Effect of S&P500's return on emerging markets: Turkish experience
Date
2005
Authors
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Instructor
Source Title
Applied Financial Economics Letters
Print ISSN
1744-6546
Electronic ISSN
1744-6554
Publisher
Routledge
Volume
1
Issue
1
Pages
59 - 64
Language
English
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Journal Title
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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.