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

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

This study aims at empirically investigating the volatility and shock transmission patterns between the BIST 100 Index and the relatively new BIST Sustainability Index, which is a platform for companies with high performance on the international sustainability criteria. Utilizing 678 daily data from...

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Bibliographic Details
Main Authors: Ender Baykut, Veysel Kula
Format: Article
Language:English
Published: Frontiers Media S.A. 2019-10-01
Series:Frontiers in Applied Mathematics and Statistics
Subjects:
volatility spillover effect
MGARCH models
BEKK GARCH
sustainability index
stock market
Online Access:https://www.frontiersin.org/article/10.3389/fams.2019.00050/full

Internet

https://www.frontiersin.org/article/10.3389/fams.2019.00050/full

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