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

Yıl 2021, Cilt: 21 Sayı: 4, 407 - 425, 30.10.2021

Elif Hilal Nazlıoğlu Dündar Kök

https://doi.org/10.21121/eab.1015640

Öz

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.

Anahtar Kelimeler

contagion, financial crisis, co-integration with structural breaks, emerging stock markets

Kaynakça

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