The Effect Of External Crises On Exchange Liquidity Level And Investigation Of Directional Predictability in Türkiye

Abstract

The purpose of this research article is to examine the effect of the Asian Financial Crisis, the Dot-Com Bubble and the European Debt Crisis on different liquidity levels related to the BIST100 index, the existence of directional predictability and to find an answer to the question of what is the sign and duration of the effect if the relevant effect exists. For this purpose, Cross-Quantilogram is used as the econometric method. According to the findings, in periods when BIST100 index liquidity is high and moderate, it is concluded that the crises have a liquidityincreasing effect and the crisis periods taken into account over the Financial Stress Indicator variable play a role in the directional prediction of the Liquidity variable. In periods when liquidity is at low levels, it is seen that the crises have a positive effect again on the liquidity level, but this time, the crisis periods are not effective in predicting the direction of the liquidity variable.