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Journals / Ege Akademik Bakış Dergisi / 2021 / Cilt: 21 - Sayı: 4

Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets

Elif Hilal NAZLIOĞLU
Dündar KÖK
Pages
407–425
Publication Date
2021-10-30
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Our analyses in general point out contagion to Turkish market from both developed markets and Russia and China from among emerging markets, moreover mutual interdependence between Turkey and the emerging markets of Brazil and India.

📌 3 Key Takeaways

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Objective & Hypothesis:The aim of this paper is to empirically investigate financial contagion between developed and emerging markets and Turkish stock market.
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Key Findings & Data:With this purpose, daily closing values of Turkish (BIST100), US (SPX), German (DAX), Brazilian (IBOV), Russian (RTSI), Indian (NIFTY), Chinese (SHCOMP) market indexes for the period 04.01.2000-12.11.2019 have been used in cointegration and causality analyses, where the latter takes into account structural breaks endogenously.
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Conclusion & Impact:Our analyses in general point out contagion to Turkish market from both developed markets and Russia and China from among emerging markets, moreover mutual interdependence between Turkey and the emerging markets of Brazil and India.
🔬Design:Research Article
📍Scope:2000 Verileri
⚙️Variables:contagion · financial crisis · co-integration with structural breaks

Abstract

The aim of this paper is to empirically investigate financial contagion between developed and emerging markets and Turkish stock market. With this purpose, daily closing values of Turkish (BIST100), US (SPX), German (DAX), Brazilian (IBOV), Russian (RTSI), Indian (NIFTY), Chinese (SHCOMP) market indexes for the period 04.01.2000-12.11.2019 have been used in cointegration and causality analyses, where the latter takes into account structural breaks endogenously. While findings of co-integration analysis demonstrate tendency of Turkish stock market to move together with developed markets SPX and DAX, and with NIFTY from among emerging ones, allowing for structural breaks has been found significant in terms of methodological perspective. Findings from causality analysis, on the other hand, indicate presence of various causality relations among markets, including unilateral relations from SPX and DAX to BIST100, bilateral relations of BIST100 with IBOV and NIFTY, and unilateral ones of RTSI and SHCOMP with BIST100 index. Our analyses in general point out contagion to Turkish market from both developed markets and Russia and China from among emerging markets, moreover mutual interdependence between Turkey and the emerging markets of Brazil and India.

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Cite This Article

NAZLIOĞLU, E. H., KÖK, D. (2021). Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets. Ege Akademik Bakış Dergisi, Cilt: 21 - Sayı: 4, 407–425. https://ajindex.com/articles/751841

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