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...
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Gazi Unversity
2018-04-01
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Online Access: | https://www.yepad.org/2018/cilt.2_sayi.2_makale02.pdf |
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doaj-b14cc9a56dec4d2290fa71d29e705f8c2020-11-25T00:14:19ZengGazi UnversityYönetim, Ekonomi ve Pazarlama Araştırmaları Dergisi2587-07852587-07852018-04-0122163210.29226/TR1001.2018.14The Dynamic Behavior Of Turkish Stock Market Before And After Lehman CollapseTemur Kayhan Halil ArslanLehman 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. https://www.yepad.org/2018/cilt.2_sayi.2_makale02.pdfLehman BrothersVARImpulse ResponseContagion EffectMSCI EMBIST100 |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Temur Kayhan Halil Arslan |
spellingShingle |
Temur Kayhan Halil Arslan The Dynamic Behavior Of Turkish Stock Market Before And After Lehman Collapse Yönetim, Ekonomi ve Pazarlama Araştırmaları Dergisi Lehman Brothers VAR Impulse Response Contagion Effect MSCI EM BIST100 |
author_facet |
Temur Kayhan Halil Arslan |
author_sort |
Temur Kayhan |
title |
The Dynamic Behavior Of Turkish Stock Market Before And After Lehman Collapse |
title_short |
The Dynamic Behavior Of Turkish Stock Market Before And After Lehman Collapse |
title_full |
The Dynamic Behavior Of Turkish Stock Market Before And After Lehman Collapse |
title_fullStr |
The Dynamic Behavior Of Turkish Stock Market Before And After Lehman Collapse |
title_full_unstemmed |
The Dynamic Behavior Of Turkish Stock Market Before And After Lehman Collapse |
title_sort |
dynamic behavior of turkish stock market before and after lehman collapse |
publisher |
Gazi Unversity |
series |
Yönetim, Ekonomi ve Pazarlama Araştırmaları Dergisi |
issn |
2587-0785 2587-0785 |
publishDate |
2018-04-01 |
description |
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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topic |
Lehman Brothers VAR Impulse Response Contagion Effect MSCI EM BIST100 |
url |
https://www.yepad.org/2018/cilt.2_sayi.2_makale02.pdf |
work_keys_str_mv |
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