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Journals / Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi / 2026 / Cilt: 7 Sayı: 2

Examining the Relationship between BIST Sector Indices and Developed Country Sector Indices

BIST Sektör Endekslerinin Gelişmiş Ülke Sektör Endeksleri İle İlişkisinin İncelenmesi

Sinem Eyüboğlu0000-0002-3525-9173
Kemal Eyüboğlu(KARADENİZ TEKNİK ÜNİVERSİTESİ)0000-0002-2108-9732
Pages
125–129
Publication Date
2019-03-20
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Short-run dynamics were examined by the Granger causality test, and BIST and CAC sector indices were found to be suitable for international diversification.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Developments in the field of information technologies and the removal of obstacles to capital movements have accelerated the financial integration process.
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Key Findings & Data:The increase in financial integration has given importance to studies investigating the relationship between financial markets in terms of international portfolio diversification.
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Conclusion & Impact:Short-run dynamics were examined by the Granger causality test, and BIST and CAC sector indices were found to be suitable for international diversification.
🔬Design:Araştırma Makalesi
📍Scope:2010 Verileri
⚙️Variables:Finansal Piyasalar · Engle-Granger Eşbütünleşme Analizi · Granger Nedensellik Test

Abstract

Developments in the field of information technologies and the removal of obstacles to capital movements have accelerated the financial integration process. The increase in financial integration has given importance to studies investigating the relationship between financial markets in terms of international portfolio diversification. For this purpose, the long-term relationship between BIST and Dow Jones, DAX and CAC industry, financial and technology sector indexes is tested by Engle-Granger (1987) cointegration method, taking into account daily dollar based prices for the period 20.05.2010-03.04.2018. The findings show that the industrial index of the 3 countries and the BIST Industry Index, the financial sector index of the 3 countries and the BIST Financial Index, and the technology index of the 3 countries and BIST Technology Index are not moving together in the long-run. Short-run dynamics were examined by the Granger causality test, and BIST and CAC sector indices were found to be suitable for international diversification.

Özet

Bilgi teknolojileri alanındaki ilerlemeler ve sermaye hareketlerinin önündeki engellerin kalkması, finansal entegrasyon sürecini hızlandırmıştır. finansal entegrasyonun artması uluslararası portföy çeşitlendirmesi açısından piyasalar arasındaki ilişkileri araştıran çalışmalara önem kazandırmıştır. Bu amaçla çalışmada 20.05.2010-03.04.2018 dönemi için günlük dolar bazlı fiyatlar kullanılarak BIST ile Dow Jones, DAX ve CAC sanayi, mali ve teknoloji sektör endeksleri arasındaki uzun dönemli ilişkinin varlığı Engle-Granger (1987) eşbütünleşme yöntemiyle analiz edilmiştir. Sonuçlar uzun dönemde 3 ülkenin sanayi endeksi ile BIST sanayi endeksinin, 3 ülkenin mali sektör endeksi ile BIST mali endeksinin ve 3 ülkenin teknoloji endeksi ile BIST teknoloji endeksinin birlikte hareket etmediklerini ortaya koymuştur. Kısa dönem dinamikleri ise Granger nedensellik testi ile incelenmiş ve BIST ile CAC sektör endekslerinin uluslararası çeşitlendirme için uygun oldukları tespit edilmiştir.

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Cite This Article

Eyüboğlu, S., Eyüboğlu, K. (2019). Examining the Relationship between BIST Sector Indices and Developed Country Sector Indices. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, Cilt: 7 Sayı: 2, 125–129. https://doi.org/10.18506/anemon.428513

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