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The Effects of Asian Currency Crisis on Financial Institutions: The ISE Experience

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  • Halil Kaymaz
  • Osman Kilic

Abstract

This paper aims to investigate the effects of the Asian currency crisis on Turkish financial institutions. The sample consists of 52 financial institutions traded at the Istanbul Stock Exchange during the crisis period. The jump diffusion model is employed to assess the contagious influence on the performances of stocks of institutions. The empirical findings show that the jump process is the dominant feature of all portfolios, indicating that the currency crisis surprised the market participants. Furthermore, there is increased volatility from the non-event period to the event period, suggesting that financial institutions stocks are affected by the crisis.

Suggested Citation

  • Halil Kaymaz & Osman Kilic, 2000. "The Effects of Asian Currency Crisis on Financial Institutions: The ISE Experience," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 4(13), pages 1-16.
    • Handle: RePEc:bor:iserev:v:4:y:2000:i:13:p:1-16
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