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TÜRKİYE, ROMANYA, POLONYA, MACARİSTAN VE UKRAYNA BORSALARI ARASINDAKİ OYNAKLIK GEÇİŞKENLİĞİNİN M-GARCH MODELİ İLE ANALİZİ

Year 2018, Volume: 36 Issue: 4, 1 - 15, 30.12.2018
https://doi.org/10.17065/huniibf.346119

Abstract

Teknolojik gelişmeler, hisse senetleri ve emtia
piyasaları tek pazar haline gelmiştir. Özellikle aynı zaman diliminde açılan
borsalar arasında yüksek derecede oynaklık olduğu literatürde sıklıkla
incelenmiştir. Bu çalışmada, Türkiye, Romanya, Polonya, Macaristan ve Ukrayna
borsaları arasındaki oynaklık VAR (1) M-GARCH modeli kullanılarak
incelenmiştir. VAR (1) -M-GARCH modelini uygulamadan önce, hisse senedi
borsaları arasında uzun dönemli bir ilişki olup olmadığı, maksimum olabilirlik
yöntemi dayalı Johansen Eş-entegrasyon yöntemi kullanılarak belirlenmeye
çalışılmıştır. Johansen Eşbütünleşme testine göre ele alınan borsalar arasında
uzun dönemli bir ilişki olduğu tespit edilmiştir. Borsalar arasındaki oynaklık
değişkenliği VAR (1) -M-GARCH-BEKK modeliyle incelenmiştir. Elde edilen
bulgular sonucunda, Türkiye (BIST-100) 'in koşullu varyansı, kendi kısa dönem
şokları ve uzun dönem oynaklıkları ile Polonya ve Macaristan borsalarının kısa
dönem şokları ve uzun dönem oynaklıklarından etkilenmektedir. Ayrıca,
Türkiye'nin koşullu varyansı, Romanya borsasının uzun dönem oynaklığından
etkilenmektedir.

