit default swap, asset swap and zero-volatility spreads: Coup attempt and Bist 100 volatility, Borsa Istanbul Review, 19(2), 158-170.
  • Hakim, A., & McAleer, M. (2009). Forecasting conditional correlations in stock, bond and foreign exchange markets, Mathematics and Computers in Simulation 79, 2830–2846.
  • Hakim, A., & McAleer, M. (2010). Modelling the interactions across international stock, bond and foreign exchange markets, Applied Economics, 42, 825–850.
  • Hoti, S., Chan, F., & McAleer, M. (2002). Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings, Invited paper presented to the Australasian Meeting of the Econometric Society, Brisbane, Australia, July 2002.
  • Hung, T. N. (2020). An analysis of CEE equity market integration and their volatility spillover effects, European Journal of Management and Business Economics, 29(1), 23-40.
  • Ilmanen, A., 2003. Stock–bond correlations. The Journal of Fixed Income 13, 55–66.
  • Jarque, C.M., & Bera, A.K. (1980). Efficient tests for normality, homoskedasticity and serial independence of regression residuals. Economic Letters, 6, 255–259.
  • Jin, X. (2015), Asymmetry in return and volatility spillovers between China's interbank and exchange T-bond markets, International Review of Economics and Finance 37, 340-353.
  • Jones, C.P. & Wilson J. W. (2004). The Changing Nature of Stock and Bond Volatility, Financial Analysts Journal, 60(1), 100-113.
  • Jung C., Shambora W. & Choi K. (2007), Are stocks really riskier than bonds?, Applied Economics, 42, 403-412.
  • Kaya, H. & Soybilen, B. (2019). Evaluating the Asymmetric Effects of Production, Interest Rate and Exchange Rate on the Turkish Stock Prices, Ege Academic Review, 19(2), 293-300.
  • King, M A. & Wadhwani, S. 1990, Transmission of Volatility between Stock Markets. The review of financial studies, 3(1), 5-33.
  • Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159–178.
  • Koutmos, G., 1999. Asymmetric price and volatility adjustments in emerging Asian stock markets. Journal of Business Finance & Accounting 26, 83–101.
  • Li, L. (2002). Macroeconomıc factors and the correlatıon of stock and bond returns. Yale ICF Working Paper, 02-46, 1-50.
  • Ling, S. & McAleer, M. (2003). Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory, 19, 280–310.
  • Ljung, G.M. & Box, G.E.P., 1978. On a measure of lack of fit in time series models. Biometrika 65, 297-303.
  • Mazıbaş M. (2004). İMKB Piyasalarındaki Volatilitenin Modellenmesi ve Öngörülmesi: Asimetrik GARCH Modelleri ile Bir Uygulama, Proceedings Book of VIII. National Finance Symposium.
  • McAleer, M., Hoti, S., & Chan, F. (2009). Structure and asymptotic theory for multivariate asymmetric conditional volatility. Econometric Review, 28, 422–440.
  • Nelson, D. B. (1991) Conditional heteroscedasticity in asset returns: a new approach, Econometrica, 59(2), 347-370.
  • Okay N. (1998). Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange, Business & Economics for the 21st Century, Anthology, 2, 207-216, Worcester, USA.
  • Özçiçek Ö. (2005). Türkiye’de Döviz Kuru Getirisi ve Hisse Senedi Endeks Getirileri Oynaklıkları Arası Simetri ve Asimetrik İlişki, İMKB Dergisi, 10(37), 1-11.
  • Payaslıoğlu C. (2001). Istanbul Menkul Kıymetler Borsası’nda Volatilite Asimetrisinin Sınanması, İMKB Dergisi, 5(18), 1-11.
  • Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regressions. Biometrika, 75, 335–346.
  • Shiller R.J. & Beltratti AE. 1992. Stock prices and bond yields. Journal of Monetary Economics 30: 25–46.
  • Soytaş U. & Oran A. (2011). Volatility spillovers from world oil spot markets to aggregate and electricity stock index returns in Turkey, Applied Energy, 88, 354-360.
  • Lin W. A & Takatoshi I., (1993). Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets, Volume Title: The Internationalization of Equity Markets Volume Author/Editor: Jeffrey A. Frankel, editör Volume Publisher: University of Chicago Press.
  • Tokat H. A. (2013). Altın, Döviz ve Hisse Senedi Piyasalarında Oynaklık Etkileşimi Mekanizmasının Analizi, Istanbul Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 48, 151-162.
  • Tule, M. K., Ndako, U. B., & Onipede, S. F. (2017). Oil price shocks and volatility spillovers in the Nigerian sovereign bond market, Review of Financial Economics, 35, 57–65.
  • Tule, M. K., Dogo, M., & Uzonwanne, G. (2018). Volatility of stock market returns and the naira exchange rate, Global Finance Journal 35, 97–105.
  • Tüzemen S. & Köseoğlu M. (2018). Do Negative Oil Price Shocks Affect The Industrial Sector Stock Prices More Than Positive Shocks? A Bivariate EGARCH Analysis For Turkey, Sosyal Bilimler Araştırmaları Dergisi, 1(1), 1-15.
  • Yavan Z.A. & Aybar C.B. (1998). İMKB’de Oynaklık, İMKB Dergisi, 2(6), 35-47.
  • Yıldız B. (2016). Oynaklık Tahmininde Simetrik ve Asimetrik GARCH Modellerinin Kullanılması: Seçilmiş BİST Alt Sektör Endeksleri Üzerine Bir Uygulama, Muhasebe Finansman Dergisi, Ekim, 83-105.
  • Zakoian, J,M. (1994). Threshold heteroskesdastic model, Journal of Economic Dynamics and Control, 18, 931-995.
  • Zhang, J., Zhang, D., Wang, J. & Zhang Y. (2013). Volatility Spillovers Between Equity and Bond Markets: Evidence from G7 and BRICS, Romanian Journal of Economic Forecasting, 16(4), 205-217

Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey

Year 2023, Volume: 23 Issue: 2, 297 - 314, 10.05.2023
https://doi.org/10.21121/eab.855864

Abstract

In this study to analyze the asymmetric volatility spillovers. We study in the stock and bond markets in Borsa Istanbul. The research covers 2003-2019. Financial crises have increased the importance of the transition between the stock and bond market. Apart from the full period, the 2008 financial crisis period examines separately in order to see the effects of the spillovers during the crisis period. First, asymmetric volatility tests with the sign bias test. Then, whether the stock and bond market volatility is asymmetric, investigate with the GJR-GARCH model. Finally, asymmetric volatility between the two markets test with the VARMA-AGARCH model. According to the asymmetric volatility test results, negative volatility asymmetry exists in the bond market in full period. Asymmetric volatility is positive in both market in the crisis time. Return spillovers from the stock market to bond market in full period. It is opposite direction during the crisis period. We have found volatility spillovers bidirectional among the stock market and the bond market. However, during the global crisis period, volatility spillover is bidirectional from the stock market to the bond market.

References

  • Akar C. (2005). Volatilitenin Negatif ve Pozitif Şoklara Asimetrik Tepkisi: TAR-GARCH Modeli Kullanılarak Türkiye Verilerinden Yeni Bir Kanıt, İMKB Dergisi, 9(36), 75-82.
  • Allen, D. E., Amram, R., & McAleer, M. (2013). Volatility spillovers from the Chinese stock market to economic neighbours, Mathematics and Computers in Simulation 94, 238–257.
  • Bae, K.-H., Karolyi, G.A. & Stulz, R.M., 2003. A new approach to measuring financial contagion. Review of Financial Studies 16, 717–763.
  • Baele, L., Bekaert, G. & Inghelbrecht, K. (2010). The Determinants of Stock and Bond Return Comovements, 23(6), 2374-2428.
  • Baykut E. & Kula V. (2018). Borsa Istanbul Pay Endekslerinin Volatilite Yapısı: BİST-50 Örneği (2007-2016 Yılları), Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi 20(1), 279-303 .
  • Black F. (1976.) Studies of Stock Price Volatility Changes, Proceedings of the Business and Economics Section of the American Statistical Association”, 177-181.
  • Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. The Review of Economics and Statistics, 72, 498–505.
  • Bollerslev, T., Engle, R.F. & Wooldridge, J. (1988). A capital asset pricing model with time varying covariances. Journal of Political Economy, 96, 143–172.
  • Campbell J.Y. & Ammer J. (1993). What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance 48: 3–37.
  • Campbell, J.Y., & Vuolteenaho, T., (2004). Bad beta, good beta. The American Economic Review 94, 1249–1275.
  • Chan, F., Marinova D. & McAleer M. (2005). Rolling regressions and conditional correlations of foreign patents in the USA, Environmental Modelling and Software, 20, 1413-1422.
  • Chang, C., McAleer, M., & Tansuchat, R., (2010). Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets, Energy Economics 32, 1445–1455.
  • Chang, C., Khamkaew, T., McAleer, M., & Tansuchat, R., (2011). Modelling conditional correlations in the volatility of Asian rubber spot and futures returns, Mathematics and Computers in Simulation 81, 1482–1490.
  • Chang, C., McAleer, M., & Tansuchat, R., (2013). Conditional correlations and volatility spillovers between crude oil and stock index returns, North American Journal of Economics and Finance 25, 116-138.
  • Cihangir Ç. K., & Uğurlu E. (2017). Volatility In Gold Market: Model Recommendation For Turkey, Journal of Business Research Turk, 9(3), 284-299.
