Do Global Risk Perceptions Play a Role in Emerging Market Equity Return Volatilities?

Hacihasanoglu, Erk; Simga-Mugan, F. N. Can; Soytaş, Uğur

doi:10.2753/ree1540-496x480404

Cited by 18 publications

(6 citation statements)

References 25 publications

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“…Previous literature points to the role of global risk perceptions (VIX) and commodity markets in influencing developing countries (Hacihasanoglu et al, 2012;Ordu & Soytas, 2016;Ewing et al, 2018). Some existing studies investigate the impact of VIX on the Turkish stock market.…”

Section: Literature Reviewmentioning

confidence: 99%

Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

Kocaarslan¹

2020

berj

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The aim of this study is to investigate risk spillovers between uncertainty about financial and commodity markets and Turkish stock market by using a causality-invariance test. To this end, we use implied volatility indexes (the implied volatility of the gold, oil, stock, and currency prices from options markets) and Morgan Stanley Capital International (MSCI) Turkish stock market index. The volatility model estimates demonstrate that implied volatilities and Turkish stock market index are strongly influenced by long-run volatility. The causality-in-variance test results provide evidence of a significant one-way volatility spillover effect from uncertainty in financial and commodity markets to the Turkish stock market. The results suggest that Turkish stock market returns are highly sensitive to uncertainty shocks in global markets, and hence this high-sensitivity reduces the attractiveness of investments in the Turkish market. Our findings present important implications for the implementation of sound economic policies and for the formation of optimal portfolios.

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Section: Literature Reviewmentioning

confidence: 99%

Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

Kocaarslan¹

2020

berj

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“…Beyond examining domestic market indicators, we take into consideration the global risk perception. Global risk perception is proxied by the VIX index 2 (see Fender et al 2012;Hacihasanoglu et al 2012;Longstaff et al 2011 for a similar usage). For the CDS data, we use the five-year CDS spreads since five-year CDSs are the most liquid part of sovereign CDS markets.…”

Section: Data Descriptionmentioning

confidence: 99%

“…Investigating the long-run relationship is important since the results of the cointegration analysis will provide evidence of the transmission channel between the financial market segments, that is, in which direction the variables affect one another in the long run. Hacihasanoglu et al (2012) argue that the comovements between different asset classes are important for investors and policymakers since the comovements create potential gains between these asset classes. Many emerging market investors reshuffle their investment portfolios and switch between different asset classes.…”

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confidence: 99%

The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries

Ertuğrul

Öztürk

2013

Emerging Markets Finance and Trade

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In this study, we empirically investigate the relationship between credit default swap (CDS) spreads and financial market indicators belonging to bond, equity, and foreign exchange markets for the selected emerging market countries. This study has several findings. The empirical results suggest that the CDS spreads have a cointegrating relationship with the remaining financial market indicators for the whole sample. Another finding that deserves particular attention is that in the long run, the CDS spread is negatively related with the CDS market uncertainties. We argue that this negative relationship indicates low liquidity in the elevated uncertainty, which decreases CDS prices. The time-varying effects of each variable on the CDS spread are in line with the results obtained from the cointegration analyses. These findings have several implications for investors and policymakers in emerging market countries.

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“…Also, better distribution properties can be obtained. Since the causality in variance test requires stationarity (Hacihasanoglu et al, 2012;Nazlioglu et al, 2016), unit root tests were applied first. In addition, as it is a nonlinear method, a linearity test was applied to the series.…”

Section: Resultsmentioning

confidence: 99%

The price behavior of the MGO bunker market: An integrated causality and interpretive structural modeling approach

Açık

2021

Marit. Technol. Res.

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Marine fuel price differences of supply centers have a significant effect on operators’ budgets, and so are closely monitored by traders, charterers and shipowners. The aim of this study is to determine the volatility spillovers between the prices of the major fuel centers in the world and to form a hierarchical structure based on the influence and dependence powers of these centers. For this purpose, an integrated structure of causality in variance and Interpretive Structural Modeling (ISM) methods are used. The data set used in this study includes marine gas oil (MGO) prices for 8 fuel centers used extensively in the world, namely: Fujairah, Hong Kong, Houston, Istanbul, New York, Piraeus, Rotterdam, and Singapore. This data consists of 782 daily observations covering a 3-year-period between 14.04.2017 and 13.04.2020. The ISM results reveal that these fuel centers lie at 6 different levels based on their driving and dependence powers, sources of price volatility in the market are Fujairah and Singapore, and the center that is most affected by volatility is Piraeus. In addition to drawing a macro frame for the fuel market, the results obtained are thought to be useful in reducing risk in the market due to uncertainty for stakeholders.

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Do Global Risk Perceptions Play a Role in Emerging Market Equity Return Volatilities?

Cited by 18 publications

References 25 publications

Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

Volatility Spillover between Uncertainty in Financial and Commodity Markets and Turkish Stock Market

The Drivers of Credit Default Swap Prices: Evidence from Selected Emerging Market Countries

The price behavior of the MGO bunker market: An integrated causality and interpretive structural modeling approach

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