Causality in mean and variance between ISE 100 and S&P 500: Turkcell case
Turhan Korkmaz, Emrah Ismail Cevik, Elif Birkan, Nesrin Ozatac
article (Uluslararası, Hakemli) | Yazar(lar): Turhan Korkmaz, Emrah Ismail Cevik, Elif Birkan, Nesrin Ozatac | Yıl: 2011 | Dergi/Kurum: AFRICAN JOURNAL OF BUSINESS MANAGEMENT | İndeks: WOS.SSCI | Anahtar Kelimeler: Turkcell, S&P 500, ISE 100, ADR, causality — Özet: The article examines the causality between US stock ma
The article examines the causality between US stock market and Turkish stock market by using two-step method which is developed by Hong ( 2001). The returns of Turkcell securities that are traded as American Depository Receipt in the New York Stock Exchange and ISE 100 are used. The causality test results indicate that S&P 500 affects ISE 100 and Turkcell returns, moreover, Turkcell returns influence each other. Consequently, it can be seen that there is a spillover effect from US stock market to Turkish stock market.