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Purpose: This paper aims to test for volatility spillovers among Islamic stock markets with the exogenous impact of geopolitical risk (GPR) to check the risk transmission among Saudi Arabia, Malaysia, Indonesia and Turkey. Researchers test for both the symmetric and asymmetric risk transmission. Design/methodology/approach: For the symmetric response of volatility, the study uses simple generalized autoregressive conditional heteroscedastic (GARCH) and for the asymmetric response of volatility with the exogenous impact of GPR, the exponential GARCH models have been adopted. Findings: The results suggest spillover effects exist from Turkey to Saudi Arabia, Indonesia to Malaysia and Saudi Arabia and Malaysia to Indonesia. The findings of volatility spillover from GPR to sample countries suggest that only Malaysia and Indonesia experience volatility spillovers from GPR. Research limitations/implications: The present study is limited to the context of four countries and Islamic equities; the study contributes to the literature on volatility spillover, Islamic finance, GPR and asset pricing. Practical implications: This study contributes to individual, institutional investors' policymakers' knowledge in determining security prices, trading plans, investment hedging and policy regulation. Social implications: The extant literature disregards the GPR index to examine the volatility spillover effects among Islamic stock markets, which allow researchers to justify the mechanism of risk transmission due to GPR across the Islamic stock market. Originality/value: To the best of the authors' knowledge, this is the first research of its type to look at volatility spillover and GPR transmission in Islamic stock markets. [ABSTRACT FROM AUTHOR]

This study aims to analyze the volatility spillover between bond and commodity markets in terms of global liquidity risk. The data covers the daily closing prices of bond markets in specified countries - Brazil, Russia, India, China, and Turkey - and certain commodities - gold and oil - for the period January 2008 to January 2022. We utilized the DCC-GARCH model to analyze volatility spillover between these markets and the Copula DCC-GACRH model to determine dependence structures between them. Additionally, we applied the Hong Causality in Variance Test to determine the direction of the causal relationships between these markets. Our empirical findings indicate the existence of significant volatility spillovers between gold and most of these bond markets (Brazil, China, Russia, and Turkey), and between oil and some of these bond markets (Russia, India and Turkey). Our results indicate a limited diversification benefit for investors and portfolio managers. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Administrative Sciences / Yonetim Bilimleri Dergisi is the property of Canakkale Onsekiz Mart Universitesi, Terzioglu Kampusu and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

In agricultural economics, fluctuations in food prices and the factors affecting these fluctuations have always been an important research topic. From production to delivery to consumers, the supply chain of agricultural products has a dynamic structure with continuous changes. In this dynamic process, analyzing the intensive use of energy at each stage has gained more importance with its deepening effects in comparison to the past. This study will empirically explore the volatility spillovers between energy price index and fruit-vegetables price index in the period of 2007-2020 in Turkey using the Kanas and Diebold-Yilmaz approaches. According to the results obtained from the Kanas approach in the study, it has been observed that there is a statistically significant volatility spillover from the energy price index to the vegetable price index, whereas there is no statistically significant volatility spillover to the fruit price index. This finding was supported by the results obtained from the Diebold-Yilmaz approach showing that there is a volatility spillover of 13.52% to the vegetable price index and 0.86% to the fruit price index from the energy price index. [ABSTRACT FROM AUTHOR]

The offered demolition prices are as important as the freight rates in the market in shipowners' decisions to send their ships for demolition. This study aims to determine the most affected and the most affecting countries in the ship demolition market by examining the hierarchical price movements among the prices offered for demolition in major centres around the world. In this direction, integrated causality in variance, Interpretative Structural Modeling (ISM) and MICMAC (Matrices d'Impacts cross-multiplication appliqúe a classmate) analysis are used. According to the obtained results, the price dependence on Turkey is the lowest, while the price dependence in Bangladesh is the highest. Volatility in the market is spreading to other markets from Turkey. These results are thought to be useful in understanding price behaviour in the ship demolition industry, which is a relatively small market. [ABSTRACT FROM AUTHOR]

Copyright of Journal of Management & Economics Research is the property of Journal of Management & Economics Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

In this study global and national variables that affect the sovereign Credit Default Swaps (CDS) spreads for Turkey are examined. The study utilises monthly time-series data, spanning from August of 2009 to September 2018. Empirical analysis is done in two steps: In the first step, the causality relationships between related variables are investigated by the Granger causality test. In the second step, the effect of symmetric and asymmetric spillover effects on sovereign CDS spread is determined. The findings show that both national and global shocks are relevant for Turkey' sovereign CDS spreads volatility, but national variables tend to have a greater impact. Furthermore, there exist mean asymmetric effects for external fragility, domestic interest rate and the VIX variables. It is tested that sovereign CDS spreads react more sharply to domestic interest rates and VIX bad news than a positive shock of equal size. Generally, both uncertainties in global conditions and the relatively high need for external borrowing of Turkey necessitates a multi-faceted policy-making and management process. [ABSTRACT FROM AUTHOR]

Abstract: This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung–Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, our results show that the Cheung–Ng procedure with the use of disaggregated stock index returns can uncover new information that went unnoticed with the traditional causality tests using aggregated market indices. [ABSTRACT FROM AUTHOR]