Advanced Search
MyIDEAS: Login

Analyzing of Relationship among stock markets of the US, Germany and Turkey with MS-VAR Model

Contents:

Author Info

  • Emrah Ismail ÇEVIK
  • Nuket Kirci ÇEVIK
  • Serhan GURKAN
Registered author(s):

    Abstract

    In this study, the presence of dynamic relations among stock markets of the US, Germany and Turkey is examined by means of Markov regime switching-Vector Autoregressive (MS-VAR) model. Empirical results suggest that the MS-VAR model provides a better characterization of relation among stock markets than the linear VAR model. In addition, it is determined that regimes are obtained from the MS-VAR model can be named as bear and bull markets according to smoothed transition probabilities. Regime-dependent Granger causality test and impulse-response functions results show that the relations among the stock markets have varied due to bear and bull market periods.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/11164makale5.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Banking Regulation and Supervision Agency in its journal Journal of Banking and Financial Markets.

    Volume (Year): 6 (2012)
    Issue (Month): 1 ()
    Pages: 133-155

    as in new window
    Handle: RePEc:bdd:journl:v:6:y:2012:i:1:p:133-155

    Contact details of provider:
    Postal: Atatürk Bulvarı No:191 B Blok 06680 KAVAKLIDERE/ANKARA
    Phone: +90-312-455 65 00
    Fax: +90-312-424 08 77
    Email:
    Web page: http://www.bddk.org.tr/WebSitesi/turkce/Raporlar/BDDK_Dergi/BDDK_Dergi.aspx
    More information through EDIRC

    Related research

    Keywords: Markov Regime Switching VAR Model; Stock Markets; Regime-Dependent Impulse-Response Functions;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bdd:journl:v:6:y:2012:i:1:p:133-155

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zafer Kovancý).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.