Are There Any Diversification Benefits Among Global Finance Center Candidates in Eurasia?

被引：13

作者：

Kocaarslan, Baris ^{[1
]}

Sari, Ramazan ^{[1
]}

Soytas, Ugur ^{[1
]}

机构：

[1] Middle East Tech Univ, Dept Business Adm, TR-06800 Ankara, Turkey

来源：

EMERGING MARKETS FINANCE AND TRADE | 2017年 / 53卷 / 02期

关键词：

Global finance centers; price spillover; Russia; Turkey; volatility spillover; IMPULSE-RESPONSE ANALYSIS; COMMON STOCHASTIC TRENDS; MARKET INTEGRATION; TIME-SERIES; UNIT-ROOT; COINTEGRATION; HYPOTHESIS; CAUSALITY; INFERENCE; LINKAGES;

D O I：

10.1080/1540496X.2016.1216838

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Several Eurasian markets are considered as potential global financial centers. The main objective of this article is to evaluate the two strong candidates, Russia and Turkey, based on short- and long-run diversification benefits they provide to global investors along with big four global finance centers (US, UK, Hong Kong, Singapore) in the world. To that respect, we investigate both price spillover and volatility spillover effects among global finance centers and the two strong Eurasian candidates. Our results suggest that Istanbul Stock Exchange (ISE) has more diversification benefits and is more resilient to risk transfers from other markets compared to Moskow Stock Exchange (MSE).

引用

页码：357 / 374

页数：18

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