Open Access Open Access  Restricted Access Subscription Access

Time-scale Effects of International Risk Factors on Emerging Equity Markets: The Case of Turkey

Alper Ozun, Atilla Cifter

Abstract


This paper empirically examines the effects of the US monetary policies on the emerging stock markets by using wavelet analysis. Volatilities in interest rates and exchange rates in advanced industrial countries might have impact on the emerging markets in accordance with the international purchasing power parity theorem. Daily log-return values of the interest rates on 10 years US T-Bills and the EUR/USD parity as the independent variables, and of the Istanbul Stock Exchange from 02/01/2003 to 22/02/2006 are employed for the empirical tests. By using wavelets analysis and granger causality tests, it is empirically showed that changes in the US interest rates and EUR/USD parity affect the return on the Istanbul Stock Exchange National 100 Index on different timescales. The effects of the interest rates are earlier reflected on the stock prices than those of the parity are. The levels of the international risk factors on the return of the ISE vary on the timescale, as well.

Keywords


Emerging markets, Wavelets, Stock returns, Granger causality, impulse response analysis

Full Text:

PDF


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.