Market Co-Movement in Crisis Periods: A Case for Turkey, United States of America and England

Year 2018, Volume: 4 Issue: 2, 97 - 104, 01.06.2018

Fatih Çemrek , Hakkı Polat

https://doi.org/10.30855/gjeb.2018.4.2.003

Abstract

As
shown many times in literature studies, during crises, a shock that began in
one country spreads to other countries that are economically, politically, and
socially relevant. These studies are usually focused on econometric models
developed on shock transfers. In this study, the impact of the 2007-2008 US
subprime mortgage crisis, the last global economic crisis, on markets in Turkey
in United States of American (USA) and United Kingdom was examined. Due to the
large number of transfers that took place during the crisis period, it has been
tried to show that indices of stock exchanges in these countries show similar
responses. As a result of the co-integration analysis, it was determined that
the daily stock market indices of 2007-2009 period were in an co-integrated
structure and showed similar movements during the crisis period.

Keywords

Financial Crisis Contagion, Financial Crisis, Co-integration

Kriz Dönemlerinde Piyasa Eş-Hareketliliği: Türkiye, Amerika Birleşik Devletleri ve İngiltere Örneği

Abstract

Kriz
dönemlerinde, ekonomik, politik ya da sosyal açıdan birbiriyle bağlantılı
ülkelerden birinde meydana gelen şokun, ilişkili diğer ülkelere de yayıldığı,
literatürdeki birçok deneysel çalışmayla ortaya konmuştur. Bu çalışmalar
genellikle şok transferleri üzerine geliştirilen ekonometrik modeller üzerinde
yoğunlaşmıştır. Bu çalışmada, en son yaşanan küresel ekonomik kriz olan
2007-2008 ABD Sub-prime Mortgage krizinin Türkiye, Amerika Birleşik Devletleri
ve İngiltere piyasaları üzerine etkisi incelenmiştir. Kriz döneminde meydana
gelen şok transferine bağlı olarak, bu ülke borsalarındaki endekslerin benzer
tepkiler gösterdiği ortaya konmaya çalışılmıştır. Yapılan Eş bütünleşme Analizi
sonucunda 2007-2009 dönemindeki günlük borsa endekslerinin bütünleşik bir
yapıda olduğu ve kriz döneminde benzer hareketler gösterdikleri tespit
edilmiştir.

Keywords

Finansal Kriz, Finansal Kriz Yayılımı, Eş bütünleşme

References

• Baig, T., Goldfajn, I., (1999). Financial market contagion in the Asian crisis. IMF Staff Papers 46, 167–195.
• Banerjee, A., Dolado, J.J., Galbraith, J.W. and Hendry, D.F., 1993, Co-Integration Error Correction and The Econometric Analysis of Non-Stationary Data, Oxford University Press.
• Campbell, J.Y. and Shiller, R.J., (1988), Interpreting Cointegrated Models, Journal of Economic Dynamics and Control, 12,505-522.
• Chiang, T.C., Jeon, B.N., Li, H., (2007), Dynamic correlation analysis of financial contagion: evidence from Asian markets. J. Int.Money Finance. 26 (7), 1206–1228.
• Dungey M., Fry R., Hermosillo B. G., Martin V.L., (2007), Contagion İn Global Equity Markets İn 1998: The Effects Of The Russian And LTCM Crises, North American Journal of Economics and Finance 18 (2007) 155–174
• Dungey, M., Gajurel D., (2014), Equity Market Contagion During The Global Financial Crisis: Evidence From The World’s Eight Largest Economies, Economic Systems 38 (2014) 161–177
• Eichengreen, B., Rose, A.K. and Wyplosz, C., (1996) Contagious currency crises. NBER Working Paper 5681, (National Bureau of Economic Research).
• Engle, R.F and Yoo, B.S., 1987, Forecasting and Testing in Co-Integrated Sysytems, Journal of Econometrics Vol:35, 143-159.
• Engle, R.F. and Granger, C.W..J. 1987, Co-Integration and Error Correction: Representation, Estimation and Testing, Econometrica, Vol:55, No:2, (March,1987), 251-276.
• Forbes, K. and Rigobon, R., (2002), No contagion, only interdependence: measuring stock market co-movements. J. Finance, 2002, 57(5), 2223–2261.
• Glick, R. and Rose, A.K., Contagion and trade: why are currency crises regional? J. Int. Money Finance, 1999, 18(4), 603–617.
• Granger, C.W.J., 1986, Developments in the Study of Cointegrated Economic Variables, Oxford Bulletin of Economics and Statistics, 48,3,213-228.
• Hendry, D.F., 1986, Econometric Modelling With Cointegrated Variables: An Overview, Oxford Bulletin of Economics and Statistics, 48,3,201-212.
• Kali R., Reyes J., (2010), Financial Contagıon On The International Trade Network, Economic Inquiry, Vol. 48, No. 4, October 2010, 1072–1101.
• Kaminsky, G.L. and Reinhart, C.M., (2000), On Crises, Contagion, and Confusion, Journal of International Economics 51 (2000) 145-168.
• Masson, P. (1999). Contagion: macroeconomic models with multiple equilibria. Journal of International Money and Finance, 18(4), 587-602.
• Phillips, P.C.B. and Durlauf, 1986, Multiple Time Series Regression with Integrated Processes, Review of Economic Studies, 53,473-495.
• Phillips, P.C.B., 1991, Optimal Inference in Cointegrated Sytems, Econometrica, Vol:59, No:2, (March), 283-306.
• Phillips, P.C.B., and Ouliaris, S., (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol:58,No:1, 165-193.
• Stock J.H., 1987, Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors, Econometrica, Vol 55, No:5 (September, 1987), 1035-1056.
• Stock, J.H., And Watson M.W., 1988, Testing for Common Trends, Journal of American Statistical Association, December, Vol:83, No:404, 1097-1107.
• Van Rijckeghem, C., Weder, B. (2001). Sources of contagion: is it finance or trade?. Journal of international Economics, 54(2), 293-308.