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Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets

Year 2021, Volume: 21 Issue: 4, 407 - 425, 30.10.2021
https://doi.org/10.21121/eab.1015640

Abstract

The aim of this paper is to empirically investigate financial contagion between developed and emerging markets and Turkish stock market. With this purpose, daily closing values of Turkish (BIST100), US (SPX), German (DAX), Brazilian (IBOV), Russian (RTSI), Indian (NIFTY), Chinese (SHCOMP) market indexes for the period 04.01.2000-12.11.2019 have been used in cointegration and causality analyses, where the latter takes into account structural breaks endogenously. While findings of co-integration analysis demonstrate tendency of Turkish stock market to move together with developed markets SPX and DAX, and with NIFTY from among emerging ones, allowing for structural breaks has been found significant in terms of methodological perspective. Findings from causality analysis, on the other hand, indicate presence of various causality relations among markets, including unilateral relations from SPX and DAX to BIST100, bilateral relations of BIST100 with IBOV and NIFTY, and unilateral ones of RTSI and SHCOMP with BIST100 index. Our analyses in general point out contagion to Turkish market from both developed markets and Russia and China from among emerging markets, moreover mutual interdependence between Turkey and the emerging markets of Brazil and India.

References

  • Akcali Yasar, B., Mollaahmetoglu, E. & Altay, E. (2019). Contagion analysis of interest rates, inflation and exchange rate shocks in Turkey by implementing arma-egarch model, Istanbul Gelisim Universitesi Sosyal Bilimler Dergisi, Gelisim- UWE 2019 Özel sayi, 29-43.
  • Alper, E. C. ve K., Yilmaz. (2004). Volatility and contagion: evidence from the İstanbul stock exchange. Economic Systems. 28, 353–367.
  • Altan, I.M. & Yildirim, M. (2019). Uluslararasi finansal piyasalarda bulasma etkisi, II. International Conference on Empirical and Social Sciences (ICEESS’ 19), June 20-21-22, 2019. Bandirma, 452-459.
  • Atakan, T., Gumrah, U. & Gokbulut Ilker, R. (2010). Contagion effects of the credit crisis in financial markets of the United States to emerging countries: an evidence from Turkey, Trakya Universitesi Sosyal Bilimler Dergisi, 12(1),388-414.
  • Ayaydin, H. (2014). A study on the relationship between international diversification, financial contagion, and the global financial crisis. Ataturk University Journal of Economics & Administrative Sciences, 28 (3), 43-67.
  • Balcilar, M., Ozdemir, Z.A., Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics, 32, 1398-1410.
  • Baur, D.G., (2012). Financial contagion and the real economy. Journal Of Banking & Finance, 36, 2680-2692.
  • Bekiros, D.S. (2014). Contagion, decoupling and the spillover effects of the US financial crisis: evidence from the bric markets. International Review Of Financial Analysis, 33, 58-69.
  • Buberkoku, Ö & Kizildere, C. (2018). Has the turkish economy experienced a contagion effect from the global financial crisis?. Journal of Business Research-Turk 10(4) 1272-1297.
  • Celik, S. (2012). The more contagion effect on emerging markets: the evidence of dcc-garch model. Economic Modelling, 29, 1946-1959.
  • Chancharoenchai, K. & Dibooglu, S. (2006). Volatility spillovers and contagion during the asian crisis: evidence from six southeast asian stock markets. Emerging Markets Finance and Trade, 42, 4-17. doi: 10.2753/REE1540-496X420201.
  • Dickey, D.A., Fuller, W.A., (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society, 75, 427–431.
  • Dimitriou, D., Kenourgios, D., Simos,T., (2013). Global financial crisis and emerging stock market contagion: a multivariate fıaparch-dcc approach. International Review of Financial Analysis, 30, 46-56.
