Abstract
The aim of this study is to examine the economic interaction between
developed and developing countries with Turkey. The analysis consists of ten
developing countries, notably Turkey, and eight developed countries’ stock
exchanges. The dataset consists of monthly stock market index values between
January 2010 and December 2017. According to the results, it is determined
that, Turkey is cointegrated with selected developed and developing countries exchanges,
moreover selected developing countries group cointegrated between themselves,
however selected developed countries group was not cointegrated between
themselves. Therefore, due to co-integrated structures of stock exchanges, it
has been found that developing country exchanges cannot be an alternative to
each other within the framework of modern portfolio theory. According to this
result, it is not possible to diversify risks among the developing countries
stock exchanges in the long term. Developed countries stock exchanges are not
co-integrated within the group and a substitute for each other as an
alternative investment tool.
Keywords
References
- BLEJER, Mario; SAGARİ, Silvia (1988), “Sequencing The Liberali-zation of Financial Markets”, Finance and Development, Vol. 25, No. 1: 18-35.
- ÇELİK, Tuncay; BOZTOSUN, Derviş (2010), “Türkiye Borsası ile Asya Ülkeleri Borsaları Arasındaki Entegrasyon İlişkisi”, Er-ciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Der-gisi, C. 36: 57-71.
- DICKEY, David A.; FULLER, Wayne (1979), “Distribution of the Estimators for Autoregressive Time Series With a Unit Root”, Journal of The American Statistical Association, Vol. 74, No. 366: 427-431.
- GÖZBAŞI, Onur (2010), “İMKB ile Gelişmekte Olan Ülkelerin Hisse Senedi Piyasalarının Etkileşimi: Eşbütünleşme ve Nedensel-lik Yaklaşımı”, Erciyes Üniversitesi İktisadi ve İdari Bilim-ler Fakültesi Dergisi, C. 35: 99-118.
- GRUBEL, Herbert (1968), “Internationally Diversified Portfolios: Welfare Gains and Capital Flows”, The American Economic Review, Vol. 58, No. 5: 1299-1314.
- GÜNDÜZ, Lokman; OMRAN, Mohammed (2001), “Gelişmekte Olan Piyasalarda Stokastik Trendler ve Hisse Senetleri Fiyat-ları: Orta Doğu ve Kuzey Afrika Ülkeleri Örneği”, İMKB Dergisi, C. 5, S. 17: 1-22.
- JOHANSEN, Soren; JUSELIUS, Katarina (1990), “Maximum Likeli-hood Estimation and Inference on Cointegration with Appli-cations to Demand for Money”, Oxford Bulletin of Econo-mics and Statistics, Vol. 52, No. 2: 169-210.
- KESKİN Benli, Yasemin (2014), “Türkiye Borsasının Gelişmekte Olan Ülkeler Borsaları ile Eşbütünleşme Analizi”, Yönetim ve Ekonomi Araştırmaları Dergisi, C. 12, S. 23: 18-32.
- LESSARD, Donald (1973), “International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Count-ries”, The Journal of Finance, Vol. 28, No. 3: 619-633.
- LEVY, Haim; MARSHALL, Sarnat (1970), “International Diversifi-cation of Investment Portfolios”, The American Economic Review, Vol. 60, No. 4: 668-675.
- MARASHDEH, Hazem (2005), “Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Tes-ting Approach”, University of Wollongong: Faculty of Busi-ness - Economics Working Paper Series, Vol. 5, No: 27: 1-11.
- MARKOWITZ, Harry (1959), Portfolio Selection: Efficient Diversi-fication of Investments. New Haven: Yale University Press.
- NOR, Mohamed (2012), “Financial Market Integration of Middle East and North African (MENA) Countries”, Asian Journal of Management Sciences and Education, Vol. 1, No: 2: 63-72.
- OKTAYER, Yasemin (2009), “Türkiye’de Finansal Serbestleşme ve Derinleşme Süreci Üzerine Nitel Bir İnceleme”, Akademik İncelemeler, C. 4, S. 1: 73-100.
