Volatility and International Interactions in Financial Markets: An Analysis of the Turkish Stock Exchange and G7 Countries
Year: 2024
Type: article
Abstract: Using mean and variance causality analysis, this study examines the volatility relationship between Turkish and G7 stock markets. Weekly return data from May 29, 2009, to June 6, 2023, is utilized for the analysis. The Hong mean and variance causality analysis method is employed as the methodology. Based on the results of the study, Turkey and Japan's stock markets have a significant mean causality relationship. Moreover, the variance causality analysis demonstrates a strong relationship between Turkey and stock markets of Canada, France, Germany, Japan, and the United States. The findings contribute to portfolio diversification strategies and highlight the importance of understanding the dynamics of international financial markets.
Source: Trends in Business and Economics
Authors: Semih Olgun, Müslüm Polat
Institution: Bingöl University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4394804498