Purpose – The purpose of this paper is to analyze cointegration and causality relationships between spot and futures markets in Turkish foreign‐exchange markets. Design/methodology/approach – The research employs Bounds cointegration test and Toda‐Yamamoto causality test to detect a...

Purpose – The purpose of this paper is to analyze cointegration and causality relationships between spot and futures markets in Turkish foreign-exchange markets. Design/methodology/approach – The research employs Bounds cointegration test and Toda-Yamamoto causality test to detect a possible...

Bu makale, portföy yatýrýmlarýnda bir karar destek sistemi olarak rejim geçiþken modellerin ne þekilde kullanýlabileceðini geliþmekte olan hisse senedi piyasalarýna ait zaman serilerini ve Gauss yazýlým programýný kullanarak incelemektedir. Yönetim biliþim sistemlerinde, model...

This paper examines the weak form efficiency in the Istanbul Stock Exchange in the period between 1987 and 1998 by using daily ISE National 100 Index. Unlike previous empirical papers, it employs different methodologies to take account the effects of thin trading, non-linear behaviour in stock...

The main purpose of this paper is to analyze the causal relationships between defence spending and economic growth using the Toda–Yamamoto approach to Granger causality test in the case of selected NATO countries for the period of 1949-2006. NATO countries spend biggest proportion of defence...

We empirically analyze the main economic factors affecting the export and import levels in Turkish agriculture sector. Using monthly time series of certain domestic and international variables, we make three complementary analysis; namely, principal component analysis, causality and...

We employ duration-dependent Markov-switching vector auto-regression (DDMSVAR) methodology to construct an economic cycle model for an emerging economy. By modifying the software codes for DDMSVAR methodology written by Pelagatti (2003), we show how to estimate the economic cycles in an emerging...