BRICS ve MIST Ülkelerinin Borsalar Arası Getiri ve Volatilite Etkileşimi(Interaction of Return and Volatility Between Exchanges of BRICS and MIST Countries)

Abstract

The main objective of this study is to investigate the interaction of return and volatility between the rapidly developing BRICS and MIST countries' stock exchanges. In the study, weekly data for the period 04.01.2004 and 29.12.2019 were converted into a return series. Analyses were conducted using the VAR-EGARCH model and with EViews 10 and WinRATS 10.0 packages programs. The Bovespa index for Brazil, the Moex index for Russia, the Nifty Next 50 index for India, the Shanghai Composite Index for China and the South Africa 40 index for South Africa were used to represent the stock markets of the BRICS countries. In the study the stock markets of the MIST countries are represented by the IPC index for Mexico, the IDX COMPOSITE Index for Indonesia, the KOSPI index for Korea and the BIST 100 index for Turkey.

Keywords

• stock market
• brics
• mist
• var-egarch