Borsalar Arasında Etkileşim: G-8 Ülkeleri ve Türkiye Üzerine Ampirik Bir Araştırma

Year 2014, Issue: 594, 37 - 56, 01.08.2014

Turan Kocabıyık , Şeref Kalaycı

Abstract

Çalışmanın amacı uluslararası borsaların birbirini etkileme gücünü keşfetmektir. Para ve sermaye piyasalarında globalleşme, uluslararası ticaretin artması, uluslararası fonların artışı, teknolojinin gelişmesi ve haberleşme imkânlarının ve hızının artışı borsalar arasında etkileşime imkân veren faktörler olarak karşımıza çıkmaktadır. Bu çalışma ile G-8 ülkelerinden borsa endeksleri ile İMKB100 endeksi arasındaki etkileşim ortaya konmuştur. Araştırmanın uygulama kısmında Japonya’dan Nikkei225, Rusya’dan MICEX, Borsa İstanbul’dan İMKB100, İtalya’dan FTSE/MIB, Almanya’dan DAX, Fransa’dan CAC40, İngiltere’den FTSE100, ABD’den S&P500 ve Kanada’dan S&P/TSX Composite endeksleri incelenmiştir. Araştırmada 2003 ile 2012 yılları arası haftalık ve günlük veriler kullanılmıştır. Çalışmada Johansen Eşbütünleşme metodolojisi uygulanmıştır. ADF ve PP birim kök testlerinin ardından uygulanan Johansen Eşbütünleşme testi Trace (İzdeğer) ve Eigenvalue (Özdeğer) istatistikleri 1 eşbütünleşik vektörü işaret etmektedir. Vektör Hata Düzeltme Modeli uygulanarak borsaların uzun vadede ilişkileri ortaya konmuştur. Eşbütünleşme denkleminin Almanya, İtalya, Fransa ve Japonya Borsaları üzerinde etkisi olduğu sonucuna ulaşılmıştır. Daha sonra Borsa Istanbul ile diğer ülke borsalarının ikili eşbütünleşme testleri gerçekleştirilmiş ve uzun dönem ilişkisi tespit edilememiştir.

Keywords

Uluslararası Borsalar, Entegrasyon, Eşbütünleşme, VECM, Borsa İstanbul, G-8 Ülkeleri

Interdependence Among Stock Markets: An Empirical Research on G-8 Countries and Turkey

Abstract

The aim of this study is to discover the interdependence among international stock markets. The globalization of money and capital markets, increasing scale of international trade, increase of global funds, technological improvements and increase in opportunities and high speed of communication give opportunity for interdependence among stock markets. With this study it is aimed to display the interdependence among market indices of G-8 countries and İMKB100. Market indices; Nikkei225 from Japan, MICEX from Russia, IMKB100 from Borsa Istanbul, FTSE/MIB from Italy, DAX from Germany, CAC40 from France, FTSE100 from England, S&P500 from USA and S&P/TSX Composite from Canada were included in the implementation of the research. Daily and weekly data for the period 2003 and 2012 were used in the research. Johansen Cointegration Methodology is used. After unit root tests ADF and PP, Johansen Cointegration test is applied. Both Trace and Eigenvalue Statistics indicate 1 cointegration vector. And then VECM is applied in order to find interdependence among the indices for long term relations. Cointegration equation has effect on German, Italian, French and Japanese stock markets. Later bilateral cointegration tests were done among Borsa Istanbul and other exchanges. It is not detected a long run relationship.

Keywords

International Stock Markets, Integration, Cointegration, VECM, Borsa İstanbul, G-8 Countries

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