INTEGRATION OF FINANCIAL MARKETS: EXAMPLE OF US, EU, ASIAN MARKETS AND BORSA ISTANBUL

Inter-market integration is of significance with regard to the financial stability of countries, international portfolio diversification, and hedging practices. Return and volatility spillover effects have been analyzed to test the existence of inter-market integration. In this context, return and volatility spillover effects from the developed markets of the USA, the EU (Germany, England, and France), and Asia (China and Japan) to the Turkish financial market have been tested using causality in mean and causality in variance tests. The findings displayed both return and volatility spillover effects from the USA market to Borsa Istanbul and only return spillover effects from the EU markets to Borsa Istanbul. No spillover effects have been detected from the Asian markets to Borsa Istanbul