The Dynamic Behavior Of Turkish Stock Market Before And After Lehman Collapse
Lehman Brothers slump was taken as base point and changes in pricing mechanisms of BIST100, MSCI EM and Dow Jones were tried to be understood before and after crisis. While daily closed data was used, VAR, Impulse Response, Variance Decomposition and Granger Causality tests were used. According t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Gazi Unversity
2018-04-01
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| Series: | Yönetim, Ekonomi ve Pazarlama Araştırmaları Dergisi |
| Subjects: | |
| Online Access: | https://www.yepad.org/2018/cilt.2_sayi.2_makale02.pdf |
| Summary: | Lehman Brothers slump was taken as base point and changes in pricing mechanisms of
BIST100, MSCI EM and Dow Jones were tried to be understood before and after crisis. While
daily closed data was used, VAR, Impulse Response, Variance Decomposition and Granger
Causality tests were used. According to results, Turkish markets are weaker than other
developing countries and react more quickly to negative developments and Dow Jones
returns have more explanatory power over BIST100 returns with respect to MSCI EM in precrisis period. In post-crisis period, volatility of Turkish markets decreased much more than
other developing countries due to inherent growth dynamics. In addition, the influence of
MSCI EM in pre-crisis period over Dow Jones is not effective, but in post-crisis period has
become more effective. This can be regarded as a sign of an increase in dominance of
developing countries in global economies in post-crisis period.
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| ISSN: | 2587-0785 2587-0785 |