- ÖZTÜRK, Hakkı (2018), “BIST 30 Endeksi ile MSCI Gelişmekte Olan Piyasalar Endeksinin Küresel Kriz Öncesi ve Sonrası Eşbütünleşme Analizi”, Business and Economics Research Journal, C. 9, S. 1: 109-121. Doi:10.20409/berj.2017.89.
- SAMIRKAŞ, Mustafa; DÜZAKIN, Hatice (2013), “İstanbul Menkul Kıymetler Borsasının Avrasya Borsaları ile Entegrasyonu”, Akademik Bakış Dergisi, C. 35: 1-19.
- ŞAHİN, Cumhur; SÜMER, Kutluk Kağan (2014), “Gelişmiş ve Ge-lişmekte Olan Ülke Borsaları ile Türk Borsası Arasındaki Et-kileşime Yönelik Bir İnceleme”, Trakya Üniversitesi Sosyal Bilimler Dergisi, C. 16, S. 2: 315-338.
- TOBIN, James (1958), “Liquidity Preference as Behavior Towards Risk”, The Review of Economic Studies, Vol. 25, No. 2: 65-86.
- World Bank (6 Maart 2018), “Gross Domestic Product 2017”, http://databank.worldbank.org/data/download/GDP.pdf, (Eri-şim Tarihi: 28.07.2018).
- YU, Jung Suk; HASSAN, Kabir (2008), “Global and Regional Integ-ration of the Middle East and North African (MENA) Stock Markets”, The Quarterly Review of Economics and Finan-ce, Vol. 48, No: 3: 482–504.
Abstract
Bu çalışmanın amacı, Türkiye
ile gelişen ve gelişmekte olan ülkeler arasındaki ekonomik etkileşimi
incelemektir. Türkiye başta olmak üzere 10 adet gelişmekte olan ülke ve sekiz
adet gelişmiş ülke borsası analize dahil edilmiştir. Veri seti Ocak 2010 -
Aralık 2017 aylık borsa endeks değerlerinden oluşmaktadır. Sonuç olarak,
Türkiye’nin hem gelişmiş hem de gelişmekte olan seçilmiş ülkelerin borsaları
ile eşbütünleşik olduğu, bununla birlikte gelişmekte olan seçilmiş ülke
grubunun kendi aralarında eşbütünleşik, ancak seçilmiş gelişmiş ülke grubunun
kendi aralarında eşbütünleşik olmadığı tespit edilmiştir. Dolayısıyla,
eşbütünleşik yapıları nedeniyle, gelişmekte olan ülke borsalarının modern
portföy teorisi çerçevesinde birbirlerinin alternatifi olamayacağı bulgusuna
ulaşılmıştır. Bu sonuca göre, uzun vadede gelişmekte olan ülke borsaları
arasında risk dağıtımı yapmak mümkün değildir. Gelişmiş ülke borsaları ise,
grup içerisinde entegre olmamaları nedeniyle, yatırım alternatifi olarak
birbirlerinin ikamesi konumundadır.
Keywords
References
- BLEJER, Mario; SAGARİ, Silvia (1988), “Sequencing The Liberali-zation of Financial Markets”, Finance and Development, Vol. 25, No. 1: 18-35.
- ÇELİK, Tuncay; BOZTOSUN, Derviş (2010), “Türkiye Borsası ile Asya Ülkeleri Borsaları Arasındaki Entegrasyon İlişkisi”, Er-ciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Der-gisi, C. 36: 57-71.
- DICKEY, David A.; FULLER, Wayne (1979), “Distribution of the Estimators for Autoregressive Time Series With a Unit Root”, Journal of The American Statistical Association, Vol. 74, No. 366: 427-431.
- GÖZBAŞI, Onur (2010), “İMKB ile Gelişmekte Olan Ülkelerin Hisse Senedi Piyasalarının Etkileşimi: Eşbütünleşme ve Nedensel-lik Yaklaşımı”, Erciyes Üniversitesi İktisadi ve İdari Bilim-ler Fakültesi Dergisi, C. 35: 99-118.
