Inter-Regional Volatility Spillovers Between Emerging Capital Markets: Evidence From Turkey And Brazil

Abstract

This study investigates volatility spillovers between two stock markets, Turkish and Brazilian, located in different regions of the world. Using a misspecification robust causality-in-variance test, we found strong evidence supporting volatility spillovers from Istanbul Stock Exchange (ISE) to São Paulo Stock Exchange (BOVESPA). The results imply that financial crises may change the size and the direction of volatility spillovers between markets.Causalit-in-variance,volatility spiiovers,emerging markets, Turkey, Brazil