Analyzing of Relationship among stock markets of the US, Germany and Turkey with MS-VAR Model

Emrah Çevik, Nuket Kirci Cevik () and Serhan Gurkan

Journal of BRSA Banking and Financial Markets, 2012, vol. 6, issue 1, 133-155

Abstract: In this study, the presence of dynamic relations among stock markets of the US, Germany and Turkey is examined by means of Markov regime switching-Vector Autoregressive (MS-VAR) model. Empirical results suggest that the MS-VAR model provides a better characterization of relation among stock markets than the linear VAR model. In addition, it is determined that regimes are obtained from the MS-VAR model can be named as bear and bull markets according to smoothed transition probabilities. Regime-dependent Granger causality test and impulse-response functions results show that the relations among the stock markets have varied due to bear and bull market periods.

Keywords: Markov Regime Switching VAR Model; Stock Markets; Regime-Dependent Impulse-Response Functions (search for similar items in EconPapers)
JEL-codes: C22 G15 G17 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:6:y:2012:i:1:p:133-155

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