- GRUBEL, Herbert (1968), “Internationally Diversified Portfolios: Welfare Gains and Capital Flows”, The American Economic Review, Vol. 58, No. 5: 1299-1314.
- GÜNDÜZ, Lokman; OMRAN, Mohammed (2001), “Gelişmekte Olan Piyasalarda Stokastik Trendler ve Hisse Senetleri Fiyat-ları: Orta Doğu ve Kuzey Afrika Ülkeleri Örneği”, İMKB Dergisi, C. 5, S. 17: 1-22.
- JOHANSEN, Soren; JUSELIUS, Katarina (1990), “Maximum Likeli-hood Estimation and Inference on Cointegration with Appli-cations to Demand for Money”, Oxford Bulletin of Econo-mics and Statistics, Vol. 52, No. 2: 169-210.
- KESKİN Benli, Yasemin (2014), “Türkiye Borsasının Gelişmekte Olan Ülkeler Borsaları ile Eşbütünleşme Analizi”, Yönetim ve Ekonomi Araştırmaları Dergisi, C. 12, S. 23: 18-32.
- LESSARD, Donald (1973), “International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Count-ries”, The Journal of Finance, Vol. 28, No. 3: 619-633.
- LEVY, Haim; MARSHALL, Sarnat (1970), “International Diversifi-cation of Investment Portfolios”, The American Economic Review, Vol. 60, No. 4: 668-675.
- MARASHDEH, Hazem (2005), “Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Tes-ting Approach”, University of Wollongong: Faculty of Busi-ness - Economics Working Paper Series, Vol. 5, No: 27: 1-11.
- MARKOWITZ, Harry (1959), Portfolio Selection: Efficient Diversi-fication of Investments. New Haven: Yale University Press.
- NOR, Mohamed (2012), “Financial Market Integration of Middle East and North African (MENA) Countries”, Asian Journal of Management Sciences and Education, Vol. 1, No: 2: 63-72.
- OKTAYER, Yasemin (2009), “Türkiye’de Finansal Serbestleşme ve Derinleşme Süreci Üzerine Nitel Bir İnceleme”, Akademik İncelemeler, C. 4, S. 1: 73-100.
- ÖZTÜRK, Hakkı (2018), “BIST 30 Endeksi ile MSCI Gelişmekte Olan Piyasalar Endeksinin Küresel Kriz Öncesi ve Sonrası Eşbütünleşme Analizi”, Business and Economics Research Journal, C. 9, S. 1: 109-121. Doi:10.20409/berj.2017.89.
- SAMIRKAŞ, Mustafa; DÜZAKIN, Hatice (2013), “İstanbul Menkul Kıymetler Borsasının Avrasya Borsaları ile Entegrasyonu”, Akademik Bakış Dergisi, C. 35: 1-19.
- ŞAHİN, Cumhur; SÜMER, Kutluk Kağan (2014), “Gelişmiş ve Ge-lişmekte Olan Ülke Borsaları ile Türk Borsası Arasındaki Et-kileşime Yönelik Bir İnceleme”, Trakya Üniversitesi Sosyal Bilimler Dergisi, C. 16, S. 2: 315-338.
- TOBIN, James (1958), “Liquidity Preference as Behavior Towards Risk”, The Review of Economic Studies, Vol. 25, No. 2: 65-86.
- World Bank (6 Maart 2018), “Gross Domestic Product 2017”, http://databank.worldbank.org/data/download/GDP.pdf, (Eri-şim Tarihi: 28.07.2018).
- YU, Jung Suk; HASSAN, Kabir (2008), “Global and Regional Integ-ration of the Middle East and North African (MENA) Stock Markets”, The Quarterly Review of Economics and Finan-ce, Vol. 48, No: 3: 482–504.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Publication Date | December 31, 2019 |
| Acceptance Date | April 21, 2019 |
| Published in Issue | Year 2019 Issue: 54 |
Cited By
BIST 100 Endeksinin Uluslararası Hisse Senedi Endeksleri ile İlişkisi
Dumlupınar Üniversitesi Sosyal Bilimler Dergisi
https://doi.org/10.51290/dpusbe.1363099
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