VOLATILITY SPILLOVER EFFECTS BETWEEN STOCK MARKETS DURING THE CRISIS PERIODS: DIAGONAL BEKK APPROACH

A rise in the yield of financial market assets could lead to variations in the returns of other assets over time due to arbitrage conditions. Consequently, this phenomenon may trigger spillover effects or cointegration among the volatilities of assets within financial markets. The aim of this study is to investigate spillover effects among American, European, Russian, and Turkish stock markets during the COVID-19 pandemic and the Russia-Ukraine war. Employing the diagonal BEKK-GARCH model from 2020 to 2023, the volatility transmissions within stock returns is examined. The results reveal significant GARCH effects alongside modest ARCH effects. Notably, during the COVID-19 period, the European market exerted the most significant influence on other markets, whereas during the war period, the US market dominated, and Turkish markets displaying the least impact for two periods. Furthermore, the findings indicate that the lagged cross-volatility persistence is lower during the Russia-Ukraine war period compared to the COVID-19 period.