References

  • Abadie, A., & Gardeazabal, J. (2008). "Terrorism and the world economy". European Economic Review, 52(1), 1-27.
  • Adrangi, B., Chatrath, A., & Raffiee, K. (2014). "Volatility spillovers across major equity markets of Americas". International Journal of Business, 19(3), 255-274.
  • Ahmad, W., Sehgal, S., & Bhanumurthy, N. R. (2013). "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?". Economic Modelling, 33, 209-225. doi:10.1016/j.econmod.2013.04.009
  • Algan, N., Balcilar, M., Bal, H., & Manga, M. (2017). "Terörizmin Türkiye Finansal Piyasalari Üzerine Etkisi: Ampirik Bir Çalisma i/Impact of Terrorism on Financial Markets of Turkey: An Empirical Study". Ege Akademik Bakış, 17(1), 147.
  • Arin, K. P., Ciferri, D., & Spagnolo, N. (2008). "The price of terror: The effects of terrorism on stock market returns and volatility". Economics Letters, 101(3), 164-167.
  • Arouri, M. E. H., Bellalah, M., & Nguyen, D. K. (2010). "The comovements in international stock markets: New evidence from latin american emerging countries". Applied Economics Letters, 17(13), 1323-1328. doi:10.1080/13504850902967449
  • Arshanapalli, B., Doukas, J., & Lang, L. H. (1995). "Pre and post-October 1987 stock market linkages between US and Asian markets". Pacific-Basin Finance Journal, 3(1), 57-73.
  • Bala, D. A., & Takimoto, T. (2017). "Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach". Borsa Istanbul Review, 17(1), 25-48. doi:10.1016/j.bir.2017.02.002
  • Balcilar, M., Gupta, R., Pierdzioch, C., & Wohar, M. (2016). Do terror attacks affect the dollar-pound exchange rate? A nonparametric causality-in-quantiles analysis. Retrieved from
  • Balli, F., Balli, H. O., Jean Louis, R., & Vo, T. K. (2015). "The transmission of market shocks and bilateral linkages: Evidence from emerging economies". International Review of Financial Analysis, 42, 349-357. doi:10.1016/j.irfa.2015.08.010
  • Bhar, R., & Nikolova, B. (2009). "Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework". Global Finance Journal, 19(3), 203-218. doi:10.1016/j.gfj.2008.09.005
  • Cardona, L., Gutiérrez, M., & Agudelo, D. A. (2017). "Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis". Research in International Business and Finance, 39, 115-127. doi:10.1016/j.ribaf.2016.07.008
  • Chan-Lau, J. A., & Ivaschenko, I. (2003). "Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia". Journal of Multinational Financial Management, 13(4-5), 303-322. doi:10.1016/S1042-444X(03)00013-6
  • Chen, A. H., & Siems, T. F. (2004). "The effects of terrorism on global capital markets". European Journal of Political Economy, 20(2), 349-366.
  • Chien, M.-S., Lee, C.-C., Hu, T.-C., & Hu, H.-T. (2015). "Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5". Economic Modelling, 51, 84-98.
  • Chuliá, H., Guillén, M., & Uribe, J. M. (2017). "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis". Emerging Markets Review. doi:https://doi.org/10.1016/j.ememar.2017.01.001
  • Click, R. W., & Plummer, M. G. (2005). "Stock market integration in ASEAN after the Asian financial crisis". Journal of Asian Economics, 16(1), 5-28.
  • Coudert, V., Hervé, K., & Mabille, P. (2015). "Internationalization versus regionalization in the emerging stock markets". International Journal of Finance and Economics, 20(1), 16-27. doi:10.1002/ijfe.1501
  • Darrat, A. F., Elkhal, K., & Hakim, S. R. (2000). "On the integration of emerging stock markets in the Middle East". Journal of Economic Development, 25(2), 119-130.
  • Demiralay, S., & Bayraci, S. (2015). "Central and Eastern European Stock Exchanges under Stress: A Range-Based Volatility Spillover Framework". Finance a Uver, 65(5), 411.
  • Dickey, D. A., & Fuller, W. A. (1979). "Distribution of The Estimators for Autoregressive Time Series With A Unit Root". Journal of the American statistical association, 74(366), 427-431.
  • Drakos, K. (2004). "Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks". European Journal of Political Economy, 20(2), 435-446.
  • Engle, R. F., & Kroner, K. F. (1995). "Multivariate Simultaneous Generalized Arch". Econometric Theory, 11(1), 122-150.
  • Fink, F., & Schüler, Y. S. (2015). "The transmission of US systemic financial stress: Evidence for emerging market economies". Journal of International Money and Finance, 55, 6-26. doi:10.1016/j.jimonfin.2015.02.019
  • Gilenko, E., & Fedorova, E. (2014). "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach". Research in International Business and Finance, 31, 32-45.
