Volatility Spillover in the Turkish Financial Market: A QVAR Analysis


  • Hüseyin Özdemir Atilim University, Business School, Ankara, Türkiye



Anahtar Kelimeler:

Turkish financial markets- Tail risk


Purpose – The volatility spillover is crucial matter for policy makers and portfolio managers to understand risk transmission between financial markets to understand where potential loss and risk comes from. In this research, it is aimed to investigate the tail risk spillover among the BIST-100 stock index, TR 10-year bonds, USD-TL exchange rate, gold futures, and Brent petroleum in Türkiye. Design/Methodology/Approach – The quantile vector autoregressive (QVAR) model, recommended by Ando et al., (2022), is used in this study. The QVAR model is proposed method in the literature to capture the tail risk spillovers from very low to very high volatility in financial markets. The data is weekly frequency and spans from January 28, 2010, to December 8, 2023. The weekly volatility data is obtained from a formula that utilize daily maximum and minimum prices as described in Diebold and Yilmaz (2012). Findings – The output of this study indicates that the volatility spillovers between related markets differs across different quantiles. Other results reveal that stock, bond, and currency markets are net risk spillovers during extremely low and moderately volatile periods, but gold and oil are net risk receivers. However, USD/TL is the only risk-transmitter in times of excessive volatility. Moreover, the time-varying spillover analysis shows that the total spillover index hit records during the COVID-19 outbreaks. Discussion – The output of this study confirms the findings of previous studies that find the spillover index does not remain constant over different quantiles. The output of this study provides crucial insights to finance authorities and investors on the nature of market risk and strategies for its management.




Nasıl Atıf Yapılır

Özdemir, H. (2024). Volatility Spillover in the Turkish Financial Market: A QVAR Analysis. İşletme Araştırmaları Dergisi, 16(1), 392–406. https://doi.org/10.20491/isarder.2024.1798