Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic

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dc.authorid0000-0002-9216-5210en_US
dc.authorid0000-0003-2628-5027en_US
dc.authorid0000-0001-5449-0568en_US
dc.contributor.authorGök, Remzi
dc.contributor.authorBouri, Elie
dc.contributor.authorGemici, Eray
dc.date.accessioned2023-08-03T12:33:53Z
dc.date.available2023-08-03T12:33:53Z
dc.date.issued2023en_US
dc.departmentDicle Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractWe 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.en_US
dc.identifier.citationGök, 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.en_US
dc.identifier.doi10.1016/j.ribaf.2023.102023
dc.identifier.endpage27en_US
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.issue66en_US
dc.identifier.scopus2-s2.0-85165048476
dc.identifier.scopusqualityQ1
dc.identifier.startpage1en_US
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S0275531923001496
dc.identifier.urihttps://hdl.handle.net/11468/12419
dc.identifier.wosWOS:001046726700001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorGök, Remzi
dc.language.isoenen_US
dc.relation.ispartofResearch in International Business and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectFutures contractsen_US
dc.subjectHedging effectivenessen_US
dc.subjectPortfolio weightsen_US
dc.subjectTurkish financial marketsen_US
dc.subjectQuantile connectednessen_US
dc.titleVolatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemicen_US
dc.titleVolatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic
dc.typeArticleen_US

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