  • Gupta, R., Majumdar, A., Pierdzioch, C., & Wohar, M. (2016). Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach. Retrieved from
  • Güloğlu, B., Kaya, P., & Aydemir, R. (2016). "Volatility transmission among Latin American stock markets under structural breaks". Physica A: Statistical Mechanics and its Applications, 462, 330-340. doi:10.1016/j.physa.2016.06.093
  • Hammoudeh, S., Sari, R., Uzunkaya, M., & Liu, T. (2013). "The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price". Mathematics and Computers in Simulation, 94, 277-294. doi:10.1016/j.matcom.2012.01.002
  • Hemche, O., Jawadi, F., Maliki, S. B., & Cheffou, A. I. (2016). "On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation-multivariate GARCH approach". Economic Modelling, 52, 292-299. doi:10.1016/j.econmod.2014.09.004
  • Huang, T.-L., & Kuo, H.-J. (2015). "An empirical analysis of information transmission mechanism and the trilateral relationship among the Mainland China, Hong Kong, and Taiwan stock markets". Asia Pacific Management Review, 20(2), 65-78.
  • Johansen, S., & Juselius, K. (1990). "Maximum Likelihood Estimation And Inference On Cointegration — With Applications To The Demand For Money". Oxford Bulletin of Economics and Statistics, 52(2), 169-210. doi:10.1111/j.1468-0084.1990.mp52002003.x
  • John Wei, K. C., Liu, Y. J., Yang, C. C., & Chaung, G. S. (1995). "Volatility and price change spillover effects across the developed and emerging markets". Pacific-Basin Finance Journal, 3(1), 113-136. doi:10.1016/0927-538X(94)00029-7
  • Kasa, K. (1992). "Common stochastic trends in international stock markets". Journal of Monetary Economics, 29(1), 95-124.
  • Kenourgios, D., & Dimitriou, D. (2015). "Contagion of the Global Financial Crisis and the real economy: A regional analysis". Economic Modelling, 44, 283-293. doi:10.1016/j.econmod.2014.10.048
  • Korkmaz, T., Çevik, E. T., & Atukeren, E. (2012). "Return and volatility spillovers among CIVETS stock markets". Emerging Markets Review, 13(2), 230-252. doi:10.1016/j.ememar.2012.03.003
  • Lahrech, A., & Sylwester, K. (2011). "U.S. and Latin American stock market linkages". Journal of International Money and Finance, 30(7), 1341-1357. doi:10.1016/j.jimonfin.2011.07.004
  • Li, Y., & Giles, D. E. (2015). "Modelling volatility spillover effects between developed stock markets and asian emerging stock markets". International Journal of Finance & Economics, 20(2), 155-177.
  • Marashdeh, H. (2005). "Stock market integration in the MENA region: An application of the ARDL bounds testing approach".
  • Mensi, W., Hammoudeh, S., & Kang, S. H. (2017). "Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis". Finance Research Letters, 21, 26-33. doi:10.1016/j.frl.2016.11.016
  • Mensi, W., Hammoudeh, S., & Kang, S. H. (2017). "Risk spillovers and portfolio management between developed and BRICS stock markets". The North American Journal of Economics and Finance, 41, 133-155. doi:https://doi.org/10.1016/j.najef.2017.03.006
  • Mensi, W., Hammoudeh, S., Nguyen, D. K., & Kang, S. H. (2016). "Global financial crisis and spillover effects among the U.S. and BRICS stock markets". International Review of Economics and Finance, 42, 257-276. doi:10.1016/j.iref.2015.11.005
  • Miyakoshi, T. (2003). "Spillovers of stock return volatility to Asian equity markets from Japan and the US". Journal of International Financial Markets, Institutions and Money, 13(4), 383-399. doi:10.1016/S1042-4431(03)00015-5
  • Mollah, S., & Mobarek, A. (2016). Global Stock Market Integration: Co-Movement, Crises, and Efficiency in Developed and Emerging Markets: Springer.
  • Verma, P., & Ozuna, T. (2007). "International stock market linkages and spillovers: Evidence from three Latin American Countries". Latin American Business Review, 8(4), 60-81. doi:10.1080/10978520802114672
  • Voronkova, S. (2004). "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes". International Review of Financial Analysis, 13(5), 633-647. doi:https://doi.org/10.1016/j.irfa.2004.02.017
  • Wang, P., & Wang, P. (2010). "Price and volatility spillovers between the Greater China Markets and the developed markets of US and Japan". Global Finance Journal, 21(3), 304-317. doi:10.1016/j.gfj.2010.09.007
  • Yang, C., Chen, Y., Niu, L., & Li, Q. (2014). "Cointegration analysis and influence rank—A network approach to global stock markets". Physica A: Statistical Mechanics and its Applications, 400, 168-185.

ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL

Year 2018, Volume: 36 Issue: 4, 1 - 15, 30.12.2018
https://doi.org/10.17065/huniibf.346119

Abstract

Due
to technological advances, stocks and commodity markets have become single
market. There is a high degree of volatility among the stock markets especially
opening in the same time frame. In this study, the volatility between Turkey,
Romania, Poland, Hungary and Ukrainian stock market was examined by using the
VAR (1) M-GARCH model. Before applying the VAR (1)-M-GARCH model, it was tried
to be determined by using the Johansen Cointegration method based on the
maximum likelihood method whether there is a long-run relationship between
stock exchanges. A long-run relationship was determined among the stock market
according to the Johansen Cointegration test. The volatility of stock exchange
volatility is examined with the using VAR (1) -M-GARCH-BEKK model. As a result
of the findings, the conditional variance of the Turkey (BIST-100) is affected
by its short-run shocks and long-run volatility as well as the short-run shocks
and the long-run volatility that have occurred in the Poland and Hungary stock
markets. In addition, the conditional variance of the Turkey is affected by the
long-run volatility of the Romanian stock market. 

References

  • Abadie, A., & Gardeazabal, J. (2008). "Terrorism and the world economy". European Economic Review, 52(1), 1-27.
  • Adrangi, B., Chatrath, A., & Raffiee, K. (2014). "Volatility spillovers across major equity markets of Americas". International Journal of Business, 19(3), 255-274.
  • Ahmad, W., Sehgal, S., & Bhanumurthy, N. R. (2013). "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?". Economic Modelling, 33, 209-225. doi:10.1016/j.econmod.2013.04.009
  • Algan, N., Balcilar, M., Bal, H., & Manga, M. (2017). "Terörizmin Türkiye Finansal Piyasalari Üzerine Etkisi: Ampirik Bir Çalisma i/Impact of Terrorism on Financial Markets of Turkey: An Empirical Study". Ege Akademik Bakış, 17(1), 147.
  • Arin, K. P., Ciferri, D., & Spagnolo, N. (2008). "The price of terror: The effects of terrorism on stock market returns and volatility". Economics Letters, 101(3), 164-167.
  • Arouri, M. E. H., Bellalah, M., & Nguyen, D. K. (2010). "The comovements in international stock markets: New evidence from latin american emerging countries". Applied Economics Letters, 17(13), 1323-1328. doi:10.1080/13504850902967449
  • Arshanapalli, B., Doukas, J., & Lang, L. H. (1995). "Pre and post-October 1987 stock market linkages between US and Asian markets". Pacific-Basin Finance Journal, 3(1), 57-73.
  • Bala, D. A., & Takimoto, T. (2017). "Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach". Borsa Istanbul Review, 17(1), 25-48. doi:10.1016/j.bir.2017.02.002
  • Balcilar, M., Gupta, R., Pierdzioch, C., & Wohar, M. (2016). Do terror attacks affect the dollar-pound exchange rate? A nonparametric causality-in-quantiles analysis. Retrieved from
  • Balli, F., Balli, H. O., Jean Louis, R., & Vo, T. K. (2015). "The transmission of market shocks and bilateral linkages: Evidence from emerging economies". International Review of Financial Analysis, 42, 349-357. doi:10.1016/j.irfa.2015.08.010
  • Bhar, R., & Nikolova, B. (2009). "Return, volatility spillovers and dynamic correlation in the BRIC equity markets: An analysis using a bivariate EGARCH framework". Global Finance Journal, 19(3), 203-218. doi:10.1016/j.gfj.2008.09.005
  • Cardona, L., Gutiérrez, M., & Agudelo, D. A. (2017). "Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis". Research in International Business and Finance, 39, 115-127. doi:10.1016/j.ribaf.2016.07.008
  • Chan-Lau, J. A., & Ivaschenko, I. (2003). "Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia". Journal of Multinational Financial Management, 13(4-5), 303-322. doi:10.1016/S1042-444X(03)00013-6
  • Chen, A. H., & Siems, T. F. (2004). "The effects of terrorism on global capital markets". European Journal of Political Economy, 20(2), 349-366.
  • Chien, M.-S., Lee, C.-C., Hu, T.-C., & Hu, H.-T. (2015). "Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5". Economic Modelling, 51, 84-98.
  • Chuliá, H., Guillén, M., & Uribe, J. M. (2017). "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis". Emerging Markets Review. doi:https://doi.org/10.1016/j.ememar.2017.01.001
  • Click, R. W., & Plummer, M. G. (2005). "Stock market integration in ASEAN after the Asian financial crisis". Journal of Asian Economics, 16(1), 5-28.
  • Coudert, V., Hervé, K., & Mabille, P. (2015). "Internationalization versus regionalization in the emerging stock markets". International Journal of Finance and Economics, 20(1), 16-27. doi:10.1002/ijfe.1501
  • Darrat, A. F., Elkhal, K., & Hakim, S. R. (2000). "On the integration of emerging stock markets in the Middle East". Journal of Economic Development, 25(2), 119-130.
  • Demiralay, S., & Bayraci, S. (2015). "Central and Eastern European Stock Exchanges under Stress: A Range-Based Volatility Spillover Framework". Finance a Uver, 65(5), 411.
  • Dickey, D. A., & Fuller, W. A. (1979). "Distribution of The Estimators for Autoregressive Time Series With A Unit Root". Journal of the American statistical association, 74(366), 427-431.
