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

2012-07-01
Hacihasanoglu, Erk
Simga-Mugan, F. N. Can
Soytaş, Uğur
This paper investigates whether global risk perceptions lead emerging market return volatilities. In so doing, we analyzed the period of interest in three parts to determine the effects of the changes in global risk perceptions on the volatility of emerging markets. We uncovered volatility spillover from risk perceptions to the MXEF returns before the crisis. Our results show that all the effects on emerging market volatilities are severed in 2008, during which MXEF follows a downward trend. However, we observe that volatility transmission emerges during the recovery period of MXEF again. Hence, risk perceptions should be considered while analyzing emerging markets.
EMERGING MARKETS FINANCE AND TRADE

Suggestions

Do global risk perceptions influence world oil prices?
Sarı, Ramazan; Soytaş, Uğur (2011-05-01)
This paper investigates the information transmission mechanism between world oil, gold, silver, dollar/euro exchange rate markets, and volatility index (VIX) accommodating for global risk perceptions. We find that there is a unique long run equilibrium relationship, where gold, silver, exchange rate, and risk perceptions appear as long run forcing variables of world oil prices. We uncover that global risk perceptions have a significantly suppressing effect on oil prices in the long run. We also discover tha...
Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries
Şendeniz Yüncü, İlkay; Aydoğan, Kürşat (2018-01-26)
This article investigates the relationship between stock index futures markets development and economic growth using time-series methods for 32 developed and developing countries. Evidence of cointegration between stock index futures and real economy in 29 countries suggests the presence of co-movements among the variables, indicating long-run stationarity in those countries. Our findings show that there is Granger-causality from stock index futures markets development to economic growth for middle-income c...
Is the information deficiency in real estate evident in public market trading?
Downs, DH; Güner, Zehra Nuray (Wiley, 1999-09-01)
This paper examines the summary informativeness of trading in real estate securities. Prior literature on publicly traded real estate securities suggests that the information deficiency associated with local economies and unique rent dynamics will manifest itself as severe information asymmetry. To date, most studies concerned with these issues have focused on the conventional measures of liquidity (serial correlations, bid-ask spreads, etc.). However, the conventional measures have several shortcomings as ...
Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets
Kocaarslan, BARIŞ; Sarı, Ramazan; GORMUS, Alper; Soytaş, Uğur (2017-09-01)
This study investigates the impacts of volatility expectations in oil, gold, currency and the U.S. stock markets on time-varying conditional correlations between BRIC and U.S. stock markets. We use asymmetric dynamic conditional correlation and dynamic conditional correlation models to derive the time-varying relationships. We then examine the dynamic conditional correlations using quantile regressions for a detailed analysis of dependence structure containing non-linear and asymmetric interactions. Our res...
Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey
Soytaş, Uğur; Oran, Adil (2011-01-01)
This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung-Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, ou...
Citation Formats
E. Hacihasanoglu, F. N. C. Simga-Mugan, and U. Soytaş, “Do Global Risk Perceptions Play a Role in Emerging Market Equity Return Volatilities?,” EMERGING MARKETS FINANCE AND TRADE, pp. 67–78, 2012, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/40044.