Testing intraday volatility spillovers in Turkish capital markets: evidence from ISE

Mustafa Okur and Emrah Çevik

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this article is to examine the presence of volatility transmission between futures index and underlying stock index by using intraday data in Turkey. We first examined the sudden changes in the variance of futures index return and the underlying spot index return. Then we employed the causality in the variance tests proposed by Hong (2001) and Hafner and Herwartz (2006). According to the empirical results, the spot market was found to be Granger cause of futures market and this result suggests that the spot market plays a more dominant role in the price discovery process in Turkey.

Keywords: Spot and Futures Markets; Structural Breaks in Variance; Volatility Spillovers; Intraday Data; Causality in Variance. (search for similar items in EconPapers)
JEL-codes: G10 G12 G15 (search for similar items in EconPapers)
Date: 2013, Revised 2013
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Published in Economic Research-Ekonomska Istraživanja 3.26(2013): pp. 99-116

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Related works:
Journal Article: Testing Intraday Volatility Spillovers in Turkish Capital Markets: Evidence from Ise (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:71477

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