Effect of S&P500's return on emerging markets: Turkish experience

Hakan Berument A

36 citations0/0 files storedApplied Financial Economics Letters

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, a block recursive VAR model is built, allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to four days.

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References

1992Interpreting the macroeconomic time series facts 1989International Transmission of Stock Market Movements 1996What Does Monetary Policy Do?1992Common stochastic trends in international stock markets 1997Identifying monetary policy in a small open economy under flexible exchange rates 1993International stock market linkages: Evidence from the pre- and post-October 1987 period 1994The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification 2002International portfolio diversification: US and Central European equity markets

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2008Dynamic linkages between the center and periphery in international stock markets

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