Duran, M.Özcan G.Özlü P.Ünalmiş, D.2016-02-082016-02-0820121651765http://hdl.handle.net/11693/21649Little is known about the impact of monetary policy on asset prices in emerging markets. This study applies the heteroscedasticity-based GMM for financial markets in Turkey. The results suggest that event study estimates are biased for some asset returns. © 2011 Elsevier B.V.EnglishAsset pricesEmerging marketIdentification through heteroscedasticityMonetary policyArticle10.1016/j.econlet.2011.08.024