Effect of S&P500's return on emerging markets: Turkish experience
Date
2005
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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.
Source Title
Applied Financial Economics Letters
Publisher
Routledge
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Emerging markets, Stock markets, Block recursive VAR
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English