Volatility spillover between financial markets : Fragile eight countries

The interaction between the international financial markets, together with advances in freedom of capital flows and information technologies sector has become significant in recent times. An issue discussed in the context of the volatility spillover between the international financial markets interact finance literature. Volatility of spillover is defined as the increase volatility in other markets shock occurred in the market. As a result of the volatility spillover in stock prices and returns on securities it can be seen in the markets affected by this process. Decisions of portfolio investors as a result of this interaction may change. In this study, the US (S&P, DJ, Canada), Asian countries (China, Japan, South Korea) and European countries (Germany, Britain, Switzerland, Greece, Eurostoxx50, Euronext100) of the stock market fragile eight countries (India, Brazil, Indonesia, Turkey, South Africa, Hungary, Poland and Chile) the volatility of the stock market, which aimed to spillover the determination of the possible presence. Weekly stock data set used to 2006-2015 study period covers the closing price. Showing that the presence of asymmetric effect of volatility spillover between country and country market indices were investigated using EGARCH models. The scope of the findings in the US, Asia and the leverage effect for stock returns for each of the European countries has been revealed to be concerned. The eight countries examined the asymmetric impact of fragile Indonesia stock index of any other country except a fragile eight were determined to be effective asymmetrical current. The volatility spillover is evaluated, the stock indices of developed countries, especially Brazil, Indonesia, Hungary, Turkey, Poland, India and has been proven to be a true spread to Chile. Key Words: Volatility, Volatility Spillover, GARCH, EGARCH, Asymmetric Effect