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Year 2013, Volume: 34 Issue: 1, 33 - 49, 14.03.2015

Ayşe Bölükbaşı Dina Çakmur Yıldırtan

Abstract

As the contagion effect of crisis, declines in the US markets caused sharp decreases in the developed markets. It also caused similar effects at the developing markets with some time lags. Decoupling hypothesis suggests that if a greater economy to come under an economic crises, it would not significantly affect other countries at it has been before. According to this theorem, since other countries keep growing individually, even though a major country is experiencing economic crisis, overall effect on the global economy would not be a significant slowdown. In this paper, we analyzed the short term and long term correlations of the US, BRIC and G7 countries’ stock indices. We used monthly data set of 2003:01-2012:02 studied countries’ stock indices for Engle Granger and Johansen cointegration analysis. As a result, we recognized some findings in developing markets that supports the decoupling hypothesis in the studied period

Keywords

Crisis Decoupling Recoupling Emerging Markets BRIC G7 Countries

References

  • AGRAWAL, Amol,“Decoupling or Recoupling”, IDBI Gilts Economic Research, Mumbai, 7 January 2008, s.2.
  • BRANDIMARTE, Walter, “Emerging Markets not Decoupling, but Still Better Off”, Reuters, 23 January 2007,(http://www.reuters.com/article/), ss.1-2.
  • CONRAD de Aenlle, “Decoupling: Theory vs. Reality”, The New York Times, 7 February 2008,http://www.nytimes.com
  • CHITTEDI, K. R., “Global Stock Markets Development and Integration: with Special Reference to BRIC Countries”, http://mpra.ub.uni-muenchen.de/,2009
  • CHANDARASEKHAR,The Costs of “Coupling”: The Global Crisis and the Indian Economy Third World Network,Malaysia,2009.
  • CHAN, Kam C.; BENTON E. Gup, MING-SHIUN Pan; “An Empirical Analysis of Stock Prices in Major Asian Markets and the United States”, The Financial Review, 27(2), 1992,ss. 289-307.
  • DICKEY, D. A., FULLER, W. A, Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74,1979, ss.427–431.
  • EĞILMEZ Mahfi, Küresel Finans Krizi, Piyasa Sisteminin Eleştirisi. İstanbul: Remzi Kitabevi.5.b. 2009.
  • ENGLE, R.F.,GRANGER, C.W.J., Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55,1987, ss. 251–276.
  • FIDRMUC, Jarko , KORHONEN Iıkka, The Impact of the Global Financial Crisis on Business Cycles in Asian Emerging Economies, Cesıfo Workıng Paper No. 2710 Category 7: Monetary Polıcy and Internatıonal Fınance,July 2009.
  • FRASER Cameron, The EU and BRICS, Policy paper 3, February 2011,p.1
  • GHOSH, A, R. SAIDI, K.H. Johnson, Who Moves the Asia-Pasific Stock Market- US or Japan? Emprical Evidence Based on The Theory of Cointegration. The Financial Review. Vol.34, 159-170, (1999).
  • T.C Maliye Bakanlığı,Strateji Geliştirme Başkanlığıi,Araştırma Raporu,TCMB Para Politası kararları ışığında mali piyasalarda son durum(Kasım 2010-Ocak 2011), Ekonomik ve Sektörel Analiz Dairesi,2011
  • Hiç, Mükerrem ,Küresel Ekonomik Kriz ve Türkiye, Beykent Üniversitesi,2009.
  • Johansen, S ,Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59,1991, ss 1551–1580.
  • Johansen, S. , Likelihood-based Inference in Cointegrated Vector Autoregressive Models.: Oxford University Pres,1995.
  • Kanas, A. “Linkages between the US and European Equity Markets: Further Evidence from Cointegration Tests”, Applied Financial Economics, 8, 1998, ss 607-614.
  • International Monetary Fund (IMF). 2007. Decoupling the Train? Spillovers and Cycles in the Global Economy. World Economic Outlook. April. ss. 121-160.
  • T.C. Kalkınma Bakanlığı ,Dünya Ekonomisindeki Son Gelişmeler , Ekonomik Modeller Ve Stratejik Araştırmalar Genel Müdürlüğü ,Küresel Ekonomik Gelişmeleri İzleme Değerlendirme Dairesi ,Mart 2012 Sayı:3
  • KIM, Soyoung, LEE ,Jong-Wha and PARK Cyn-Young. “Emerging Asia: Decoupling or Recoupling”, Conference on International Linkages. Tokyo, Japan, 2-3 October 2008, ss.1- 28.
  • KOSE, M.A., OTROK C., and PRASAD E.. 2008. Global Business Cycles: Convergence or Decoupling? International Monetary Fund Working Paper No. 08/143.
  • NARAYAN, Paresh Kumar, RUSSELL Smyth, Modelling The Linkage Between The Australian and G7 Stock Markets: Common Stochastic Trends and Regime Shifts. Applied Financial Economics. Vol.14, 991-1004, 2004.
  • NARAYAN, Paresh Kumar , RUSSELL Smyth; “Cointegration of Stock Markets between New Zealand, Australia and the G7 Economies: Searching for Co-Movement Under Structural Change”, Australian Economic Papers, 44(3), 2005, ss. 231-247.
  • ÖZDEMIR, Zeynel Abidin , ÇAKAN ,Esin; “Non-linear Dynamic Linkages in the International Stock Markets”, Physica A, 377(1), 2007,ss. 173–180.
  • ROUBINI, Nouriel.12 Reasons Why the World Will Not De-Couple From the Coming U.S. Growth Slowdow or “Why When the U.S. Sneezes the World Gets the Cold, Roubini Global Economics. 14 June 2006. ss.2-4.
  • ROUBINI Nouriel. “The Fairy Tale that the World Will “Decouple” from the Coming U.S. Recession”, Roubini Global Economics. 3 August 2006. ss.2-5.
  • ROUBINI, Nouriel. “Recoupling rather than Decoupling: the Forthcoming Contagion to China, East Asia and Emerging Markets”, Roubini Global Economics. 23 November 2007. ss.1-2.
  • SOYOUNG Kim, JONG-WHA Lee, CYN-YOUNG Park, Emerging Asia: Decoupling or Recoupling, ADB Working Series, No. 31 , June 2009
  • SUBRAMANIAN, Ulaganathan; “Cointegration of Stock Markets in East Asia”, European Journal of Economics, Finance and Administrative Sciences, (14),2008, ss. 84-92.
  • VANESSA Rossi, “Decoupling Debate Will Return: Emergers Dominate in Long Run”, Chatham House Briefing Note, IEP BN 08/01, London, October 2008,s.2.
  • WÄLTI, Sebastien. “No Decoupling, More Interdependence: Business CycleComovements between Advanced and Emerging Economies”, Munich Personal RePEc Archive. No.20869, Germany, February 2010.
  • WILLETT, Thomas D. ,PRISCILLA Liang ve Nan Zhang, “Global Contagion and the Decoupling Debate”, Claremont Institute for Economic Policy Studies, USA, 26 April 2010, s.12.

