The impact of the Greek economic crisis on the sustainability of the Turkish economy: A GARCH-based decision-making methodology
ISSN: 0368-492X
Article publication date: 15 January 2019
Issue publication date: 8 April 2020
Abstract
Purpose
This paper aims to examine the impact of the Greek economic crisis on the sustainability of the Turkish economy.
Design/methodology/approach
A generalized autoregressive conditional heteroskedasticity (GARCH) model is used over the Thomson Reuter’s Turkey Index for the period of May 1999 to August 2018 using monthly data. The control variables introduced in the proposed model are the S&P 500 of the US stock market and crude oil prices which are used to isolate more general systemic factors.
Findings
The structural analysis of volatility with the EGARCH model has shown that current volatility is more influenced by past volatility than by previous month shocks.
Research limitations/implications
The results can be exploited by investors, portfolio managers and policy makers in their decision-making process.
Originality/value
It is a first-time effort that examines the impact of the Greek economic crisis on the sustainability of the Turkish economy. The developed methodology can be used by investors, portfolio managers and policy makers in their decision-making process.
Keywords
Citation
Tsioptsia, K.A., Mallidis, I., Siskou, T. and Sariannidis, N. (2020), "The impact of the Greek economic crisis on the sustainability of the Turkish economy: A GARCH-based decision-making methodology", Kybernetes, Vol. 49 No. 4, pp. 1127-1142. https://doi.org/10.1108/K-10-2018-0547
Publisher
:Emerald Publishing Limited
Copyright © 2019, Emerald Publishing Limited