Comovements of Stock Markets between Turkey and Global Countries
Küçük Resim Yok
Tarih
2017
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Charles Univ-Prague
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Stock Market Linkages, Dcc Model, Ted Spread, Cds Spread, Vıx, Us Financial Crisis, Equity Markets, Contagion, Volatility, Models, Convergence, Linkages, Returns, Interdependence, Determinants
Kaynak
Finance A Uver-Czech Journal of Economics and Finance
WoS Q Değeri
Q4
Scopus Q Değeri
Q3
Cilt
67
Sayı
3
