Comovements of Stock Markets between Turkey and Global Countries
Sema Bayraktar and
Thomas Chiang ()
Czech Journal of Economics and Finance (Finance a uver), 2017, vol. 67, issue 3, 250-275
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.
Keywords: stock market linkages; DCC model; TED spread; CDS spread; VIX (search for similar items in EconPapers)
JEL-codes: G14 G15 C22 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:67:y:2017:i:3:p:250-275
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