Effect of S&P500'S return on emerging markets: Turkish experience
- ASU Author/Contributor (non-ASU co-authors, if there are any, appear on document)
- Onur Ince Ph.D., Assistant Professor (Creator)
- Institution
- Appalachian State University (ASU )
- Web Site: https://library.appstate.edu/
Abstract: This study assesses the effect of S&P500 return on the Istanbul Stock
Exchange within a dynamic framework. In order lo capture The effect, a
block recursive VAR model is built. allowing that S&P500 affects the ISE
returns with its current and lag values but not vice versa. The estimates
from daily data suggest that returns on S&P500 affect ISE return positively
up to four days.
Effect of S&P500'S return on emerging markets: Turkish experience
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Created on 3/27/2013
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Additional Information
- Publication
- Berument, H. and Ince, O. (2005). Effect of S&P500's Return on Emerging Markets: Turkish Experience, Applied Financial Economics Letters 1(1): 59-64 (Jan 2007). Published by Taylor & Francis (ISSN: 1744-6546). DOI: 10.1080/1744654052000314662. Available online at www.tandf.co.uk
- Language: English
- Date: 2005