YÜKSELEN PİYASALAR AYRIŞIYOR MU?

Year 2013, Volume: 34 Issue: 1, 33 - 49, 14.03.2015

Ayşe Bölükbaşı Dina Çakmur Yıldırtan

Abstract

Krizin yaşanan bulaşıcı etkisiyle birlikte ABD borsasında yaşanan düşüşler gelişmiş ülkelerin borsalarında sert etkiler, gelişmekte olan ülke borsalarında da gecikmeli olarak da olsa sert düşüşler oluşturmuştur. Ayrışma hipotezi büyük bir dünya gücünün ekonomik krize girmiş olmasının eskiden olabileceği gibi tüm dünya ekonomilerini sarsmayacağına ilişkin teoremdir. Bu teoreme göre kriz içersine girmeyen diğer ekonomiler bağımsız olarak gelişmeye devam edecekleri için ortalamada dünya çapında bir düşüş yaşanmaz. Bu çalışmada da ayrışma teorisi doğrultusunda, ABD ile BRIC ve G7 ülkeleri borsa endeksleri arasındaki kısa ve uzun dönem denge ilişkisi analiz edilmiştir. Bu amaçla 2003 Ocak ayı ile 2012 Şubat ayını kapsayan dönemde ülkelerin endeks değerleri Engle Granger ve Johansen eşbütünleşme analizi ile incelenmiştir. Sonuç olarak, yükselen piyasalarda ele alınan dönemde ayrışma hipotezini destekleyen bulgular elde edilmiştir.

