The Role of Market Risk in Innovative Working Behaviour of Companies: A Comparative Analysis Between Turkey and Mexico Using Multivariate GARCH Methodology

Yiğit F. , Atgür M.

in: Strategic Outlook for Innovative Work Behaviours, Hasan Dincer,Serhat Yüksel, Editor, Springer, London/Berlin , Zug, pp.377-391, 2020

  • Publication Type: Book Chapter / Chapter Research Book
  • Publication Date: 2020
  • Publisher: Springer, London/Berlin 
  • City: Zug
  • Page Numbers: pp.377-391
  • Editors: Hasan Dincer,Serhat Yüksel, Editor


Developments in foreign exchange rates are important for the functioning of financial markets. Uncertainties and fluctuations in exchange rates negatively affect financial markets; thus cause the unexpected sudden changes related to stock market prices and returns. In this paper, exchange rate interactions and the stock markets in Mexico and Turkey are examined from the period of 2008-2017. Monthly data is used in the study and the multivariate generalized autoregressive conditional heteroscedastic (MGARCH) method is used as the econometric method. Obtained the findings in this study showed that there exists an interaction between stock markets and the exchange rates, both in Mexico and in Turkey, from 2008-2017. Accordingly, in both countries, exchange rate volatility has been found to be very effective on the stock market returns. We conclude that only the performance of listed companies is not enough to increase the value, but companies should follow the exchange rate market and plan the human resources properly with an innovative working behaviour. Departments of risk management and auditing are critical parts of an organization with qualified employees who have global perspective.