Berument, HakanInce, O.2019-02-112019-02-1120051744-6546http://hdl.handle.net/11693/49205This 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.EnglishEmerging marketsStock marketsBlock recursive VARArticle10.1080/17446540520003146621744-6554