This paper investigates dynamic interdependence, price and volatility transmissions and financial integration between Turkey and major equity markets in EU and USA. We attempt to quantify the dynamic relationship among developed stock exchanges of Germany, France, Britain, US and Turkey, an important emerging market. Using daily data on stock prices we analyze price and volatility spillovers in a vector autoregression-dynamic conditional correlations-multivariate generalized autoregressive conditional heteroskedacticity (VAR-DCC-MVGARCH) framework. This approach enables us to measure the extent to which these equity markets are interrelated by taking into account the time-varying variance-covariance structure. Since the major trade partners of Turkey are EU countries it is of interest to examine any changes in the structure of volatility spillovers. To this end, we analyze the effects of customs union agreement between Turkey and EU on the dynamic interdependence of stock markets by dividing the sample into two periods. The analysis reveals that, although they are small in magnitude as compared to their counterparts in developed markets, the conditional correlations can be assumed to be constant in the pre-customs union agreement while it fluctuates significantly in the post-customs union agreement.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
Publisher Info
Paper provided by Turkish Economic Association in its series Working Papers with number
2005/10.
For technical questions regarding this item, or to correct its listing, contact: (Ercan Uygur).
Related research
Keywords:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: