Turkish Lira crisis and its impact on sector returns

被引：3

作者：

Hadi, Dlawar Mahdi ^{[1
,2
]}

Karim, Sitara ^{[3
]}

Naeem, Muhammad Abubakr ^{[4
,5
]}

Lucey, Brian M. ^{[6
,7
,8
,9
]}

机构：

[1] Komar Univ Sci & Technol, Coll Business, Dept Accounting, Sulaymaniyah, Iraq

[2] Amer Univ Iraq Sulaimani, Business Adm Dept, Main Rd, Kirkuk, Sulaimani, Iraq

[3] ILMA Univ, Fac Management Sci, Dept Business Adm, Karachi, Pakistan

[4] United Arab Emirates Univ, Accounting & Finance Dept, POB 15551, Al Ain, U Arab Emirates

[5] South Ural State Univ, Lenin Prospect 76, Chelyabinsk 454080, Russia

[6] Trinity Coll Dublin, Trinity Business Sch, Dublin, Ireland

[7] Univ Econ Ho Chi Minh City, Ho Chi Minh City, Vietnam

[8] Jiangxi Univ Finance & Econ, Nanchang, Peoples R China

[9] Abu Dhabi Univ, Finance, Abu Dhabi, U Arab Emirates

来源：

FINANCE RESEARCH LETTERS | 2023年 / 52卷

关键词：

Lira crisis; Quantile-on-quantile; Turkish sectors; Wavelet analysis;

D O I：

10.1016/j.frl.2022.103479

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The 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.

引用

页数：9

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