Effect of S&P500’s Return on Emerging Markets : Turkish Experience
AbstractThis study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, a block recursive VAR model is built, allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to four days.
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Bibliographic InfoPaper provided by Bilkent University, Department of Economics in its series Departmental Working Papers with number 0508.
Date of creation: 2005
Date of revision:
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- Hakan Berument & Onur Ince, 2005. "Effect of S&P500's return on emerging markets: Turkish experience," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(1), pages 59-64, January.
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