DÜNYA BORSALARININ KRİZ DÖNEMİNDEKİ MARKOV OTOREGRESİF NEDENSELLİK ANALİZİ

Authors : Mesut Türkay, Alper Özün

Pages : 1-14

Doi:10.11611/yead.373435

View : 9 | Download : 4

Publication Date : 2017-12-31

Article Type : Other

Abstract :Normal 0 21 false false false TR X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Normal Tablo"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:10.0pt; font-family:Calibri;} We apply the Markov process for causality analysis proposed by Psaradakis et al. (2005) on world equity markets. By estimating a Markov switching autoregression model, we test the existence of a dynamic causality relationship between major equity indices. The empirical evidence shows that the proposed dynamic model successfully captures the causality relationship in equity markets controlling for the global volatility (VIX) index in crisis periods. The research has originality in applying Markov switching autoregression model in equity markets and also providing recent empirical evidence on causality relationships in equity markets in crisis periods.   
Keywords : Equity Markets, Causality, Markov Models, Financial Crisis