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  • 标题:Causality in mean and variance between ISE 100 and SP 500: Turkcell case
  • 本地全文:下载
  • 作者:Turhan Korkmaz ; Emrah I. Ccedil ; evik
  • 期刊名称:African Journal of Business Management
  • 印刷版ISSN:1993-8233
  • 出版年度:2011
  • 卷号:5
  • 期号:5
  • 页码:1673-1683
  • DOI:10.5897/AJBM10.575
  • 语种:English
  • 出版社:Academic Journals
  • 摘要: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.
  • 关键词:Turkcell; S&P 500; ISE 100; ADR; causality
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