Abstract
In the study the cross correlations between Turkey stock market volatility and the stock market volatilities of BRICS countries are investigated in the period from February 3, 2012 to June 1, 2018. This study contributes to the literature by employing the MF-X-DMA method to analyse the effect of stock market volatilities of the BRICS countries to the Turkish stock market. Emprical results show that cross correlations between volatilities of Turkey-Brazil, volatilities of Turkey-Russia, volatilities of Turkey-India, volatilities of Turkey-China and volatilities of Turkey-South Africa have strong multifractal features. Moreover, the effects of small and large shocks in cross correlations are persistant in the long run.
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