Volatility Transition Between Tourism Index Returns: BIST Tourism Index and Application of Some European Countries Tourism Indices

Abstract

Turkey is one of the important countries in Europe in terms of tourism sector. In Turkey, which is in competition with the European Union countries Italy, Spain and Greece in terms of the tourism sector, the volatility of the volatility of the tourism sector stock indices in this competitive environment is also an important situation. The aim of this study is to reveal the effects of volatility of Spain tourism index BCNR.BC, Italy tourism index FTITLMS and Greece tourism index FTATTRA on Turkish tourism index volatility. In the study, the volatility spread between variables was analyzed using the daily return series between 19.06.2015-19.06.2020 with the BEKK-GARCH model. According to the empirical findings obtained, a bidirectional volatility spread from the BIST tourism index to the BIST tourism index, from the FTATTRA index to the
FTATTRA index, was found. In addition, there is a one-way volatility interaction from the FTITLMS and BCNRBC indices to the BIST tourism index. No volatility interaction was found from BIST tourism index to FTITLMS and BCNRBC indices.