Causality in mean and variance between ISE 100 and S&P 500: Turkcell case

Abstract

The article examines the causality between US stock market and Turkish stock market by using two-step method which is developed by Hong ( 2001). The returns of Turkcell securities that are traded as American Depository Receipt in the New York Stock Exchange and ISE 100 are used. The causality test results indicate that S&P 500 affects ISE 100 and Turkcell returns, moreover, Turkcell returns influence each other. Consequently, it can be seen that there is a spillover effect from US stock market to Turkish stock market.