TY - JOUR
T1 - Turkish Lira crisis and its impact on sector returns
AU - Hadi, Dlawar Mahdi
AU - Karim, Sitara
AU - Naeem, Muhammad Abubakr
AU - Lucey, Brian M.
N1 - Publisher Copyright:
© 2022 Elsevier Inc.
PY - 2023/3
Y1 - 2023/3
N2 - 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.
AB - 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.
KW - Lira crisis
KW - Quantile-on-quantile
KW - Turkish sectors
KW - Wavelet analysis
UR - http://www.scopus.com/inward/record.url?scp=85143267737&partnerID=8YFLogxK
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U2 - 10.1016/j.frl.2022.103479
DO - 10.1016/j.frl.2022.103479
M3 - Article
AN - SCOPUS:85143267737
SN - 1544-6123
VL - 52
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 103479
ER -