Modeling Comovement among Emerging Stock Markets: The Case of Budapest and Istanbul

Numan Ülkü

Czech Journal of Economics and Finance (Finance a uver), 2011, vol. 61, issue 3, 277-304

Abstract: A double world index model is proposed as an ideal way of characterizing the comovement among emerging stock markets, and applied to Budapest-Istanbul as an interesting case. An exclusive increase in the correlation between Budapest and Istanbul during the recent crisis period is documented. To decompose this correlation into information dynamics, a structural vector autoregression (SVAR) model is employed which controls for global indices that enter the system exogenously. Istanbul and Budapest contain incremental information for each other after controlling for global factors, in particular during and after the recent global crisis. Impulse response results suggest significant lagged responses, which imply predictability. Istanbul appears to respond to global information faster.

Keywords: comovement of stock markets; European emerging markets; structural VAR; world index model (search for similar items in EconPapers)
JEL-codes: C32 G14 G15 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:61:y:2011:i:3:p:277-304

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