  • Enders, W., Lee, J., (2012). The flexible fourier form and dickey- fuller type unit root tests. Economics Letters, 117, 196- 199.
  • Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Engle, R. F., and Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation and testing. Econometrica, 55, 251-276.
  • Forbes, K. J., Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. Journal of Finance, 57(5): 2223-2261.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of The Econometric Society, 424-438.
  • Gregory, A.W., Hansen, B., (1996a). Residual-based tests for cointegration ın models with regime shifts. Journal of Econometrics, 70, 99-126.
  • Gregory, A. W., & Hansen, B. E. (1996b). Practitioners corner: tests for cointegration in models with regime and trend shifts. Oxford Bulletin of Economics and Statistics, 58(3), 555- 560.
  • Gulzar, S., Mujtaba Kayani, G., Xiaofeng, H., Ayub, U., & Rafique, A. (2019). Financial cointegration and spillover effect of global financial crisis: a study of emerging asian financial markets. Economic Research-Ekonomska Istraživanja, 32(1), 187-218.
  • Islam, Raisul, M. Talhatul Islam and A. Hannan Chowdhury; (2013). Testing for global volatility spillover, financial contagion and structural break in fifteen economies from two regions: a diagonal vech matrix and egarch (1,1) approach. International Journal of Economics and Finance, 5(5), 159-170.
  • Kirac, F. & Cicek, M. (2017). Mortgage krizinin uluslararası hisse senetleri piyasası üzerine bulaşma etkisi. Sosyal Bilimler Dergisi/Journal of Social Sciences, 1, Nisan, 75-97.
  • Kocabaş, C. (2016). 2008 krizinin bulaşma etkisi: bir finansal kriz göstergesi olarak hisse senedi fiyat endeksi üzerine bir analiz. Sosyal Arastirmalar ve Davranis Bilimleri Dergisi- Journal of Social Research and Behavioral Sciences, 2, Özel sayı, 1-23.
  • Nazlioglu, S., Gormus, N. A., & Soytas, U. (2016). Oil prices and real estate investment trusts (reıts): gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.
  • Nazlioglu, S. (2019). GAUSS Time series and panel data tests package (tspdlib), https://github.com/aptech/tspdlib.
  • Pericoli, M. & Sbracia, M. (2003). “A primer on financial contagion. Journal of Economic Surveys, 17(4), 571-608.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 1361-1401.
  • Phillips, P. C., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica: Journal of the Econometric Society, 165-193.
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335–346. doi:10.2307/2336182
  • Polat, O. (2018). Hisse senedi piyasalarında finansal bağlantılılık analizi. Politik Ekonomik Kuram, Cilt:2, Sayi:1, ss.73-86.
  • Rigobon, R. (2016). Staff Working Paper No. 607 Contagion, spillover and interdependence.
  • Roy, R. P., & Roy, S. S. (2017). Financial contagion and volatility spillover: an exploration into indian commodity derivative market. Economic Modelling, 67, 368-380.
  • Samarakoon, L.P. (2011). Stock market interdependence, contagion, and the U.S. financial crisis: the case of emerging and frontier markets. Journal Of International Financial Markets, Institutions&Money, 21, 724-742.
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
  • Var, U. (2015). Türkiye ile Bazı Gelişmiş ve Gelişmekte Olan Ülkelerin Hisse Senedi Piyasaları Arasındaki Getiri ve Volatilite Yayılma İlişkisi ile Entegrasyonun Analizi (2009- 2014). (Yayımlanmamış Yüksek Lisans Tezi). İstanbul Teknik Üniversitesi Fen Bilimleri Enstitüsü İşletme Mühendisliği Anabilim Dalı, İstanbul.
  • Ventosa-Santaulària, D., & Vera-Valdés, J. E. (2008). Granger- causality in the presence of structural breaks. Economics Bulletin, 3(61).
  • Zivot, E., Andrews, W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business and Economic Statistics 10(3), 251-270
Year 2021, Volume: 21 Issue: 4, 407 - 425, 30.10.2021
https://doi.org/10.21121/eab.1015640