  • Drakos, K. (2004). "Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks". European Journal of Political Economy, 20(2), 435-446.
  • Engle, R. F., & Kroner, K. F. (1995). "Multivariate Simultaneous Generalized Arch". Econometric Theory, 11(1), 122-150.
  • Fink, F., & Schüler, Y. S. (2015). "The transmission of US systemic financial stress: Evidence for emerging market economies". Journal of International Money and Finance, 55, 6-26. doi:10.1016/j.jimonfin.2015.02.019
  • Gilenko, E., & Fedorova, E. (2014). "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach". Research in International Business and Finance, 31, 32-45.
  • Gupta, R., Majumdar, A., Pierdzioch, C., & Wohar, M. (2016). Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach. Retrieved from
  • Güloğlu, B., Kaya, P., & Aydemir, R. (2016). "Volatility transmission among Latin American stock markets under structural breaks". Physica A: Statistical Mechanics and its Applications, 462, 330-340. doi:10.1016/j.physa.2016.06.093
  • Hammoudeh, S., Sari, R., Uzunkaya, M., & Liu, T. (2013). "The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price". Mathematics and Computers in Simulation, 94, 277-294. doi:10.1016/j.matcom.2012.01.002
  • Hemche, O., Jawadi, F., Maliki, S. B., & Cheffou, A. I. (2016). "On the study of contagion in the context of the subprime crisis: A dynamic conditional correlation-multivariate GARCH approach". Economic Modelling, 52, 292-299. doi:10.1016/j.econmod.2014.09.004
  • Huang, T.-L., & Kuo, H.-J. (2015). "An empirical analysis of information transmission mechanism and the trilateral relationship among the Mainland China, Hong Kong, and Taiwan stock markets". Asia Pacific Management Review, 20(2), 65-78.
  • Johansen, S., & Juselius, K. (1990). "Maximum Likelihood Estimation And Inference On Cointegration — With Applications To The Demand For Money". Oxford Bulletin of Economics and Statistics, 52(2), 169-210. doi:10.1111/j.1468-0084.1990.mp52002003.x
  • John Wei, K. C., Liu, Y. J., Yang, C. C., & Chaung, G. S. (1995). "Volatility and price change spillover effects across the developed and emerging markets". Pacific-Basin Finance Journal, 3(1), 113-136. doi:10.1016/0927-538X(94)00029-7
  • Kasa, K. (1992). "Common stochastic trends in international stock markets". Journal of Monetary Economics, 29(1), 95-124.
  • Kenourgios, D., & Dimitriou, D. (2015). "Contagion of the Global Financial Crisis and the real economy: A regional analysis". Economic Modelling, 44, 283-293. doi:10.1016/j.econmod.2014.10.048
  • Korkmaz, T., Çevik, E. T., & Atukeren, E. (2012). "Return and volatility spillovers among CIVETS stock markets". Emerging Markets Review, 13(2), 230-252. doi:10.1016/j.ememar.2012.03.003
  • Lahrech, A., & Sylwester, K. (2011). "U.S. and Latin American stock market linkages". Journal of International Money and Finance, 30(7), 1341-1357. doi:10.1016/j.jimonfin.2011.07.004
  • Li, Y., & Giles, D. E. (2015). "Modelling volatility spillover effects between developed stock markets and asian emerging stock markets". International Journal of Finance & Economics, 20(2), 155-177.
  • Marashdeh, H. (2005). "Stock market integration in the MENA region: An application of the ARDL bounds testing approach".
  • Mensi, W., Hammoudeh, S., & Kang, S. H. (2017). "Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis". Finance Research Letters, 21, 26-33. doi:10.1016/j.frl.2016.11.016
  • Mensi, W., Hammoudeh, S., & Kang, S. H. (2017). "Risk spillovers and portfolio management between developed and BRICS stock markets". The North American Journal of Economics and Finance, 41, 133-155. doi:https://doi.org/10.1016/j.najef.2017.03.006
  • Mensi, W., Hammoudeh, S., Nguyen, D. K., & Kang, S. H. (2016). "Global financial crisis and spillover effects among the U.S. and BRICS stock markets". International Review of Economics and Finance, 42, 257-276. doi:10.1016/j.iref.2015.11.005
  • Miyakoshi, T. (2003). "Spillovers of stock return volatility to Asian equity markets from Japan and the US". Journal of International Financial Markets, Institutions and Money, 13(4), 383-399. doi:10.1016/S1042-4431(03)00015-5
  • Mollah, S., & Mobarek, A. (2016). Global Stock Market Integration: Co-Movement, Crises, and Efficiency in Developed and Emerging Markets: Springer.
  • Verma, P., & Ozuna, T. (2007). "International stock market linkages and spillovers: Evidence from three Latin American Countries". Latin American Business Review, 8(4), 60-81. doi:10.1080/10978520802114672
  • Voronkova, S. (2004). "Equity market integration in Central European emerging markets: A cointegration analysis with shifting regimes". International Review of Financial Analysis, 13(5), 633-647. doi:https://doi.org/10.1016/j.irfa.2004.02.017
  • Wang, P., & Wang, P. (2010). "Price and volatility spillovers between the Greater China Markets and the developed markets of US and Japan". Global Finance Journal, 21(3), 304-317. doi:10.1016/j.gfj.2010.09.007
  • Yang, C., Chen, Y., Niu, L., & Li, Q. (2014). "Cointegration analysis and influence rank—A network approach to global stock markets". Physica A: Statistical Mechanics and its Applications, 400, 168-185.
There are 47 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Gürkan Bozma

