B o o k
o f
A b s tra c ts
FREQUENCY DOMAIN CAUSALITY ANALYSIS OF INTERACTIONS BETWEEN FINANCIAL MARKETS OF TURKEY MUSTAFA ÖZER - MELIK KAMIŞLI
ABSTRACT In this paper, we examined the dynamic interactions between financial markets of Turkey by using frequency domain causality analysis, proposed by Breitung and Candelon (2006) for the weekly Turkish data from 2003 to 2015. The results show that there are spillovers from stock market returns to interest rate and EURO both in the mid-and long-run, from Dollar to stock market returns in the short-run, from EURO to interest rate in the long-run and from interest rate to Euro in the short-run. On other hand, there is no evidence of spillovers from EURO and interest rate to stock market returns. Based on these results, we can conclude that there is certain degree of interdependence and volatility spillovers among the financial markets of Turkey, which has a serious policy implications. KEY WORDS: Frequency domain causality, time domain causality, volatility spillovers. DETAILS ABOUT AUTHORS: MUSTAFA ÖZER PROF. DR. ANADOLU UNIVERSITY THE FACULTY OF ECONOMICS ADMINISTRATIVE SCIENCES DEPARTMENT OF ECONOMICS ESKIŞEHIR, TURKEY muozer@anadolu.edu.tr MELIK KAMIŞLI BILECIK ŞEYH EDEBALI UNIVERSITY BOZÜYÜK VOCATIONAL SCHOOL DEPARTMENT OF BANKING AND INSURANCE ESKIŞEHIR, TURKEY melikkamisli@gmail.com
15