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İMKB İLE GELİŞMEKTE OLAN ÜLKELERİN HİSSE SENEDİ PİYASALARININ ETKİLEŞİMİ: EŞBÜTÜNLEŞME VE NEDENSELLİK YAKLAŞIMI

INTERACTION BETWEEN ISE AND EMERGING STOCK MARKETS: COINTEGRATION AND CAUSALITY ANALYSIS

Journal Name:

  • Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Publication Year:

  • 2010

Key Words:

Keywords (Original Language):

Author Name
Abstract (2. Language): 
This study primarily aims to examine the interaction between the Istanbul Stock Exchange (ISE) and the stock markets of 7 developing countries (namely Argentina, Brazil, Mexico, India, Malaysia, Hungary and Egypt). To this end, it employs cointegration and causality analyses on the basis of the weekly data between December 1995 and December 2008. The obtained results demonstrate the long-term relationship between the ISE and Brazilian, Indian and Egyptian stock markets, while it also indicates the short-term interaction of the ISE with Mexican and Hungarian stock markets along with the three countries in question. As revealed by the study results, the ISE is still independent from certain emerging stock markets, offering investors international diversification opportunities to a certain extent.
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Abstract (Original Language): 
Bu çalışmanın amacı, İMKB ile gelişmekte olan yedi ülkenin (Arjantin, Brezilya, Meksika, Hindistan, Malezya, Macaristan ve Mısır) hisse senedi piyasaları arasındaki etkileşimi incelemektir. Bu amaç doğrultusunda, Aralık 1995-Aralık 2008 dönemine ait haftalık veriler kullanmak suretiyle eşbütünleşme ve nedensellik analizlerine başvurulmaktadır. Elde edilen sonuçlar İMKB ile Brezilya, Hindistan ve Mısır borsaları arasındaki uzun dönemli ilişkiyi ortaya koyarken; kısa dönemde söz konusu 3 ülkenin yanı sıra İMKB ile Meksika ve Macaristan borsaları arasındaki etkileşime işaret etmektedir. Buna göre İMKB hala bazı gelişmekte olan ülke borsalarından bağımsızdır ve yatırımcılara uluslararası çeşitlendirme imkanı sunabilecek bir borsa konumundadır.
FULL TEXT (PDF): 
PDF icon arastirmax-imkb-ile-gelismekte-olan-ulkelerin-hisse-senedi-piyasalarinin-etkilesimi-esbutunlesme-nedensellik-yaklasimi.pdf
  • 35
99-118
  • Turkish

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