Berument, Hakan; Ince, Onur - In: Applied Financial Economics Letters 1 (2005) 1, pp. 59-64
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...
