Causality in mean and variance between ISE 100 and S&P 500: Turkcell case

Abstract

The article examines the causality between US stock market and Turkish stock market by using twostep method which is developed by Hong (2001). The returns of Turkcell securities that are traded as
American Depository Receipt in the New York Stock Exchange and ISE 100 are used. The causality test
results indicate that S&P 500 affects ISE 100 and Turkcell returns, moreover, Turkcell returns influence
each other. Consequently, it can be seen that there is a spillover effect from US stock market to Turkish
stock market.