How have the Turkish post-2001 stabilization reforms impacted on the conditional correlation between the Turkish and the main foreign stock markets?
This article investigates the impact of the Turkish post-2001 stabilization reforms on the conditional correlation between the Turkish stock index (ISE 100) and the four major stock indices (S&P 500, FTSE 100, DAX 30, NIKKEI 225). We evaluate these correlations for the period ranging from January 1997 to April 2011 with Dynamic Conditional Correlation (DCC) models. The results obtained with the Asymmetric Generalized DCC (AGDCC) model lead to two substantial conclusions. First, the conditional correlation between the ISE 100 and the four other stock indices has strengthened permanently since late 2003, when the reforms started to produce the expected results in the Turkish economic and financial situations. Second, during most of the financial crises that occurred over the retained period, the correlation between the ISE 100 and the other indices increased for a short period. These increases could be explained by the ‘flight to quality’ and ‘flight to liquidity’. By contrast, during the Turkish crisis (2000--2001) the correlation between the ISE 100 and the other stock indices decreased due to the outflow of capital.
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 22 (2012)
Issue (Month): 22 (November)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:22:y:2012:i:22:p:1881-1898. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.