Borsa İstanbul Ve Gelişmiş Ülke (G7) Borsaları Arasındaki İlişki: Eşbütünleşme Analizi
Analysis of Cointegration Between Istanbul Stock Exchange and Stock Exchanges in Developed Countries (G7)
Author(s): Şahin BulutSubject(s): International relations/trade, Financial Markets, Globalization
Published by: Sage Yayınları
Keywords: G7; Turkey; Istanbul Stock Exchange; International Financial Markets; Globalization; Cointegration;
Summary/Abstract: In this study, the long-term relationship between Istanbul Stock Exchange (ISE) representing the Turkish financial market and seven of the developed economies (G7 - Nikkei 225 from Japan, FTSE/MIB from Italy, DAX from Germany, CAC40 from France, FTSE100 from UK, DJ from USA and S&P/TSX indices from Canada) was explored by Johansen cointegration test. The coefficients of the model were obtained by means of the vector error correction model (VEC). According to the findings of the study, a long-term cointegration relation was obtained between BIST and CAC40, DAX, DJI, FTSE100 and Nikkei225. This is also statistically significant. The cointegration them BIST and S&P/TSX and FTSE/MIB could not be obtained.
Journal: TURAN-SAM
- Issue Year: 9/2017
- Issue No: 36
- Page Range: 541-549
- Page Count: 9
- Language: Turkish