Financial Volatility Spill Over Effect, A Study of Turkish Crises

The current study revisits the Turkish crises in last two decades. Most crucial fact was found that the dynamic relationship between Turkish stock market and Turkish Foreign exchange markets exists. As an empirical part, the study analyzes this relationship and made use of one of most advanced applied econometric models in order determine this dynamic linkage. The study also brings focus to volatility contagion spillover effect around Turkish financial crisis in last two decades. In order to determine such dynamic relationship, the Multivariate GARCH model is used in the study. The Istanbul Stock exchange market (ISE), The American Dow Jones Index (Dow Jones) and Deutsche Borse Ag German Stock Index (DAX) used as stock markets and Turkish Lira-Dollar, Turkish Lira-Euro currency pairs were used as corresponding foreign exchange market The results justify that the dynamic relationship increases around the Turkish Financial crises and decreases before and after crises.

Autorentext

Dede Kalkan has master degree in Quantitative Finance from University of Warsaw (UW) in Poland.He is specialized on Turkish Economy, Turkish Stock Market, International Economy, Turkish Import-Export and international development projects. He is currently working for Integrity Research Consulting company as Field Operations Manager in Turkey.