Ömer Kalav, İsmail Özdemir
The Shanghai Cooperation Organization (SCO) represents approximately 40% of the world's population and more than 20% of the global gross domestic product. The SCO plays an important role in influencing the geopolitical balances of Eurasia. Currently, it is the world’s biggest regional organization in terms of population. We use weekly data from 2nd week of April of 2013 to 2nd week of February of 2023 to examine the spillover effects and time-varying effects among the four largest SCO markets of SCO, namely China, India, Pakistan, and Russia. Additionally, we test long run relationship and degree of integration using the ARDL bound and VAR cointegration methods. ARDL and Cointegration analysis shows although there is not any long run relationship between/among the price of stock market, there is long run relationship between/among the return of the stock market. The BEKK model results show that the changes in the Chinese stock market are transferred to the Indian and Russian markets, while the changes in the Indian market are only transferred to the Pakistani and Russian markets. Moreover, there is a spillover effect from China to all three stock markets. Except for India, the spillover effect from China to Russia and Pakistan is one-sided.