Effect of S&P500's return on emerging markets: Turkish experience
| buir.contributor.author | Berument, Hakan | |
| dc.citation.epage | 64 | en_US |
| dc.citation.issueNumber | 1 | en_US |
| dc.citation.spage | 59 | en_US |
| dc.citation.volumeNumber | 1 | en_US |
| dc.contributor.author | Berument, Hakan | en_US |
| dc.contributor.author | Ince, O. | en_US |
| dc.date.accessioned | 2019-02-11T08:02:49Z | |
| dc.date.available | 2019-02-11T08:02:49Z | |
| dc.date.issued | 2005 | en_US |
| dc.description.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. | en_US |
| dc.identifier.doi | 10.1080/1744654052000314662 | en_US |
| dc.identifier.eissn | 1744-6554 | |
| dc.identifier.issn | 1744-6546 | |
| dc.identifier.uri | http://hdl.handle.net/11693/49205 | |
| dc.language.iso | English | en_US |
| dc.publisher | Routledge | en_US |
| dc.relation.isversionof | https://doi.org/10.1080/1744654052000314662 | en_US |
| dc.source.title | Applied Financial Economics Letters | en_US |
| dc.subject | Emerging markets | en_US |
| dc.subject | Stock markets | en_US |
| dc.subject | Block recursive VAR | en_US |
| dc.title | Effect of S&P500's return on emerging markets: Turkish experience | en_US |
| dc.type | Article | en_US |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- Effect_of_SP500s_return_on_emerging_markets_Turkish_experience.pdf
- Size:
- 197.95 KB
- Format:
- Adobe Portable Document Format
- Description:
- Full printable version
License bundle
1 - 1 of 1
No Thumbnail Available
- Name:
- license.txt
- Size:
- 1.71 KB
- Format:
- Item-specific license agreed upon to submission
- Description: