Contagion and surprises of the stock market returns

Evrim İmer-Ertunga

Applied Economics Letters, 2007, vol. 14, issue 14, 1053-1058

Abstract: This article provides an empirical analysis for the existence and direction of Granger causality between Turkey and Russian Federation by using structural breaks of seven developing stock market returns as a measure of contagion. Empirical results also reveal that there is an increase in the number of causalities in turmoil periods.

Date: 2007
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DOI: 10.1080/13504850600706347

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