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Causality in mean and variance between ISE 100 and S&P 500: Turkcell case

2011; Academic Journals; Volume: 5; Issue: 5 Linguagem: Inglês

10.5897/ajbm10.575

1993-8233

Turhan Korkmaz, Emrah I. Ccedil, evik, Elif Birkan, Nesrin Ouml, zataccedil,

Monetary Policy and Economic Impact

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. Key words: Turkcell, S&P 500, ISE 100, ADR, causality.