Analysis of volatility spillover between BİST-100 index and international stock markets with using GARCH-BEEK method

The aim of this study is to investigate the volatility spillover between BIST-100 and the equity market within the frame of the important crises and events. In the study, 5 developed and 9 developing countries were included. Stock Market indices of the countries between the dates 02.07.1997-13.07.2013 (4104 days) were used. As for the models, we chose BEKK model out of other GARCH models and we analysed the bilateral relations among these countries. The Stock Market indices of the developing countries like Turkey, Brasil, Russia, Indıa, Hong Kong, China, South Korea, Argentina and Mexico were added to the stock market indexes of the developed countries like America, Japan, England, Germany and France. Bivariate volatility spillover and co-movements of the countries which were included in this analysis were investigated and moreover, for all the indices, correlation, variance and covarience analysis were done. When the volatility comparisons were made, within the frame of all crises during data period and important events that are important for financial markets, the periods before and after the crises were taken into consideration. It was clearly seen that the results justify "financial center" theory and the equity market in Turkey is more influenced the volatility of equity market in England where is a bigregional financial center. It was observed that the stock market in Turkey is in an interaction with all stock markets in the study field and it has got closer relations with Germany and France. Turkey's closest relation is with Russia, among other developing countries. It was concluded that Turkey showed the most co-movement with South Korea. In Turkey there was no oneway "shock effect" towards Germany, France and Russia; and also no "shock effect" was recorded between China and Turkey. In addition, while there was no "volatility effect" from the USA, Japan, Germany, France and Hong Kong, Brasil and China stock markets to Turkey, it was clear that there is no one way "volatility effect" from Turkey to Japan, Germany, France, Hong Kong stock markets. Keywords: Volatility, Spillover and Contagion, GARCH-BEKK, BĠST