Turkiye'nin Finansal Piyasa Likiditesi, Olcumu ve Analizi

Burcu Deniz Yildirim

Central Bank Review, 2011, vol. 11, issue 1, 11-28

Abstract: In this study, a market liquidity index for Turkey is built, which presents information about the course of the liquidity in the financial markets. Moreover, the impact of the 2007-2009 global financial crisis on Turkey's financial system is examined by comparing the index to VIX, a risk appetite and a volatility indicator. According to the conducted stochastic analysis, the results suggest that Turkish financial markets were affected by the said global crisis for a shorter period of time compared to the financial markets in the US.

Keywords: Market liquidity index; Bid-ask spread; illiquidity ratio; SWARCH (search for similar items in EconPapers)
JEL-codes: C22 E58 G21 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:11:y:2011:i:1:p:11-28

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