Avrupa Birliği menkul kıymetler piyasaları arasındaki oynaklık yayılması

In this thesis, I analyze volatility spillovers across eight European stock markets from March 19, 2001 to July 21, 2010. Following recent contributions to the literature on financial spillovers, I use the variance decompositions from a generalized vector autoregression model of stock market volatilities. The results illustrate that there had been substantial volatility spillovers among the eight European stock markets, especially during the current global financial crisis. The results also show that German and French stock markets have been net volatility transmitters to Eastern European stock markets both in non-crisis and crisis periods.