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Journals / Istanbul Business Research / 2009 / Cilt: 38 - Sayı: 1

The Dynamic Causality Relation between Real Sector Confidence Index and ISE 100 Index

Reel Kesim Güven Endeksi ile İMKB 100 Endeksi arasındaki dinamik nedensellik ilişkisi

Turhan Korkmaz
Emrah Çevik
Pages
24–37
Publication Date
2009-10-14
DOI
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AI Summary & Key Takeaways

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

The results of the analysis show that there is a feedback effect between ISE 100 index return and confidence index and they simultaneously affect each other.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the causality relation between ISE 100 index return and Real Sector Confidence Index are analyzed with a two-stage method developed by Cheung and Ng [1].
📊
Key Findings & Data:ISE 100 index return and confidence index are estimated with EGARCH model in the first stage.
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Conclusion & Impact:The results of the analysis show that there is a feedback effect between ISE 100 index return and confidence index and they simultaneously affect each other.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Güven Endeksi · İMKB 100 · EGARCH

Abstract

In this study, the causality relation between ISE 100 index return and Real Sector Confidence Index are analyzed with a two-stage method developed by Cheung and Ng [1]. ISE 100 index return and confidence index are estimated with EGARCH model in the first stage. In the second stage, the standardized residuals and squares obtained from the EGARCH model are used for causality test in the mean and variance for the ISE 100 index return and confidence index. The results of the analysis show that there is a feedback effect between ISE 100 index return and confidence index and they simultaneously affect each other.

Özet

Bu çalışmada İMKB 100 endeks getirisi ile Reel Kesim Güven Endeksi arasındaki nedensellik ilişkisi Cheung ve Ng [1] tarafından geliştirilen iki aşamalı yöntem ile araştırılmıştır. İlk aşamada İMKB 100 endeks getirisi ve güven endeksi EGARCH model ile tahmin edilmiştir. İkinci aşamada EGARCH modelden elde edilen standardize hatalar ve kareleri kullanılarak İMKB 100 endeks getirisi ve güven endeksi için ortalamada ve varyansta nedensellik testi yapılmıştır. Elde edilen sonuçlara göre, İMKB 100 endeksi getirisi ile güven endeksi arasında geri bildirim etkisi mevcuttur ve eş zamanlı olarak birbirlerini etkilemektedirler.

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Cite This Article

Korkmaz, T., Çevik, E. (2009). The Dynamic Causality Relation between Real Sector Confidence Index and ISE 100 Index. Istanbul Business Research, Cilt: 38 - Sayı: 1, 24–37. https://ajindex.com/articles/96773

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