Turkish Lira crisis and its impact on sector returns

Dlawar Mahdi Hadi, Sitara Karim, Muhammad Abubakr Naeem, Brian M. Lucey

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

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.

Original languageEnglish
Article number103479
JournalFinance Research Letters
Volume52
DOIs
Publication statusPublished - Mar 2023

Keywords

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

ASJC Scopus subject areas

  • Finance

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