Keywords

Decoupling-Ayrışma Recoupling BRIC ülkeleri G7 ülkeleri Eşbütünleşme

References

  • AGRAWAL, Amol,“Decoupling or Recoupling”, IDBI Gilts Economic Research, Mumbai, 7 January 2008, s.2.
  • BRANDIMARTE, Walter, “Emerging Markets not Decoupling, but Still Better Off”, Reuters, 23 January 2007,(http://www.reuters.com/article/), ss.1-2.
  • CONRAD de Aenlle, “Decoupling: Theory vs. Reality”, The New York Times, 7 February 2008,http://www.nytimes.com
  • CHITTEDI, K. R., “Global Stock Markets Development and Integration: with Special Reference to BRIC Countries”, http://mpra.ub.uni-muenchen.de/,2009
  • CHANDARASEKHAR,The Costs of “Coupling”: The Global Crisis and the Indian Economy Third World Network,Malaysia,2009.
  • CHAN, Kam C.; BENTON E. Gup, MING-SHIUN Pan; “An Empirical Analysis of Stock Prices in Major Asian Markets and the United States”, The Financial Review, 27(2), 1992,ss. 289-307.
  • DICKEY, D. A., FULLER, W. A, Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74,1979, ss.427–431.
  • EĞILMEZ Mahfi, Küresel Finans Krizi, Piyasa Sisteminin Eleştirisi. İstanbul: Remzi Kitabevi.5.b. 2009.
  • ENGLE, R.F.,GRANGER, C.W.J., Co-integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55,1987, ss. 251–276.
  • FIDRMUC, Jarko , KORHONEN Iıkka, The Impact of the Global Financial Crisis on Business Cycles in Asian Emerging Economies, Cesıfo Workıng Paper No. 2710 Category 7: Monetary Polıcy and Internatıonal Fınance,July 2009.
  • FRASER Cameron, The EU and BRICS, Policy paper 3, February 2011,p.1
  • GHOSH, A, R. SAIDI, K.H. Johnson, Who Moves the Asia-Pasific Stock Market- US or Japan? Emprical Evidence Based on The Theory of Cointegration. The Financial Review. Vol.34, 159-170, (1999).
  • T.C Maliye Bakanlığı,Strateji Geliştirme Başkanlığıi,Araştırma Raporu,TCMB Para Politası kararları ışığında mali piyasalarda son durum(Kasım 2010-Ocak 2011), Ekonomik ve Sektörel Analiz Dairesi,2011
  • Hiç, Mükerrem ,Küresel Ekonomik Kriz ve Türkiye, Beykent Üniversitesi,2009.
  • Johansen, S ,Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59,1991, ss 1551–1580.
  • Johansen, S. , Likelihood-based Inference in Cointegrated Vector Autoregressive Models.: Oxford University Pres,1995.
  • Kanas, A. “Linkages between the US and European Equity Markets: Further Evidence from Cointegration Tests”, Applied Financial Economics, 8, 1998, ss 607-614.
  • International Monetary Fund (IMF). 2007. Decoupling the Train? Spillovers and Cycles in the Global Economy. World Economic Outlook. April. ss. 121-160.
  • T.C. Kalkınma Bakanlığı ,Dünya Ekonomisindeki Son Gelişmeler , Ekonomik Modeller Ve Stratejik Araştırmalar Genel Müdürlüğü ,Küresel Ekonomik Gelişmeleri İzleme Değerlendirme Dairesi ,Mart 2012 Sayı:3
  • KIM, Soyoung, LEE ,Jong-Wha and PARK Cyn-Young. “Emerging Asia: Decoupling or Recoupling”, Conference on International Linkages. Tokyo, Japan, 2-3 October 2008, ss.1- 28.
  • KOSE, M.A., OTROK C., and PRASAD E.. 2008. Global Business Cycles: Convergence or Decoupling? International Monetary Fund Working Paper No. 08/143.
  • NARAYAN, Paresh Kumar, RUSSELL Smyth, Modelling The Linkage Between The Australian and G7 Stock Markets: Common Stochastic Trends and Regime Shifts. Applied Financial Economics. Vol.14, 991-1004, 2004.
  • NARAYAN, Paresh Kumar , RUSSELL Smyth; “Cointegration of Stock Markets between New Zealand, Australia and the G7 Economies: Searching for Co-Movement Under Structural Change”, Australian Economic Papers, 44(3), 2005, ss. 231-247.
  • ÖZDEMIR, Zeynel Abidin , ÇAKAN ,Esin; “Non-linear Dynamic Linkages in the International Stock Markets”, Physica A, 377(1), 2007,ss. 173–180.
  • ROUBINI, Nouriel.12 Reasons Why the World Will Not De-Couple From the Coming U.S. Growth Slowdow or “Why When the U.S. Sneezes the World Gets the Cold, Roubini Global Economics. 14 June 2006. ss.2-4.
  • ROUBINI Nouriel. “The Fairy Tale that the World Will “Decouple” from the Coming U.S. Recession”, Roubini Global Economics. 3 August 2006. ss.2-5.
  • ROUBINI, Nouriel. “Recoupling rather than Decoupling: the Forthcoming Contagion to China, East Asia and Emerging Markets”, Roubini Global Economics. 23 November 2007. ss.1-2.
  • SOYOUNG Kim, JONG-WHA Lee, CYN-YOUNG Park, Emerging Asia: Decoupling or Recoupling, ADB Working Series, No. 31 , June 2009
  • SUBRAMANIAN, Ulaganathan; “Cointegration of Stock Markets in East Asia”, European Journal of Economics, Finance and Administrative Sciences, (14),2008, ss. 84-92.
  • VANESSA Rossi, “Decoupling Debate Will Return: Emergers Dominate in Long Run”, Chatham House Briefing Note, IEP BN 08/01, London, October 2008,s.2.
  • WÄLTI, Sebastien. “No Decoupling, More Interdependence: Business CycleComovements between Advanced and Emerging Economies”, Munich Personal RePEc Archive. No.20869, Germany, February 2010.
  • WILLETT, Thomas D. ,PRISCILLA Liang ve Nan Zhang, “Global Contagion and the Decoupling Debate”, Claremont Institute for Economic Policy Studies, USA, 26 April 2010, s.12.
There are 32 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Ayşe Bölükbaşı This is me

