Analysis of the spillover effect among stock markets: An analysis on G-20 countries

In this study, it is aimed to determine the possible existence of spillover effect among the stock markets of G-20 countries. For this purpose, between January 2, 1995 and January 29, 2021, using the daily closing prices, the possible existence of the spillover effect between the stock markets of the G-20 countries was investigated with the causality test in the mean and variance developed by Hong (2001). According to the causality results in mean, it is unidirectional from USA, England, Germany, France, Canada, Russia and Mexico to Turkey and from Turkey to China, India and South Africa; A bidirectional causality relationship was found between Turkey and Japan, Australia, South Korea, Brazil, Argentina and Indonesia. According to the causality test results in variance, it was determined that there was a strong bidirectional volatility spread among all stock markets in the study. In the study, causality test in case of risk developed by Hong et al (2009) was applied. According to the causality test results, it is unidirectional from USA, Italy, Brazil, Argentina and Mexico to Turkey; A bidirectional causality relationship was found between Turkey and Japan, Germany, France, Canada, Australia, China, South Korea, Russia, Indonesia, Russia and South Africa in case of risk.