Turkish Lira crisis and its impact on sector returns

Simple item page
dc.contributor.authorHadi,Dlawar Mahdi
dc.contributor.authorKarim,Sitara
dc.contributor.authorNaeem,Muhammad Abubakr
dc.contributor.authorLucey, Brian M.
dc.date.accessioned2024-04-04T07:54:37Z
dc.date.available2024-04-04T07:54:37Z
dc.date.issued2023-03-05
dc.descriptionThe Turkish Lira crashed on August 10, 2018 due to a trade spat between USA and Turkey and various economic, political, and financial factors (Arbaa and Varon, 2019). In this crisis, Turkish Lira (TRY) lost 35% of its value against the US Dollar in 20181 in just 47 days spanning July 1, 2018 to August 16, 2018 with a 17% decline in the stock market and an increase in the government borrowing costs to 18%2.
dc.description.abstractThe current study examines the impact of Turkish Lira (TRY) crisis on various Turkish sectors following the downfall of Lira in 2018. The study employs two unique methodologies namely, wavelet coherence analysis and quantile-on-quantile regression for the period encapsulating April 2012 to December 2021. We documented significant anti phase movements between Lira and Turkish stocks while few stocks displayed perfect co-movement. Similarly, the results of QQ regression entailed significant hedge, safe-haven, and diversification avenues of Turkish stocks against the continuous decline of Lira. We emphasized useful insights for policymakers, Turkish regulatory bodies, investors, and financial market participants. Keywords : Turkish stocks, Policymakers, Investors,
dc.identifier.citationHadi, D. M., Karim, S., Naeem, M. A., & Lucey, B. M. (2023). Turkish Lira crisis and its impact on sector returns. Finance Research Letters, 52, 103479.‏
dc.identifier.doihttps://doi.org/10.1016/j.frl.2022.103479
dc.identifier.urihttps://dspace.adu.ac.ae/handle/1/4699
dc.language.isoen
dc.publisherElsevier
dc.titleTurkish Lira crisis and its impact on sector returns
dc.typeArticle

Files

License bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed to upon submission
Description:
Download

Collections

Investment & Sharemarket