Inter-Regional Volatility Spillovers between Emerging Capital Markets: Evidence from Turkey and Brazil

This study investigates volatility spillovers between two stock markets, Turk-ish and Brazilian, located in di¤erent regions of the world. Using a misspec-i cation robust causality-in-variance test, we \u85nd strong evidence supporting volatility spillovers from Istanbul Stock Exchange (ISE) to São Paulo Stock Ex-change (BOVESPA). The results imply that \u85nancial crises may change the size and the direction of volatility spillovers between markets