Abstract

References

  • Akcali Yasar, B., Mollaahmetoglu, E. & Altay, E. (2019). Contagion analysis of interest rates, inflation and exchange rate shocks in Turkey by implementing arma-egarch model, Istanbul Gelisim Universitesi Sosyal Bilimler Dergisi, Gelisim- UWE 2019 Özel sayi, 29-43.
  • Alper, E. C. ve K., Yilmaz. (2004). Volatility and contagion: evidence from the İstanbul stock exchange. Economic Systems. 28, 353–367.
  • Altan, I.M. & Yildirim, M. (2019). Uluslararasi finansal piyasalarda bulasma etkisi, II. International Conference on Empirical and Social Sciences (ICEESS’ 19), June 20-21-22, 2019. Bandirma, 452-459.
  • Atakan, T., Gumrah, U. & Gokbulut Ilker, R. (2010). Contagion effects of the credit crisis in financial markets of the United States to emerging countries: an evidence from Turkey, Trakya Universitesi Sosyal Bilimler Dergisi, 12(1),388-414.
  • Ayaydin, H. (2014). A study on the relationship between international diversification, financial contagion, and the global financial crisis. Ataturk University Journal of Economics & Administrative Sciences, 28 (3), 43-67.
  • Balcilar, M., Ozdemir, Z.A., Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics, 32, 1398-1410.
  • Baur, D.G., (2012). Financial contagion and the real economy. Journal Of Banking & Finance, 36, 2680-2692.
  • Bekiros, D.S. (2014). Contagion, decoupling and the spillover effects of the US financial crisis: evidence from the bric markets. International Review Of Financial Analysis, 33, 58-69.
  • Buberkoku, Ö & Kizildere, C. (2018). Has the turkish economy experienced a contagion effect from the global financial crisis?. Journal of Business Research-Turk 10(4) 1272-1297.
  • Celik, S. (2012). The more contagion effect on emerging markets: the evidence of dcc-garch model. Economic Modelling, 29, 1946-1959.
  • Chancharoenchai, K. & Dibooglu, S. (2006). Volatility spillovers and contagion during the asian crisis: evidence from six southeast asian stock markets. Emerging Markets Finance and Trade, 42, 4-17. doi: 10.2753/REE1540-496X420201.
  • Dickey, D.A., Fuller, W.A., (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Society, 75, 427–431.
  • Dimitriou, D., Kenourgios, D., Simos,T., (2013). Global financial crisis and emerging stock market contagion: a multivariate fıaparch-dcc approach. International Review of Financial Analysis, 30, 46-56.
  • Enders, W., Lee, J., (2012). The flexible fourier form and dickey- fuller type unit root tests. Economics Letters, 117, 196- 199.
  • Enders, W., & Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a VAR. Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Engle, R. F., and Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation and testing. Econometrica, 55, 251-276.
  • Forbes, K. J., Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. Journal of Finance, 57(5): 2223-2261.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of The Econometric Society, 424-438.
  • Gregory, A.W., Hansen, B., (1996a). Residual-based tests for cointegration ın models with regime shifts. Journal of Econometrics, 70, 99-126.
  • Gregory, A. W., & Hansen, B. E. (1996b). Practitioners corner: tests for cointegration in models with regime and trend shifts. Oxford Bulletin of Economics and Statistics, 58(3), 555- 560.
  • Gulzar, S., Mujtaba Kayani, G., Xiaofeng, H., Ayub, U., & Rafique, A. (2019). Financial cointegration and spillover effect of global financial crisis: a study of emerging asian financial markets. Economic Research-Ekonomska Istraživanja, 32(1), 187-218.
  • Islam, Raisul, M. Talhatul Islam and A. Hannan Chowdhury; (2013). Testing for global volatility spillover, financial contagion and structural break in fifteen economies from two regions: a diagonal vech matrix and egarch (1,1) approach. International Journal of Economics and Finance, 5(5), 159-170.
  • Kirac, F. & Cicek, M. (2017). Mortgage krizinin uluslararası hisse senetleri piyasası üzerine bulaşma etkisi. Sosyal Bilimler Dergisi/Journal of Social Sciences, 1, Nisan, 75-97.
  • Kocabaş, C. (2016). 2008 krizinin bulaşma etkisi: bir finansal kriz göstergesi olarak hisse senedi fiyat endeksi üzerine bir analiz. Sosyal Arastirmalar ve Davranis Bilimleri Dergisi- Journal of Social Research and Behavioral Sciences, 2, Özel sayı, 1-23.
  • Nazlioglu, S., Gormus, N. A., & Soytas, U. (2016). Oil prices and real estate investment trusts (reıts): gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.
  • Nazlioglu, S. (2019). GAUSS Time series and panel data tests package (tspdlib), https://github.com/aptech/tspdlib.
  • Pericoli, M. & Sbracia, M. (2003). “A primer on financial contagion. Journal of Economic Surveys, 17(4), 571-608.
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 1361-1401.
  • Phillips, P. C., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica: Journal of the Econometric Society, 165-193.
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335–346. doi:10.2307/2336182
  • Polat, O. (2018). Hisse senedi piyasalarında finansal bağlantılılık analizi. Politik Ekonomik Kuram, Cilt:2, Sayi:1, ss.73-86.
  • Rigobon, R. (2016). Staff Working Paper No. 607 Contagion, spillover and interdependence.
  • Roy, R. P., & Roy, S. S. (2017). Financial contagion and volatility spillover: an exploration into indian commodity derivative market. Economic Modelling, 67, 368-380.
  • Samarakoon, L.P. (2011). Stock market interdependence, contagion, and the U.S. financial crisis: the case of emerging and frontier markets. Journal Of International Financial Markets, Institutions&Money, 21, 724-742.
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.
  • Var, U. (2015). Türkiye ile Bazı Gelişmiş ve Gelişmekte Olan Ülkelerin Hisse Senedi Piyasaları Arasındaki Getiri ve Volatilite Yayılma İlişkisi ile Entegrasyonun Analizi (2009- 2014). (Yayımlanmamış Yüksek Lisans Tezi). İstanbul Teknik Üniversitesi Fen Bilimleri Enstitüsü İşletme Mühendisliği Anabilim Dalı, İstanbul.
  • Ventosa-Santaulària, D., & Vera-Valdés, J. E. (2008). Granger- causality in the presence of structural breaks. Economics Bulletin, 3(61).
  • Zivot, E., Andrews, W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business and Economic Statistics 10(3), 251-270
There are 38 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Articles
Authors

