The effect of global financial markets and local shocks on Turkey airlines market; new evidence from structural break cointegration and causality tests

Guliyev, Hasraddin

doi:10.1016/j.resglo.2022.100096

Cited by 9 publications

(6 citation statements)

References 41 publications

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“…The break time for Model A was determined 29jan2022 and 24jun2022 dates. For Model C, which is allowed to break in level and trend, LM-stat tau = -3.678 and this value is greater than the critical value (cv-1% = -5.31) at 1% significance level, therefore, it is known that the series contains unit root with break and these results were consistent with ADF and PP tests (Guliyev, 2022). Break dates were found for Model C on 18 May2022 and 02jul2022.…”

Section: Unit-root Test Resultssupporting

confidence: 65%

“…Also, in his research, he built a typological grouping of the information space of the financial market, based on those signs that he managed to highlight as a result of the work done. Guliyev (2022) examines the relationship between Turkey's airline markets, which responded to local economic shocks, and the USA and Europe airlines market using daily closing stock price data from January 2016 to June 2022. All the variables are non-stationary at level but stationary at first difference.…”

Section: Literature Reviewmentioning

confidence: 99%

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Evaluating Market Efficiency: An Empirical Study of Bitcoin

2024

Preprint

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From the moment of appearance in the global financial system Bitcoin has caused a large number of arguments, disagreements and disputes. Of course, this cryptocurrency has become one of the most cutting-edge inventions of the 21st century beginning. One of the main problems facing the world community is the question of how effective this currency is and if its use is appropriate and lawful, as well as the question of how well Bitcoin fits into the hypothesis of market efficiency. This article discusses the main aspects of Bitcoin cryptocurrency use, as well as its existence and use within the framework of the hypothesis of market efficiency. In order to determine the relationship between Bitcoin and Ethercoin, the stationarity of the variables was tested with classical unit root tests (ADF, PP) and structural break unit root tests (Lee & Strazicich). Although the variables were integrated to the same degree, there was no long-term relationship between them according to the Hatami-J (2008) cointegration test and market was determined that active in strong form. The short-run asymmetric causality relationship between Bitcoin and Ethercoin the was revealed by Hatemi-J (2012) test. In addition, as part of the article, a large-scale study of domestic and foreign scientific literature on this problem was carried out.

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Section: Unit-root Test Resultssupporting

confidence: 65%

Section: Literature Reviewmentioning

confidence: 99%

Evaluating Market Efficiency: An Empirical Study of Bitcoin

2024

Preprint

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“…The pandemic has generated widespread uncertainty and volatility in the financial markets, leading to sharp declines in stock prices, exchange rates, and bond yields. As the virus reached other countries, emerging economies, which have constrained fiscal space and are dependent on global markets, faced significant challenges (Guliyev, 2022).…”

Section: Introductionmentioning

confidence: 99%

Analysis of the Exchange Rate Level of Emerging Market Countries During the Covid-19 Outbreak

Fredo,

Heriqbaldi

2024

JIMEA

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This study investigates the influences of the COVID-19 Pandemic on exchange rate level in two emerging countries, India and Indonesia, using ARDL Model with time series data from 2020 to 2022. The research examines how the exchange rate level of these two countries changed during the pandemic, and how the factors affected their sovereign bond yields and capital flows. Furthermore, this study compares and contrasts the exchange rate performance of these two countries with different macroeconomic vulnerabilities, such as Interest Rate Differential, Inflation Rate Differential, Industrial Production Index, and Stock Market. The findings reveal that the interest rate differential is the most significant factor influencing exchange rates for both countries in the short run and long run, while the inflation rate differential and the industrial production index are also important for Indonesia. Overall, these two countries should adopt monetary and fiscal policies that maintain a competitive interest rate level, control the inflation rate, stimulate the industrial production, and enhance the transparency and the efficiency of their stock markets. This paper provides policy implications and recommendations for financial stability in the post-pandemic.

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“…As a result, we now have a better grasp of the factors that affect domestic stock values and thus the economy's potential for growth. Guliyev (2022) uses daily closing stock price data to investigate the relationship between the ways in which the airline markets in the United States and Europe respond to local economic shocks and the ways in which the Turkish airline market responds to local economic shocks. Granger causality between firm-level variables and measures of systemic risk are investigated by Cincinelli et al (2022) to provide light on the dynamics of China's ever-evolving financial system.…”

Section: Introductionmentioning

confidence: 99%

Currency Fluctuations and Islamic Stock Indices in Emerging Markets

Mubarok

2023

JURISMA

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This research aims to explain why Islamic stock indexes tend to track the currency exchange rates of emerging countries. Granger causality is used in this analysis, and it is applied to daily data beginning with the day the index was first formed for each country. The Islamic stock indices of Malaysia, Indonesia, and India were employed as a research sample in this study. According to the findings of the research, there is only a correlation in one direction between the Islamic stock index and the currency exchange rate. Both the Islamic stock indexes in Malaysia and India have an effect on the currency exchange rate in that nation, whereas the currency exchange rate in India affects the Islamic stock index. This finding is helpful as a source of data in determining policies for the development of the Islamic financial system because it was discovered that. Keywords: Islamic Stock; Granger Causality; Exchange Rates; Developing Country

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The effect of global financial markets and local shocks on Turkey airlines market; new evidence from structural break cointegration and causality tests

Cited by 9 publications

References 41 publications

Evaluating Market Efficiency: An Empirical Study of Bitcoin

Evaluating Market Efficiency: An Empirical Study of Bitcoin

Analysis of the Exchange Rate Level of Emerging Market Countries During the Covid-19 Outbreak

Currency Fluctuations and Islamic Stock Indices in Emerging Markets

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