文章基本信息

标题：Investigating the volatility spillover effect between derivative markets and spot markets via the wavelets: The case of Borsa İstanbul
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作者：Süleyman Gürbüz ; Ahmet Şahbaz
期刊名称：Borsa Istanbul Review
印刷版ISSN：2214-8450
出版年度：2022
卷号：22
期号：2
页码：321-331
语种：English
出版社：Elsevier B.V.
摘要：Using data from the Borsa İstanbul (BIST), this study analyzes whether derivatives market operations have a volatility spillover effect on stock indexes using multivariate GARCH models and wavelet methods. We use the DVECH method, with variables for the daily BIST 30 index and BIST 30 index futures contracts between January 5 and September 27, 2017. The results show that wavelet theory is more consistent with M-GARCH models. Our results show that the variance equation demonstrates a general volatility spillover effect from the derivatives market to the stock market, except for the frequency that covers all the series. As the frequency decreases, the effect of time-varying conditional variance decreases, and the effect of past volatility shocks increases. These results indicate that inexperienced investors should be informed about derivatives markets, and the depth of the financial markets in Turkey must be increased.