This study examines the effects of epidemics like H1N1, MERS and EBOLA on the volatility of capital markets through the … observations. In the study, first, the appropriate volatility model for BIST 100 Index, which is the main market index of Borsa … Istanbul, was determined. ARCH, GARCH, T-GARCH and E-GARCH models were tested to estimate the appropriate volatility model …

During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across … markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of … Diebold and Yilmaz, we use static and rolling windows to characterize five-minute volatility spillovers. Our results show that …

This study investigates the volatility and external shock persistence within the financial and alternative assets … experienced an increase in volatility, except Bitcoin, across all observation periods. Islamic stock and ESG indexes exhibited … high volatility before the Covid-19 outbreak. During the pandemic, all assets became more volatile. In addition, Islamic …