Elif Hilal Nazlıoğlu This is me 0000-0002-4425-7479

Dündar Kök This is me 0000-0002-5250-3369

Publication Date October 30, 2021
Acceptance Date September 10, 2021
Published in Issue Year 2021 Volume: 21 Issue: 4

Cite

APA Nazlıoğlu, E. H., & Kök, D. (2021). Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets. Ege Academic Review, 21(4), 407-425. https://doi.org/10.21121/eab.1015640
AMA Nazlıoğlu EH, Kök D. Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets. ear. October 2021;21(4):407-425. doi:10.21121/eab.1015640
Chicago Nazlıoğlu, Elif Hilal, and Dündar Kök. “Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets”. Ege Academic Review 21, no. 4 (October 2021): 407-25. https://doi.org/10.21121/eab.1015640.
EndNote Nazlıoğlu EH, Kök D (October 1, 2021) Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets. Ege Academic Review 21 4 407–425.
IEEE E. H. Nazlıoğlu and D. Kök, “Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets”, ear, vol. 21, no. 4, pp. 407–425, 2021, doi: 10.21121/eab.1015640.
ISNAD Nazlıoğlu, Elif Hilal - Kök, Dündar. “Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets”. Ege Academic Review 21/4 (October 2021), 407-425. https://doi.org/10.21121/eab.1015640.
JAMA Nazlıoğlu EH, Kök D. Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets. ear. 2021;21:407–425.
MLA Nazlıoğlu, Elif Hilal and Dündar Kök. “Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets”. Ege Academic Review, vol. 21, no. 4, 2021, pp. 407-25, doi:10.21121/eab.1015640.
Vancouver Nazlıoğlu EH, Kök D. Contagion in Turkish Stock Market: Evidences from Developed and Emerging Markets. ear. 2021;21(4):407-25.