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

buir.contributor.authorBerument, Hakan
dc.citation.epage64en_US
dc.citation.issueNumber1en_US
dc.citation.spage59en_US
dc.citation.volumeNumber1en_US
dc.contributor.authorBerument, Hakanen_US
dc.contributor.authorInce, O.en_US
dc.date.accessioned2019-02-11T08:02:49Z
dc.date.available2019-02-11T08:02:49Z
dc.date.issued2005en_US
dc.description.abstractThis 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.en_US
dc.description.provenanceSubmitted by Zeynep Aykut (zeynepay@bilkent.edu.tr) on 2019-02-11T08:02:49Z No. of bitstreams: 1 Effect_of_SP500s_return_on_emerging_markets_Turkish_experience.pdf: 202702 bytes, checksum: a74ecc875a1d5549af12dc65b81271a7 (MD5)en
dc.description.provenanceMade available in DSpace on 2019-02-11T08:02:49Z (GMT). No. of bitstreams: 1 Effect_of_SP500s_return_on_emerging_markets_Turkish_experience.pdf: 202702 bytes, checksum: a74ecc875a1d5549af12dc65b81271a7 (MD5) Previous issue date: 2005en
dc.identifier.doi10.1080/1744654052000314662en_US
dc.identifier.eissn1744-6554
dc.identifier.issn1744-6546
dc.identifier.urihttp://hdl.handle.net/11693/49205
dc.language.isoEnglishen_US
dc.publisherRoutledgeen_US
dc.relation.isversionofhttps://doi.org/10.1080/1744654052000314662en_US
dc.source.titleApplied Financial Economics Lettersen_US
dc.subjectEmerging marketsen_US
dc.subjectStock marketsen_US
dc.subjectBlock recursive VARen_US
dc.titleEffect of S&P500's return on emerging markets: Turkish experienceen_US
dc.typeArticleen_US

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