Bozma, Gürkan; Künü, Serkan; İmamoğlu, İlyas Kays

The aim of this study is to investigate the volatility spillover between EAGLE stock market indices using the method proposed by Diebold and Yilmaz (2009, 2012). To achieve this aim, EAGLE stock market data was collected from the DataStream database for the period from 2005 to 2019. The Granger causality test was applied using the VAR model, and it was found that there are various causality relationships between countries. The findings indicate that, while the total volatility spillover index was approximately 10% in 2005, it nearly tripled during the financial crisis. The US debt crisis and the economic contraction in the Eurozone caused the total volatility spillover index to reach its maximum level of approximately 40%, and it continued to decrease until 2019. Turkey, Brazil, India, and Indonesia were found to be the net receivers of volatility, while China, Russia, and Mexico were identified as the net transmitters of volatility.

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Künü, Serkan; Yıldız, Şaduman

In this study, Linder hypothesis validity for Turkey's exports and imports with BRICS countries (Brazil, Russia, India, China and South Africa) in 1996-2016 period have been investigated using panel data analysis. According to the results of the study, Linder hypothesis is valid in terms of exports between Turkey and BRICS countries. Accordingly, the difference of per capita GNP levels between Turkey and BRICS countries as long as decreases, the exports of Turkey’s to these countries increase. In other words, %1 decrease in the difference of per capita GNP levels between Turkey and BRICS countries increases the exports of Turkey rate of 0.09%. This shows that the trade between Turkey and BRICS countries is interindustry trade. On the other hand, 1% increase in GNP of BRICS countries increases export of Turkey rate of 2.867%. Linder Hypothesis is not valid in terms of importation in between Turkey and BRICS countries.

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