The effects of US stock markets on the Istanbul stock exchange and its components

Date
2011
Advisor
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Source Title
Journal of International Finance and Economics
Print ISSN
1555-6336
Electronic ISSN
2378-864X
Publisher
International Academy of Business and Economics
Volume
11
Issue
2
Pages
85 - 94
Language
English
Type
Article
Journal Title
Journal ISSN
Volume Title
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Abstract

With increasing financial integration (globalization), the performance of the emerging financial market has been substantially affected by the performances of major developed financial markets. This study explores how one of the leading Emerging Markets (the Istanbul Stock Exchange; ISE hereafter) and various components of the ISE index are affected by various indices from the US stock markets. The empirical evidence reveals that unexpected shocks in the US stock markets have both contemporaneous and first period effects on the Turkish stock market. The co-movements among the markets are positive and significant. Moreover, importantly, the Turkish stock market closely follows the movements of the US stock exchange which has small-cap companies rather than of the stock exchanges which have similar sectoral weights as in the Istanbul Stock Exchange.

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Book Title
Keywords
Emerging markets, Financial market integration and SVAR
Citation
Published Version (Please cite this version)