Effect of S&P500's return on emerging markets: Turkish experience
This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to 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.
Year of publication: |
2005
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Authors: | Berument, Hakan ; Ince, Onur |
Published in: |
Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 1.2005, 1, p. 59-64
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Publisher: |
Taylor and Francis Journals |
Saved in:
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