BORSADA YATIRIM VE GÜVEN ENDEKSLERİ İLİŞKİSİ: GELİŞMİŞ ÜLKELER ÜZERİNE KIRILMALI EŞBÜTÜNLEŞME ANALİZİ
RELATIONSHIP BETWEEN INVESTMENT IN THE STOCK AND CONFIDENCE INDICES: BREAKING COINTEGRATION ANALYSIS ON DEVELOPED COUNTRIES

Summary/Abstract: The purpose of this study is to demonstrate the relationship between the consumer confidence index and the business confidence index with the stock exchange. Panel data analysis was used as a method in the study conducted by means of the monthly data of the period of January 2004 - June 2017 of the 18 developed countries. One model was prepared for each indices and through these models; the cointegration relationship between confidence indices and the stock exchange was determined. First, the Durbin-Hausman panel cointegration test used in many studies was used and it was determined confirmed that neither index was cointegrated with the stock exchange. It was re-estimated through the Westerlund-Edgerton panel break-through cointegration test, which takes into account the structural breaks in the models, as the 2008 global crisis took place during the period of the study. However, as in the previous test, it was found out that there is no cointegration relationship between confidence indices and the stock market. Besides, it was determined that September 2008 generally became the break period for these countries.

• Details
• Contents