Are There Any Diversification Benefits Among Global Finance Center Candidates in Eurasia?

Date

2017-01-01

Author

Kocaarslan, BARIŞ
Sarı, Ramazan
Soytaş, Uğur

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

112
views

0
downloads

Several Eurasian markets are considered as potential global financial centers. The main objective of this article is to evaluate the two strong candidates, Russia and Turkey, based on short- and long-run diversification benefits they provide to global investors along with big four global finance centers (US, UK, Hong Kong, Singapore) in the world. To that respect, we investigate both price spillover and volatility spillover effects among global finance centers and the two strong Eurasian candidates. Our results suggest that Istanbul Stock Exchange (ISE) has more diversification benefits and is more resilient to risk transfers from other markets compared to Moskow Stock Exchange (MSE).

Subject Keywords

Global finance centers, Price spillover, Russia, Turkey, Volatility spillover

URI

https://hdl.handle.net/11511/37518

Journal

EMERGING MARKETS FINANCE AND TRADE

DOI

https://doi.org/10.1080/1540496x.2016.1216838

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

How do political and economic news affect emerging markets? Evidence from Argentina and Turkey Onder, Zeynep; Simga-Mugan, Can (Informa UK Limited, 2006-07-01) High returns in emerging markets over the last decade have attracted international investors. This study investigates if and how economic or political news affects stock market activity in two emerging markets: Argentina and Turkey. Our analysis shows that political and economic news influences both the volatility of returns and trading volume in these markets to varying degrees. Results suggest that both economic and political factors, as well as specific market characteristics, should be taken into consid...
Volatility Spillover from Oil to Food and Agricultural Raw Material Markets Kaltalıoğlu, Müge; Soytaş, Uğur (2011-05-01) The upward movement in oil and food prices in the 2000s has attracted interest in the information transmission mechanism between the two markets. This paper investigates the volatility spillover between oil, food consumption item, and agricultural raw material price indexes for the period January 1980 to April 2008.The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. Since there is no volatility spillover f...
The volatility spillover among a country’s foreign exchange, bond, and stock markets: a multivariate garch analysis Kubilay, Mustafa Murat; Danışoğlu, Seza; Department of Financial Mathematics (2012) The purpose of this study is to examine the volatility spillover among a country’s foreign exchange, bond and stock markets and the volatility transmission from the global bond, stock and commodity markets to these local financial markets. The sample for the study includes data from both emerging and developed economies in the time period between 2004 and 2011. A multivariate GARCH methodology with the BEKK representation is applied for the local financial markets and global variables are included as exogen...
Foreign direct investment and technology spillovers in the Turkish manufacturing industry Pamukcu, Mehmet Teoman (IGI Global, 2013-01-01) Technology spillovers from foreign to domestic firms in emerging economies are considered to be the most important channel through which Foreign Direct Investment (FDI) influence the host economy. Empirical evidence about the existence, magnitude and direction of FDI-related spillovers in these countries is contradictory pointingto the necessity of conducting more econometric studies using firm-level data. We conduct an econometric analysis to assess the impact of FDI-related...
International fisher effect: a reexamination within co-integration and dsue frameworks Ersan, Eda; Danışoğlu, Seza; Department of Business Administration (2008) International Fisher Effect (IFE) is a theory in international finance which asserts that the spot exchange rate between countries should move in opposite direction with the interest rate differential between these countries. The aim of this thesis is to analyze whether differences in nominal interest rates between countries and the movement of spot exchange rates between their currencies tend to move together over the long run. The presence of IFE is tested among the G-5 countries and Turkey for the period...

Citation Formats

B. Kocaarslan, R. Sarı, and U. Soytaş, “Are There Any Diversification Benefits Among Global Finance Center Candidates in Eurasia?,” EMERGING MARKETS FINANCE AND TRADE, pp. 357–374, 2017, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/37518.