IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi

Year 2010, Volume: 39 Issue: 1, 154 - 168, 03.12.2009

Bengü Vuran

Abstract

Globalization makes a positive effect on removing restrictions on international trade, capital flows, and together with financial liberalization, it brings about improvements and integration of financial markets by accelerating capital movements. As it is observed in current financial crisis, an economic or political event occurred in any country affects most of the world's capital markets substantially. ISE could not be exempted from the negative effects of crisis. The purpose of this study is to investigate the integration of Turkish equity market with major developed and developing international equity markets by using Johansen Cointegration tecnique. Eight equity markets, namely FTSE 100, Dax, CAC 40, S&P500, Nikkei 225, Bovespa, Merval, Mexico IPC are selected for this study. These markets are considered most influential across the globe. The integration is examined using daily data for the period of January 2006- January 2009. At the end of the study; Turkish equity market is found to be cointegrated with two devloped (FTSE 100, Dax ) and three developing ( Merval, Bovespa, IPC ) equity markets meaning that Turkish equity market can not offer good diversification alternative for investors investing in the aforementioned five markets.

Keywords

Istanbul stock exchange, international equity indices, Johansen cointegration test

The determination of long-run relationship between ISE 100 and international equity indices using cointegration analysis

Abstract

Globalization makes a positive effect on removing restrictions on international trade, capital flows, and together with financial liberalization, it brings about improvements and integration o f financial markets b y accelerating c apital m ovements. A s i t is ob served i n current financial crisis, an economic or political event occurred in any country affects most of th e w orld’s c apital m arkets s ubstantially. ISE could n ot be e xempted from th e negative effects of crisis. The purpose of this study is to investigate the integration of Turkish equity market with major developed and developing international equity markets by using Johansen Cointegration tecnique. Eight equity markets, namely FTSE 100, Dax, CAC 40, S&P500, Nikkei 225, Bovespa, Merval, Mexico IPC are selected for this study. These markets are considered most influential a cross t he g lobe. The i ntegration is examined u sing daily data for the period of January 2006- January 2009. At the end o f the study; Turkish equity market is found to be cointegrated with two devloped (FTSE 100, Dax ) a nd three developing ( Merval, Bovespa, IPC ) equity markets meaning that Turkish equity market can not offer good diversification alternative for investors investing in the aforementioned five markets.

Keywords

Istanbul stock exchange, international equity indices, Johansen cointegration test

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