African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4190

Full Length Research Paper

Causality in mean and variance between ISE 100 and S&P 500: Turkcell case

Turhan Korkmaz1*, Emrah I. Çevik1, Elif Birkan2 and Nesrin Özataç3
  1Department of Business Administration, Zonguldak Karaelmas University, 67100 Zonguldak, Turkey. 2Graduate School of Business, Zonguldak Karaelmas University, 67100Zonguldak, Turkey. 3Faculty of Business and Economics, Eastern Mediterranean University, North Cyprus.
Email: [email protected], [email protected]

  •  Accepted: 16 August 2010
  •  Published: 04 March 2011

Abstract

 

The article examines the causality between US stock market and Turkish stock market by using two-step method which is developed by Hong (2001). The returns of Turkcell securities that are traded as American Depository Receipt in the New York Stock Exchange and ISE 100 are used. The causality test results indicate that S&P 500 affects ISE 100 and Turkcell returns, moreover, Turkcell returns influence each other. Consequently, it can be seen that there is a spillover effect from US stock market to Turkish stock market.

 

Key words: Turkcell, S&P 500, ISE 100, ADR, causality.

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This article is published under the terms of the Creative Commons Attribution License 4.0

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