Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/19233
Title: Investigating causality effects in return volatility among five major futures markets in European countries with a Mediterranean connection
Authors: Ozen, Ercan
Ozdemir, Letife
Grima, Simon
Bezzina, Frank
Keywords: Stock index futures -- Europe
Stock index futures -- Turkey
Stock exchanges
GARCH model
Issue Date: 2014
Publisher: Societa Editrice il Mulino
Citation: Ozen, E., Ozdemir, L., Grima, S., & Bezzina, F. (2014). Investigating causality effects in return volatility among five major futures markets in European countries with a Mediterranean connection. Journal of Financial Management, Markets and Institutions, 2(2), 79-92.
Abstract: 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.
URI: https://www.um.edu.mt/library/oar//handle/123456789/19233
Appears in Collections:Scholarly Works - FacEMAIns
Scholarly Works - FacEMAMAn



Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.