Ercan, Özen; Özdemir, Letife; Simon, Grima; Frank, Bezzina - In: Journal of Financial Management, Markets and Institutions (2014) 2, pp. 207-220
This study analyses daily data of the stock index futures markets of Turkey (BIST30) and four Eurozone countries - Italy (MIB30), France (CAC40), Spain (IBEX), Greece (ASE20) - spanning from March 2005to March 2012. Using the GARCH model and Granger methodology, the study shows that...