1 research outputs found
Investigating causality effects in return volatility among five major futures markets in European countries with a Mediterranean connection
This study analyses daily data of the stock index futures markets of Turkey (BIST30) and four Eurozone
countries – Italy (MIB30), France (CAC40), Spain (IBEX), Greece (ASE20) – spanning from March 2005
to March 2012. Using the GARCH model and Granger methodology, the study shows that bidirectional
causality holds for futures return volatilities in these Eurozone areas, and it is only in the case of the Turkish
BIST30 index futures returns that a weak unidirectional pattern can be identified. This provides empirical
evidence that the Eurozone stock markets investigated in this study are highly integrated. Additionally, the
spillover effect between the Turkish market and the other Eurozone stock markets in the Mediterranean is
insignificant. These findings provide a better understanding of the inter-relations and volatility causality
among these five financial markets and could better guide financial policy makers and investors in their
efforts to maintain/regain stability in their financial system.peer-reviewe