The Effects of Asian Currency Crisis on Financial Institutions: The ISE Experience

Halil Kaymaz and Osman Kilic

Istanbul Stock Exchange Review, 2000, vol. 4, issue 13, 1-16

Abstract: This paper aims to investigate the effects of the Asian currency crisis on Turkish financial institutions. The sample consists of 52 financial institutions traded at the Istanbul Stock Exchange during the crisis period. The jump diffusion model is employed to assess the contagious influence on the performances of stocks of institutions. The empirical findings show that the jump process is the dominant feature of all portfolios, indicating that the currency crisis surprised the market participants. Furthermore, there is increased volatility from the non-event period to the event period, suggesting that financial institutions stocks are affected by the crisis.

Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_13.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:4:y:2000:i:13:p:1-16

Access Statistics for this article

More articles in Istanbul Stock Exchange Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC.
Bibliographic data for series maintained by Ahmet Palu ().