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Journals / Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2010 / Cilt: 0 - Sayı: 36

Analysis of integration relationship between equity markets of Turkey and its major trading partners : Unit root and cointegration tests with structural breaks

Türkiye ile en büyük beş ticaret ortağının hisse senedi piyasaları arasındaki entegrasyon ilişkisinin analizi: Yapısal kırılmalı birim kök ve eşbütünleşme analizi

Veli YILANCI
Zehra Ayça ÖZTÜRK
Pages
261–278
Publication Date
2022-10-18
DOI
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AI Summary & Key Takeaways

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

The results show that there is not any long run relationship between ISE 100 and FTSE 100, SP 500, AEX which show that investors who invest in ISE 100, should invest in these markets to reduce their risk and increase their return.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this paper, we analyzed the relationship between Turkey and its major trading partners over the period January 1995-December 2009.
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Key Findings & Data:Since there are two important crises between these dates which may have influenced these markets and relations between the markets, we use unit root and cointegration tests which allow two structural breaks.
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Conclusion & Impact:The results show that there is not any long run relationship between ISE 100 and FTSE 100, SP 500, AEX which show that investors who invest in ISE 100, should invest in these markets to reduce their risk and increase their return.
🔬Design:Research Article
📍Scope:2009 Verileri
⚙️Variables:Domain Parameters

Abstract

In this paper, we analyzed the relationship between Turkey and its major trading partners over the period January 1995-December 2009. Since there are two important crises between these dates which may have influenced these markets and relations between the markets, we use unit root and cointegration tests which allow two structural breaks. The results show that there is not any long run relationship between ISE 100 and FTSE 100, SP 500, AEX which show that investors who invest in ISE 100, should invest in these markets to reduce their risk and increase their return.

Özet

Bu çalışmada Türkiye ile beş büyük ticaret ortağının hisse senedi piyasaları arasındaki ilişki Ocak 1995-Aralık 2009 dönemi arasında incelenmiştir. Söz konusu dönem aralığında hem ele alınan piyasaları, hem de bu piyasalar arasındaki ilişkiyi etkileyebilecek 1997 Asya Finansal Krizi ve 2008 Dünya Ekonomik Krizi meydana geldiğinden, durağanlık ve eşbütünleşme analizlerinde iki yapısal kırılmaya izin veren testler kullanılmıştır. Elde edilen sonuçlar İMKB 100 ile FTSE 100, SP 500 ve AEX borsaları arasında uzun dönemli bir ilişki olmadığını göstermektedir. Dolayısıyla İMKB 100 borsasına yatırım yapan yatırımcılar, risklerini azaltmak ve getirilerini arttırmak amacıyla bahsi geçen bu üç borsaya yatırım yaparak portföylerini çeşitlendirebileceklerdir.

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Cite This Article

YILANCI, V., ÖZTÜRK, Z. A. (2022). Analysis of integration relationship between equity markets of Turkey and its major trading partners : Unit root and cointegration tests with structural breaks. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 0 - Sayı: 36, 261–278. https://ajindex.com/articles/503595

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