Mutual Switching Behavior between High Growth and Low Growth Economies’ Stock Markets

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AKKAYA M., KOY A.

İşletme Araştırmaları Dergisi, cilt.10, sa.1, ss.45-60, 2018 (Hakemli Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 10 Sayı: 1
  • Basım Tarihi: 2018
  • Doi Numarası: 10.20491/isarder.2018.369
  • Dergi Adı: İşletme Araştırmaları Dergisi
  • Derginin Tarandığı İndeksler: TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.45-60
  • İstanbul Ticaret Üniversitesi Adresli: Evet

Özet

Due to the evolutions in the financial markets, characteristics of markets havebeen changed. It has become important to discuss the markets which the fast andfrequent fluctuations are observed among the regimes they belong to. There are twomain purpose of the study. The first purpose of the study is to investigate whethermutual regime switching behavior exists in the selected equity markets. To investigatethe importance of growth of the selected economies which the equity markets belong, isthe second purpose of the study. Three regime multivariate Markov switching vectorautoregressive (MSI(M)-VAR(p)) models are used to define common regime switchingbehavior of the indices calculated.