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New developments in the measurement of market connectedness

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  1. Tez No: 630834
  2. Yazar: NAROD ERKOL SELVİOĞLU
  3. Danışmanlar: DOÇ. DANIŞMAN YOK
  4. Tez Türü: Doktora
  5. Konular: Ekonomi, İşletme, Economics, Business Administration
  6. Anahtar Kelimeler: Belirtilmemiş.
  7. Yıl: 2019
  8. Dil: İngilizce
  9. Üniversite: Universitat Autónoma de Barcelona
  10. Enstitü: Yurtdışı Enstitü
  11. Ana Bilim Dalı: Belirtilmemiş.
  12. Bilim Dalı: Belirtilmemiş.
  13. Sayfa Sayısı: 126

Özet

This dissertation consists of three parts. The aim of this study is to quantify dynamically the market connectedness by using return and volatility spillovers. First part is a methodological study to investigate the market connectedness and explanation of an extended methodology. Return and volatility series is taken into account to compare the di erent interpretations of market connectedness. The study uses the spillover methodology developed by Diebold and Yilmaz (2009) and the extended version with the focus of ow of information developed by Schmid- bauer et al. (2013). The contribution in this case is to discuss how to provide a volatility input series to be used in the explained methodologies. We compare the results of the methodologies using return series and volatility series. A net- work perspective is used to compute the return and volatility spillovers. Since, quantifying the connectedness is important to evaluate the policy responses and allow an option to policy makers to understand the economy, the last two parts of the study include empirical innovations to discuss the network importance of two countries. In the second part we apply the methodology to Turkish stock market to understand its dynamics since 2000. We construct a network consists of six stock markets and investigate the Turkish economic history by quantifying the market connectedness in the network. We focus on the changes in the market connectedness with a view towards political and economic events. The third one is an examination of Russian stock market during the Ukrainian crisis. We link the shock spillover characteristics of the Russian stock market with di erent round of sanctions imposed to Russia. We see that distinct spillover patterns exist in di er- ent round of sanctions and this help to policy makers to understand the changes in the economy and develop an attitude towards this changes.

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