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Comovements of Stock Markets between Turkey and Global Countries

Author

Listed:
  • Sema Bayraktar

    () (Department of Banking and Finance, School of Applied Sciences, Istanbul Bilgi University)

  • Thomas C. Chiang

    () (Department of Finance, Drexel University)

Abstract

This paper presents empirical evidence on the dynamic structure of the correlations of the Turkish stock market with other national markets. Both conditional and unconditional correlations are analyzed. Linkages at the aggregate level are found to be time-varying, showing some transitional changes. In the analysis of the dynamics behind the transitional changes, the evidence indicates that the TED spread appears to be the most dominant factor contributing to the stock market comovements between Turkey and other global markets.

Suggested Citation

  • Sema Bayraktar & Thomas C. Chiang, 2017. "Comovements of Stock Markets between Turkey and Global Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(3), pages 250-275, June.
  • Handle: RePEc:fau:fauart:v:67:y:2017:i:3:p:250-275
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    More about this item

    Keywords

    stock market linkages; DCC model; TED spread; CDS spread; VIX;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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