Dina Çakmur Yıldırtan

Publication Date March 14, 2015
Submission Date March 14, 2015
Published in Issue Year 2013 Volume: 34 Issue: 1

Cite

APA Bölükbaşı, A., & Çakmur Yıldırtan, D. (2015). YÜKSELEN PİYASALAR AYRIŞIYOR MU?. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 34(1), 33-49.
AMA Bölükbaşı A, Çakmur Yıldırtan D. YÜKSELEN PİYASALAR AYRIŞIYOR MU?. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. March 2015;34(1):33-49.
Chicago Bölükbaşı, Ayşe, and Dina Çakmur Yıldırtan. “YÜKSELEN PİYASALAR AYRIŞIYOR MU?”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi 34, no. 1 (March 2015): 33-49.
EndNote Bölükbaşı A, Çakmur Yıldırtan D (March 1, 2015) YÜKSELEN PİYASALAR AYRIŞIYOR MU?. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 34 1 33–49.
IEEE A. Bölükbaşı and D. Çakmur Yıldırtan, “YÜKSELEN PİYASALAR AYRIŞIYOR MU?”, Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol. 34, no. 1, pp. 33–49, 2015.
ISNAD Bölükbaşı, Ayşe - Çakmur Yıldırtan, Dina. “YÜKSELEN PİYASALAR AYRIŞIYOR MU?”. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 34/1 (March 2015), 33-49.
JAMA Bölükbaşı A, Çakmur Yıldırtan D. YÜKSELEN PİYASALAR AYRIŞIYOR MU?. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2015;34:33–49.
MLA Bölükbaşı, Ayşe and Dina Çakmur Yıldırtan. “YÜKSELEN PİYASALAR AYRIŞIYOR MU?”. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi, vol. 34, no. 1, 2015, pp. 33-49.
Vancouver Bölükbaşı A, Çakmur Yıldırtan D. YÜKSELEN PİYASALAR AYRIŞIYOR MU?. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2015;34(1):33-49.

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