Market Co-Movement in Crisis Periods: A Case for Turkey, United States of America and England

As shown many times in literature studies, during crises, a shock that began in one country spreads to other countries that are economically, politically, and socially relevant. These studies are usually focused on econometric models developed on shock transfers. In this study, the impact of the 2007-2008 US subprime mortgage crisis, the last global economic crisis, on markets in Turkey in United States of American (USA) and United Kingdom was examined. Due to the large number of transfers that took place during the crisis period, it has been tried to show that indices of stock exchanges in these countries show similar responses. As a result of the co-integration analysis, it was determined that the daily stock market indices of 2007-2009 period were in an co-integrated structure and showed similar movements during the crisis period