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Finansal Piyasalar Arasındaki Uzun Dönem Çapraz Korelasyon İlişkisi: Türkiye ile BRICS Ülkeleri Örneği.
- Source :
-
Celal Bayar University Journal of Social Sciences / Celal Bayar Üniversitesi Sosyal Bilimler Dergisi . Dec2019, Vol. 17 Issue 4, p457-475. 19p. - Publication Year :
- 2019
-
Abstract
- In the study the cross correlations between Turkey stock market volatility and the stock market volatilities of BRICS countries are investigated in the period from February 3, 2012 to June 1, 2018. This study contributes to the literature by employing the MF-X-DMA method to analyse the effect of stock market volatilities of the BRICS countries to the Turkish stock market. Emprical results show that cross correlations between volatilities of Turkey-Brazil, volatilities of Turkey-Russia, volatilities of Turkey-India, volatilities of Turkey-China and volatilities of Turkey-South Africa have strong multifractal features. Moreover, the effects of small and large shocks in cross correlations are persistant in the long run. [ABSTRACT FROM AUTHOR]
- Subjects :
- *CROSS correlation
*MARKET volatility
*STOCK exchanges
*COUNTRIES
Subjects
Details
- Language :
- Turkish
- ISSN :
- 13044796
- Volume :
- 17
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Celal Bayar University Journal of Social Sciences / Celal Bayar Üniversitesi Sosyal Bilimler Dergisi
- Publication Type :
- Academic Journal
- Accession number :
- 141693577
- Full Text :
- https://doi.org/10.18026/cbayarsos.664400