  • Connelly R., Stivers C. & Sun L. (2005). Stock Market Uncertainty and the Stock-Bond Return Relation, The Journal of Financial and Quantitative Analysis, 40(1), 161-194.
  • Dean, Warren G., Faff, Robert W., Loudon & Geoffrey F. (2010), Asymmetry in return and volatility spillovers between equity and bond markets in Australia, Pacific-Basin Finance Journal, 18(3), 272-289.
  • Demirgil H., Kayış A. A. & Sezgin A. (2015). Ham Petrol Fiyatlarında Belirsizlik ve Büyüme Üzerinde Asimetrik Etkileri: VARMA-GARCH ve Asimetrik BEKK Modelleri, International Conference on Economics (August 18-20, 2015), Torino, Italy.
  • Dickey, D. A., & Fuller, W. A. (1979), Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, Vol. 74, Issue 366, 427-431.
  • Ding, Z., Granger, C.W.J. & Engle R. F., (1993), “A Long Memory Property of Stock Market Returns and a New Model”, Journal of Empirical Finance, 1(1): 83–106.
  • Doğanay M.M. (2003), İMKB DİBS Fiyat Endekslerinin Volatilite Ve Kovaryanslarının Öngörülmesi, İMKB Dergisi, 7(27), 17-37.
  • Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica, 50, 987–1008.
  • Engle, R.F., & Ng, V.K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 5, 1749–1778.
  • Engle, R.F., & Kroner, K.F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11, 122–150.
  • Engle, R.F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business & Economic Statistics, 20, 339–350.
  • Gök, R. & Çankal E. (2020). Granger Causal Relationship Between Bond Yield Changes and Equity Returns Through Wavelets Analysis: The Case of Turkey. Ege Academic Review, 20(4), 301-317.
  • Fleming, J., Kirby, C. & Ostdiek, B., (1998). Information and volatility linkages in the stock, bond, and money markets. Journal of Financial Economics 49, 111–137.
  • Glosten, L.R., Jagannathan, R., & Runkel, D.E. (1993). On the relation between the expected value and volatility of nominal excess return on stocks. Journal of Finance, 48(5), 1779–1801.
  • Gunay S. (2019), An analysis through credit default swap, asset swap and zero-volatility spreads: Coup attempt and Bist 100 volatility, Borsa Istanbul Review, 19(2), 158-170.
  • Hakim, A., & McAleer, M. (2009). Forecasting conditional correlations in stock, bond and foreign exchange markets, Mathematics and Computers in Simulation 79, 2830–2846.
  • Hakim, A., & McAleer, M. (2010). Modelling the interactions across international stock, bond and foreign exchange markets, Applied Economics, 42, 825–850.
  • Hoti, S., Chan, F., & McAleer, M. (2002). Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings, Invited paper presented to the Australasian Meeting of the Econometric Society, Brisbane, Australia, July 2002.
  • Hung, T. N. (2020). An analysis of CEE equity market integration and their volatility spillover effects, European Journal of Management and Business Economics, 29(1), 23-40.
  • Ilmanen, A., 2003. Stock–bond correlations. The Journal of Fixed Income 13, 55–66.
  • Jarque, C.M., & Bera, A.K. (1980). Efficient tests for normality, homoskedasticity and serial independence of regression residuals. Economic Letters, 6, 255–259.
  • Jin, X. (2015), Asymmetry in return and volatility spillovers between China's interbank and exchange T-bond markets, International Review of Economics and Finance 37, 340-353.
  • Jones, C.P. & Wilson J. W. (2004). The Changing Nature of Stock and Bond Volatility, Financial Analysts Journal, 60(1), 100-113.
  • Jung C., Shambora W. & Choi K. (2007), Are stocks really riskier than bonds?, Applied Economics, 42, 403-412.
  • Kaya, H. & Soybilen, B. (2019). Evaluating the Asymmetric Effects of Production, Interest Rate and Exchange Rate on the Turkish Stock Prices, Ege Academic Review, 19(2), 293-300.
