ABSTRACT

This study aims to analyze any probable contagion effects of fluctuations in the U.S. stock market on the financial markets of Turkey, namely stock, interest rate, and exchange rate markets. Furthermore, it is also aimed to investigate the intertemporal effects and the degree of these effects among the above-mentioned markets in Turkey. The empirical analysis takes into consideration the volatility changes which are initially observed in May 2006 and deepened in July 2007 in the U.S.A. Granger Causality tests and Vector Autoregressive (VAR) Model have been employed for determining the presence and the degree of the contagion effect. Significant relationships between the markets have been observed.