DETECTION OF INTERDEPENDENCE AMONG BORSA ISTANBUL STOCK EXCHANGES

Main Article Content

Turan KOCABIYIK
Türker TEKER

Abstract

Causality analysis in finance and economic areas are frequently used to measure the long-term relationship between variables.Both in the World and in Turkey, there are many studies about the power of interdependence among stock markets. In these studies, it was tried to measure the relation between important indices of different countries stock markets. In this study, it has been tried to determine whether the stock market indices within the Istanbul Stock Exchange have interdependence and which indice shave opposite direction or which indices have same direction. ort his reason, it is thought that this research will contribute to the literature.


The purpose of this study is to discover whether there is a causal relationship between the important indices in the Istanbul Stock Exchange. Istanbul Stock Exchange 100 index (XU100)and some other stock indices such as; Istanbul Stock Exchange 30 Index(XU030), Financial Index(XUMAL), Industrial Index(XUSIN)and Services Index(XUHIZ)were included in the survey.Daily closing data between the years 2010-2017 of Istanbul Stock Exchange indices were used in the study.Firstly, unit root tests were applied to 6 time series data.First differences became stationary when all of the series were not stationary at level values.Hence, Johansen cointegration methodology was applied to the series. Thelagorder of the model was found 3 and Johansen Cointegration test was performed.1 cointegrated vector is encountered. The relationship between indices has been examined in detail by Vector Error Correction Model.

Downloads

Download data is not yet available.

Article Details

How to Cite
KOCABIYIK, T., & TEKER, T. (2018). DETECTION OF INTERDEPENDENCE AMONG BORSA ISTANBUL STOCK EXCHANGES. JOURNAL OF LIFE ECONOMICS, 5(4), 191-202. https://doi.org/10.15637/jlecon.269
Section
Articles

References

Borsa İstanbul. (tarih yok). Eylül 26, 2018 tarihinde Borsa İstanbul A.Ş Web Sitesi: http://www.borsaistanbul.com/kurumsal/borsa-istanbul-hakkinda/hakkimizda adresinden alındı
BOZTOSUN, D., & ÇELİK, T. (2011). Türkiye Borsasının Avrupa Borsaları ile Eşbütünleşme Analizi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , 16 (1), 147-162.
ÇELİK, T., & BOZTOSUN, D. (2010). Türkiye Borsası ile Asya Ülkeleri Borsaları Arasındaki Entegrasyon İlişkisi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , 0 (36), 57-71.
ELMAS, B. (2013). İstanbul Menkul Kıymetler Borsasında Hesaplanan Endeksler Arası İlişkiler. Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi , 2 (5), 21-34.
ŞAHİN, Ö., ÖNCÜ, M. A., & SAKARYA, Ş. (2015). Bist 100 ve Kurumsal Yönetim Endeksi Volatilitelerinin Karşılaştırmalı Analizi. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi , 16 (2), 107-126.
YILDIZ, S. (2015). Katılım 30 Endeksi İle BİST 100 Endeksi’nin Performanslarının Değerlendirilmesi. Finans Politik & Ekonomik Yorumlar Dergisi (606), 41-54.