Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic
Yükleniyor...
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
We study quantile connectedness across the realized volatility of the 5-year Turkish CDS spreads and four futures contracts of USDTRY, EURTRY, XU030, and XAUTRY around the pandemic period. The procedure identifies, on average, the XU030 (EURTRY) stock index futures as the main net transmitter (receiver) of volatility shocks irrespective of subperiods. The level of total connectedness (i) fluctuates over time; (ii) is highly sensitive to major events; and (iii) strengthens in the high volatility state. The dynamic connectedness reaches a peak in December 2021, one day after the introduction of a new scheme, FX-protected deposit accounts, to address higher financial dollarization rates and lower the depreciation pressure on the lira. We find that investing in currency futures is very attractive, while XAUTRY futures have the highest reward-to-volatility. The hedging costs are highly related to changes in the infectious disease equity-market volatility tracker, geopolitical, and economic policy index for the US.
Açıklama
Anahtar Kelimeler
Futures contracts, Hedging effectiveness, Portfolio weights, Turkish financial markets, Quantile connectedness
Kaynak
Research in International Business and Finance
WoS Q Değeri
N/A
Scopus Q Değeri
Q1
Cilt
Sayı
66
Künye
Gök, R., Bouri, E. ve Gemici, E. (2023). Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic. Research in International Business and Finance, (66), 1-27.
