The Dynamic Interaction of CIVETS Stock Market Indices

Abstract

In this study, the dynamic interaction among of the CIVETS countries stock markets’ indices; COLCAP (Colombia), IDX Composite (Indonesia) VN (Vietnam), EGX 30 (Egypt), BIST 100 (Turkey) and TOP 40 (South Africa) is investigated. In the study which covers the period between January 2011 and December 2020 and using weekly data, the relationship of volatility spillover and co-movement between the stock markets of CIVETS countries were examined by using diagonal BEKK GARCH model and CCC GARCH model. The empirical results of the study showed that the contemporaneous volatility spillover effect was between the markets of CIVETS except the Vietnam market and the Turkey market. In terms of co-movement relationship, it is revealed that there is co-movement relationship between the markets of CIVETS countries, at high level between of Indonesia, South Africa and Colombia markets, and at low level between of Vietnam, Egypt and Turkey markets. The results of both models indicated that were volatility clustering in CIVETS markets, and domestic shocks in the previous period and the volatility of the previous period effect the volatility of current period.