THE INVESTIGATED OF THE RELATION BETWEEN TURKEY AND THE FINANCIAL MARKETS OF BRICS THROUGH QUANTILE REGRESSION METHOD
TÜRKİYE İLE BRICS ÜLKELERİ FİNANSAL PİYASALARI ARASINDAKİ İLİŞKİNİN KANTİL REGRESYON YÖNTEMİ İLE İNCELENMESİ

Author : Caner DİLBER -- Ramazan KILIÇ
Number of pages : 331-342

Abstract

In this study, the relation between Turkey and the financial markets of BRICS (Brazil, Russia, China and South Africa) has been investigated through quantile regression. In the study the data calculated in USD by Morgan Stanley Capital International (MSCI) and belonging to BRICS and Turkey within the period range from 18 February 2013 to 17 February 2017 have been examined on a daily basis. The study has indicated that there is a dynamic relation between BRICS’ and Turkey’ financial markets during the stated period. The common activity relation between the stocks of BRICS and Turkey is very strong. In addition, the correlation analysis shows that investing in the same time the analyzed countries is not a rational behavior in terms of the investor and raises the risk level.

Keywords

BRICS countries, Turkey, Quantile Regression, Financial Markets, Stock Market

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