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dc.contributor.advisorÖzcan, Kıvılcım Metin
dc.contributor.authorKantur, Zeynep
dc.date.accessioned2016-01-08T18:11:08Z
dc.date.available2016-01-08T18:11:08Z
dc.date.copyright2009-09
dc.date.issued2009-09
dc.date.submitted2009-09-05
dc.identifier.urihttp://hdl.handle.net/11693/14929
dc.descriptionAnkara : The Department of Economics, Bilkent University, 2009.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2009.en_US
dc.descriptionIncludes bibliographical references leaves 42-44.en_US
dc.description.abstractOil price volatility is a crucial factor that explains stock price movements. Recent studies show that oil price shocks and its volatility explain the stock market movements better than most of the variables. This thesis investigates the effects of oil price volatility and its asymmetry on emerging stock markets using bivariate asymmetric BEKK1 model which was first introduced by Engle et al. (1993) and extended for asymmetric effects by Kroner and Ng (1998). The model is estimated using weekly returns on Malaysia, Mexico, South Korea, Taiwan and Turkey together with the measure of the world oil price. Over the sample period, 48th week of 1988 through 46th week of 2008, strong evidence of volatility spillover is found for Malaysia, Mexico, South Korea and Turkey. Weak evidence of volatility spillover is found for Taiwan. Although results of significant volatility spillovers are obtained, news impact surfaces show small quantitative implications. This thesis also examines whether volatility spillovers occur simultaneously. There is strong evidence of volatility spillover for Malaysia and South Korea, and weak evidence of volatility spillover for Mexico, suggesting that these countries’ stock markets vary contemporaneously with oil price variations.en_US
dc.description.statementofresponsibilityKantur, Zeynepen_US
dc.format.extentviii, 54 leaves, graphs ; 30 cmen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subject.lccHD9560.4 .K35 2009en_US
dc.subject.lcshPetroleum--Prices.en_US
dc.subject.lcshPetroleum products--Prices.en_US
dc.subject.lcshStocks--Prices--Mathematical models.en_US
dc.subject.lcshEconometric models.en_US
dc.titleTransmission of oil price volatility to emerging stock marketsen_US
dc.title.alternativePetrol fiyatlarındaki oynaklığın gelişmekte olan ülkelerin borsa endekslerine aktarımıen_US
dc.typeThesisen_US
dc.departmentDepartment of Economicsen_US
dc.publisherBilkent Universityen_US
dc.description.degreeM.S.en_US


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