Turkish Lira crisis and its impact on sector returns

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

doi:10.1016/j.frl.2022.103479

Turkish Lira crisis and its impact on sector returns

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

Economics and Finance - (CBE)

Research output: Contribution to journal › Article › peer-review

6 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 language	English
Article number	103479
Journal	Finance Research Letters
Volume	52
DOIs	https://doi.org/10.1016/j.frl.2022.103479
Publication status	Published - Mar 2023

Keywords

Lira crisis
Quantile-on-quantile
Turkish sectors
Wavelet analysis

ASJC Scopus subject areas

Finance

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10.1016/j.frl.2022.103479

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title = "Turkish Lira crisis and its impact on sector returns",

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.",

keywords = "Lira crisis, Quantile-on-quantile, Turkish sectors, Wavelet analysis",

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language = "English",

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AU - Hadi, Dlawar Mahdi

AU - Karim, Sitara

AU - Naeem, Muhammad Abubakr

AU - Lucey, Brian M.

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

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VL - 52

JO - Finance Research Letters

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ER -

Turkish Lira crisis and its impact on sector returns

Abstract

Keywords

ASJC Scopus subject areas

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