  • King, M A. & Wadhwani, S. 1990, Transmission of Volatility between Stock Markets. The review of financial studies, 3(1), 5-33.
  • Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159–178.
  • Koutmos, G., 1999. Asymmetric price and volatility adjustments in emerging Asian stock markets. Journal of Business Finance & Accounting 26, 83–101.
  • Li, L. (2002). Macroeconomıc factors and the correlatıon of stock and bond returns. Yale ICF Working Paper, 02-46, 1-50.
  • Ling, S. & McAleer, M. (2003). Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory, 19, 280–310.
  • Ljung, G.M. & Box, G.E.P., 1978. On a measure of lack of fit in time series models. Biometrika 65, 297-303.
  • Mazıbaş M. (2004). İMKB Piyasalarındaki Volatilitenin Modellenmesi ve Öngörülmesi: Asimetrik GARCH Modelleri ile Bir Uygulama, Proceedings Book of VIII. National Finance Symposium.
  • McAleer, M., Hoti, S., & Chan, F. (2009). Structure and asymptotic theory for multivariate asymmetric conditional volatility. Econometric Review, 28, 422–440.
  • Nelson, D. B. (1991) Conditional heteroscedasticity in asset returns: a new approach, Econometrica, 59(2), 347-370.
  • Okay N. (1998). Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange, Business & Economics for the 21st Century, Anthology, 2, 207-216, Worcester, USA.
  • Özçiçek Ö. (2005). Türkiye’de Döviz Kuru Getirisi ve Hisse Senedi Endeks Getirileri Oynaklıkları Arası Simetri ve Asimetrik İlişki, İMKB Dergisi, 10(37), 1-11.
  • Payaslıoğlu C. (2001). Istanbul Menkul Kıymetler Borsası’nda Volatilite Asimetrisinin Sınanması, İMKB Dergisi, 5(18), 1-11.
  • Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regressions. Biometrika, 75, 335–346.
  • Shiller R.J. & Beltratti AE. 1992. Stock prices and bond yields. Journal of Monetary Economics 30: 25–46.
  • Soytaş U. & Oran A. (2011). Volatility spillovers from world oil spot markets to aggregate and electricity stock index returns in Turkey, Applied Energy, 88, 354-360.
  • Lin W. A & Takatoshi I., (1993). Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets, Volume Title: The Internationalization of Equity Markets Volume Author/Editor: Jeffrey A. Frankel, editör Volume Publisher: University of Chicago Press.
  • Tokat H. A. (2013). Altın, Döviz ve Hisse Senedi Piyasalarında Oynaklık Etkileşimi Mekanizmasının Analizi, Istanbul Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 48, 151-162.
  • Tule, M. K., Ndako, U. B., & Onipede, S. F. (2017). Oil price shocks and volatility spillovers in the Nigerian sovereign bond market, Review of Financial Economics, 35, 57–65.
  • Tule, M. K., Dogo, M., & Uzonwanne, G. (2018). Volatility of stock market returns and the naira exchange rate, Global Finance Journal 35, 97–105.
  • Tüzemen S. & Köseoğlu M. (2018). Do Negative Oil Price Shocks Affect The Industrial Sector Stock Prices More Than Positive Shocks? A Bivariate EGARCH Analysis For Turkey, Sosyal Bilimler Araştırmaları Dergisi, 1(1), 1-15.
  • Yavan Z.A. & Aybar C.B. (1998). İMKB’de Oynaklık, İMKB Dergisi, 2(6), 35-47.
  • Yıldız B. (2016). Oynaklık Tahmininde Simetrik ve Asimetrik GARCH Modellerinin Kullanılması: Seçilmiş BİST Alt Sektör Endeksleri Üzerine Bir Uygulama, Muhasebe Finansman Dergisi, Ekim, 83-105.
  • Zakoian, J,M. (1994). Threshold heteroskesdastic model, Journal of Economic Dynamics and Control, 18, 931-995.
  • Zhang, J., Zhang, D., Wang, J. & Zhang Y. (2013). Volatility Spillovers Between Equity and Bond Markets: Evidence from G7 and BRICS, Romanian Journal of Economic Forecasting, 16(4), 205-217
There are 63 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Research Article
Authors

