Paper Title
Impact of Tradıng ın Stock Markets on Currency Marketvolatılıty Spıllovers

Abstract
This particular research aims to detect the cross-border volatility linkages among various currencies during operating and non-operating hours of three major stock markets (Tokyo, London and New York) using different time frequencies. In particular, this study intends to analyze whether the major stock markets have a differential impact during their trading and non-trading hours on volatility linkages in currency markets. This approach is first in relevant literature. Besides, the sample is comprised of major, minor and exotic currencies quoted against US Dollar forming a unique sample compared to prior studies. The volatility linkages among these selected exchange rates were tested by utilizing bi-variate VAR-BEKK-GARCH models. The results indicate that volatility linkages among sample currencies are far stronger in intraday terms (5 and 15 minutes) when compared to daily results. Furthermore, the intraday analysis results reveal increasing bilateral linkages among sample currencies. One of the most striking results of the study is that major currencies do not play a leading role in volatility transmission, particularly in intraday terms. In contrast to prior studies, the results indicate that some minor and exotic currencies including Hong Kong Dollar and Mexican Peso carry a leading role in volatility transmission during trading hours of major stock markets. Keywords - Volatility Spillover; Exchange Rates; Multivariate Garch; Intraday JEL Classification: G11; G13; G15