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Applied Economics Letters Volume 14, 2007 - Issue 14
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Original Articles

Contagion and surprises of the stock market returns

Evrim Imer The Central Bank of the Republic of Turkey, Head Office, Ulus 06100, Ankara, TurkeyCorrespondence[email protected]
Pages 1053-1058 | Published online: 07 Nov 2007
 
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Abstract

This article provides an empirical analysis for the existence and direction of Granger causality between Turkey and Russian Federation by using structural breaks of seven developing stock market returns as a measure of contagion. Empirical results also reveal that there is an increase in the number of causalities in turmoil periods.

Notes

1 The opinions expressed in this article do not belong to the Central Bank of the Republic of Turkey but to the author.

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