Cointegration and Extreme Value Analyses of Bovespa and the Istanbul Stock Exchange

This paper investigates the long-term financial integration and bivariate extreme dependence between Bovespa and the Istanbul Stock Exchange. While a static cointegration test presents no evidence of long-term cointegration, the introduction of a structural break into the model shows that Bovespa and the ISE were cointegrated following the local crisis in Turkey in 2000. Dynamic cointegration tests and DCC-GARCH analysis also reveal that Bovespa and the ISE reacted strongly not only to systemic crises as expected, but also unexpectedly to local crises in each other. This shows that equity prices in two emerging markets in distant regions of the world can co-move in the absence of significant trade and financial linkages. This suggests that there are underlying processes that affect equity prices other than trade, financial linkages, macroeconomic ties, and FDI as the prior literature suggests. While episodic cointegration is found for Bovespa and the ISE, the extremes of these markets still possess asymptotic independence, suggesting diversification opportunities.cointegration, structural break, dynamic conditional correlations, bivariate extreme value, emerging markets, Turkey, Brazil

Özgürlükçü tiyatro dünyası bile Nazım'ın tiyatro yazarlığını yeterince tanımıyor:Nazım'ın tiyatrosunu keşfetmeliyiz

Taha Toros Arşivi, Dosya Adı: Nazım Hikmetİstanbul Kalkınma Ajansı (TR10/14/YEN/0033) İstanbul Development Agency (TR10/14/YEN/0033

Saving fun for a boring future

We discuss how experiences that fill a future waiting period, such as focusing on fun or boring future activities, affect intertemporal choices. We propose that savoring, the positive utility derived from anticipating future pleasant outcomes, is more likely to have an impact on intertemporal choices when the future seems boring than when it seems fun. We provide empirical evidence that people who foresee a busy future full of boring activities are more likely to prefer to delay rewards than people who foresee a future not so busy with boring activities