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Original Research ARTICLE Provisionally accepted The full-text will be published soon. Notify me

Front. Appl. Math. Stat. | doi: 10.3389/fams.2019.00050

The Volatility and Shock Transmission Patterns between the BIST Sustainability and BIST 100 Indices

  • 1Afyon Kocatepe University, Turkey

This study aims at empirically investigating the volatility and shock transmission patterns between the BIST 100 Index and relatively new BIST Sustainability Index, which is a platform for companies with high performance on the international sustainability criteria. Utilising 678 daily data from 05/11/2014, the day the XSURD index was launched, to 31/08/2017, the analysis employed a bivariate BEKK-GARCH (1,1) model. The findings indicate the existence of bi-directional volatility spillovers between two indices. Additionally, current volatility is affected by its own past volatility for each index. As for the shock transmission, the BIST Sustainability Index is responsive both to its own shocks and shocks arriving from the BIST 100 Index. However, the BIST 100 Index responds only to its own shocks without any significant shock transmission from the BIST Sustainability Index.

Keywords: Volatility spillover effect, MGARCH models, BEKK GARCH, Sustaianability, Stock Market

Received: 21 Aug 2019; Accepted: 23 Sep 2019.

Copyright: © 2019 Baykut and KULA. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) and the copyright owner(s) are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.

* Correspondence: Prof. Ender Baykut, Afyon Kocatepe University, Afyonkarahisar, Turkey, enderbaykut@hotmail.com