Frequency Domain Causality Analysis of Interactions between Financial Markets of Turkey


  •  Mustafa Ozer    
  •  Melik Kamisli    

Abstract

In this paper, we examined the dynamic linkages between financial markets of Turkey by using frequency domain causality analysis, proposed by Breitung and Candelon (2006), for the weekly Turkish data from 2003 to 2015. The results show that there are volatility spillovers from stock market returns to interest rate and EURO both in the mid and long terms, and short and medium-terms to U.S. Dollar; but, from U.S. Dollar to stock market returns in the short-term. In the long-run, EURO exchange rate Granger cause to interest rate; but, interest rate Granger cause to EURO exchange rate in the short-run. On the other hand, there is no evidence of volatility spillovers from EURO and interest rate to stock market returns. Based on these results, we can conclude that there are certain degree of interdependence and volatility spillovers among the financial markets of Turkey, which have serious policy implications.



This work is licensed under a Creative Commons Attribution 4.0 License.
  • Issn(Print): 1913-9004
  • Issn(Onlne): 1913-9012
  • Started: 2008
  • Frequency: monthly

Journal Metrics

Google-based Impact Factor (2019): 14.58

h-index (February 2019): 54

i10-index (February 2019): 453

h5-index (February 2019): 26

h5-median(February 2019): 35

( The data was calculated based on Google Scholar Citations. Click Here to Learn More. )

Contact