Selim Başar

Publication Date December 30, 2018
Submission Date October 24, 2017
Published in Issue Year 2018 Volume: 36 Issue: 4

Cite

APA Bozma, G., & Başar, S. (2018). ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 36(4), 1-15. https://doi.org/10.17065/huniibf.346119
AMA Bozma G, Başar S. ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. December 2018;36(4):1-15. doi:10.17065/huniibf.346119
Chicago Bozma, Gürkan, and Selim Başar. “ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 36, no. 4 (December 2018): 1-15. https://doi.org/10.17065/huniibf.346119.
EndNote Bozma G, Başar S (December 1, 2018) ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 36 4 1–15.
IEEE G. Bozma and S. Başar, “ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 36, no. 4, pp. 1–15, 2018, doi: 10.17065/huniibf.346119.
ISNAD Bozma, Gürkan - Başar, Selim. “ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 36/4 (December 2018), 1-15. https://doi.org/10.17065/huniibf.346119.
JAMA Bozma G, Başar S. ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2018;36:1–15.
MLA Bozma, Gürkan and Selim Başar. “ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 36, no. 4, 2018, pp. 1-15, doi:10.17065/huniibf.346119.
Vancouver Bozma G, Başar S. ANALYZING VOLATILITY TRANSMISSIONS BETWEEN STOCK MARKETS OF TURKEY, ROMANIA, POLAND, HUNGARY AND UKRAINE USING M-GARCH MODEL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2018;36(4):1-15.

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