Siyaset Ekonomi ve Yönetim Araştırmaları Dergisi

Yazarlar: Mercan HATİPOĞLU, Taner SEKMEN

Konular:-

Anahtar Kelimeler:Co-movement,Global Crisis,Portfolio Theory,GO-GARCH

Özet: This paper aims to examine the co-movement between Turkish stock markets and USA, United Kingdom, Germany and Japan stock markets. We used GO-GARCH models in order to capture time-varying correlations during the 1995-2015 period by using monthly data. Empirical results show that Japanese stock market is the least correlated with Turkish stock market. While UK and Turkey exhibits higher degree co-movement before global financial crisis, Germany stock market became most correlated with Turkish stock market after global financial crisis. All these results imply that investors benefits from diversification based on conditional correlations within the scope of portfolio theory. In the pre-crisis period, while Japan is the most unsuitable country, England is the most suitable country for portfolio divesification. In the post-crisis period, while England is the most suitable country, Germany is the most unsuitable country for portfolio divesification

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