Informations and abstract
Keywords: Futures Markets, Return Volatility (GARCH), Granger Causality, Mediterranean, Stability. JEL Codes: G15; G13; F36; C32; G11
This study analyses daily data of the stock index futures markets of Turkey (BIST30) and four Eurozone countries - Italy (MIB30), France (CAC40), Spain (IBEX), Greece (ASE20) - spanning from March 2005 to March 2012. Using the GARCH model and Granger methodology, the study shows that bidirectional causality holds for futures return volatilities in these Eurozone areas, and it is only in the case of the Turkish BIST30 index futures returns that a weak unidirectional pattern can be identified. This provides empirical evidence that the Eurozone stock markets investigated in this study are highly integrated. Additionally, the spillover effect between the Turkish market and the other Eurozone stock markets in the Mediterranean is insignificant. These findings provide a better understanding of the inter-relations and volatility causality among these five financial markets and could better guide financial policy makers and investors in their efforts to maintain/regain stability in their financial system.