Comovements of Stock Markets between Turkey and Global Countries
Journal Title: Finance a uver - Year 2017, Vol 67, Issue 3
Abstract
This paper presents empirical evidence on the dynamic structure of the correlations of the Turkish stock market with other national markets. Both conditional and unconditional correlations are analyzed. Linkages at the aggregate level are found to be time-varying, showing some transitional changes. In the analysis of the dynamics behind the transitional changes, the evidence indicates that the TED spread appears to be the most dominant factor contributing to the stock market comovements between Turkey and other global markets.
Authors and Affiliations
Sema Bayraktar, Thomas Chiang
Keywords
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