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Turkish Lira crisis and its impact on sector returns

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  • Hadi, Dlawar Mahdi
  • Karim, Sitara
  • Naeem, Muhammad Abubakr
  • Lucey, Brian M.

Abstract

The current study examines the impact of Turkish Lira (TRY) crisis on various Turkish sectors following the downfall of Lira in 2018. The study employs two unique methodologies namely, wavelet coherence analysis and quantile-on-quantile regression for the period encapsulating April 2012 to December 2021. We documented significant anti phase movements between Lira and Turkish stocks while few stocks displayed perfect co-movement. Similarly, the results of QQ regression entailed significant hedge, safe-haven, and diversification avenues of Turkish stocks against the continuous decline of Lira. We emphasized useful insights for policymakers, Turkish regulatory bodies, investors, and financial market participants.

Suggested Citation

  • Hadi, Dlawar Mahdi & Karim, Sitara & Naeem, Muhammad Abubakr & Lucey, Brian M., 2023. "Turkish Lira crisis and its impact on sector returns," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006559
    DOI: 10.1016/j.frl.2022.103479
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    References listed on IDEAS

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    1. Sitara Karim & Muhammad Abubakr Naeem, 2022. "Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 18(4), pages 639-660, February.
    2. Özgür Orhangazi & A. Erinç Yeldan, 2021. "The Re‐making of the Turkish Crisis," Development and Change, International Institute of Social Studies, vol. 52(3), pages 460-503, May.
    3. Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
    4. Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
    5. Oyvat, Cem, 2018. "The End of Boom and the Political Economy of Turkey’s crisis," Greenwich Papers in Political Economy 21403, University of Greenwich, Greenwich Political Economy Research Centre.
    6. Billah, Mabruk & Karim, Sitara & Naeem, Muhammad Abubakr & Vigne, Samuel A., 2022. "Return and volatility spillovers between energy and BRIC markets: Evidence from quantile connectedness," Research in International Business and Finance, Elsevier, vol. 62(C).
    7. Sitara Karim & Muhammad Abubakr Naeem, 2022. "Do global factors drive the interconnectedness among green, Islamic and conventional financial markets?," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 18(4), pages 639-660, February.
    8. Ngene, Geoffrey M., 2021. "What drives dynamic connectedness of the U.S equity sectors during different business cycles?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    9. Mansour-Ichrakieh, Layal & Zeaiter, Hussein, 2019. "The role of geopolitical risks on the Turkish economy opportunity or threat," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
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    Cited by:

    1. Ijaz, Muhammad Shahzad & Ali, Shoaib & Du, Anna Min & Khurram, Mahrukh, 2025. "Analyzing financial market reactions to the Palestine-Israel conflict: An event study perspective," International Review of Economics & Finance, Elsevier, vol. 98(C).
    2. Zhao, Wandi & Gao, Yang, 2024. "Dynamic patterns and the latent community structure of sectoral volatility and jump risk contagion," Emerging Markets Review, Elsevier, vol. 59(C).

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