Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?

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dc.contributor.authorIscanoglu-Cekic, Aysegul
dc.contributor.authorGultekin, Havva
dc.date.accessioned2024-06-12T11:08:27Z
dc.date.available2024-06-12T11:08:27Z
dc.date.issued2019
dc.departmentTrakya Üniversitesien_US
dc.description.abstractThe analysis of linkages between financial markets has been a promising subject of study after globalization. Main consequence of these linkages is on transmission of the crisis from one country to another. Therefore, identifying and modeling of those linkages are important issues in the analysis of financial markets. According to studies the cross correlations present nonlinear behavior and in general the well-known methods fail to predict such correlations. In this paper, we aim to show the existence of nonlinear cross correlations between Turkish Stock Exchange and major developed country indices. For this purpose, we use the Multifractal Detrending Moving-Average Cross-correlation Analysis (MF-X-DMA) which is designed for detecting long-range power-law correlations. In the analysis we use the daily financial return and volatility series of Turkish stock market index BIST100 and developed market indexes which are S&P500, DAX30, FTSE100 for a period of 11 years between 01/01/2007-01/01/2018. The results show the existence of multifractality and long-range power-law cross-correlations. (C) 2019 Elsevier B.V. All rights reserved.en_US
dc.identifier.doi10.1016/j.physa.2019.03.074
dc.identifier.endpage990en_US
dc.identifier.issn0378-4371
dc.identifier.issn1873-2119
dc.identifier.scopus2-s2.0-85063951275en_US
dc.identifier.scopusqualityQ2en_US
dc.identifier.startpage978en_US
dc.identifier.urihttps://doi.org/10.1016/j.physa.2019.03.074
dc.identifier.urihttps://hdl.handle.net/20.500.14551/22444
dc.identifier.volume525en_US
dc.identifier.wosWOS:000474503900087en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofPhysica A-Statistical Mechanics And Its Applicationsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectMF-X-DMAen_US
dc.subjectCross-Correlationsen_US
dc.subjectMultifractalityen_US
dc.subjectPower-Lawen_US
dc.subjectBIST100en_US
dc.subjectS&P500en_US
dc.subjectDAX30en_US
dc.subjectFTSE100en_US
dc.subjectMoving Averageen_US
dc.subjectCrude-Oilen_US
dc.subjectMarketsen_US
dc.subjectSpoten_US
dc.subjectVolatilityen_US
dc.subjectGolden_US
dc.titleAre cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?en_US
dc.typeArticleen_US

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