Aykut Karakaya 0000-0001-6491-132X

Melih Kutlu 0000-0002-8634-6330

Early Pub Date May 4, 2023
Publication Date May 10, 2023
Acceptance Date March 6, 2023
Published in Issue Year 2023 Volume: 23 Issue: 2

Cite

APA Karakaya, A., & Kutlu, M. (2023). Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. Ege Academic Review, 23(2), 297-314. https://doi.org/10.21121/eab.855864
AMA Karakaya A, Kutlu M. Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. ear. May 2023;23(2):297-314. doi:10.21121/eab.855864
Chicago Karakaya, Aykut, and Melih Kutlu. “Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey”. Ege Academic Review 23, no. 2 (May 2023): 297-314. https://doi.org/10.21121/eab.855864.
EndNote Karakaya A, Kutlu M (May 1, 2023) Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. Ege Academic Review 23 2 297–314.
IEEE A. Karakaya and M. Kutlu, “Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey”, ear, vol. 23, no. 2, pp. 297–314, 2023, doi: 10.21121/eab.855864.
ISNAD Karakaya, Aykut - Kutlu, Melih. “Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey”. Ege Academic Review 23/2 (May 2023), 297-314. https://doi.org/10.21121/eab.855864.
JAMA Karakaya A, Kutlu M. Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. ear. 2023;23:297–314.
MLA Karakaya, Aykut and Melih Kutlu. “Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey”. Ege Academic Review, vol. 23, no. 2, 2023, pp. 297-14, doi:10.21121/eab.855864.
Vancouver Karakaya A, Kutlu M. Asymmetry in Return and Volatility Spillovers Between Stock and Bond Markets in Turkey. ear. 2023;23(2):297-314.