TY  - JOUR
TT  - The Determination of Dynamic Relationship between ISE30 and European UnionStock Exchange within Vector Autoregression Model
AU  - Çelik, İsmail
AU  - Gençtürk, Mehmet
AU  - Binici, Fatih Ömür
PY  - 2013
DA  - October
JF  - Muhasebe ve Finansman Dergisi
PB  - Muhasebe ve Finansman Öğretim Üyeleri Bilim ve Araştırma Derneği
WT  - DergiPark
SN  - 2146-3042
SP  - 73
EP  - 86
IS  - 60
KW  - Eşhareketlilik
KW  - Nedensellik
KW  - Vektör Otoregresif Model
KW  - İMKB30.
N2  - The aim of this paper is to investigate the dynamic short and long-term relations between ISE30 stock index and selected International stock indices such as; Spain (IBEX35), Portugal (PSI20) and Italy (FTSE MIB) in 2010: January- 2012: December. Johansen-Juselius cointegration test results indicate that there is no long term relationship between ISE30 and other stock indices in these samples. However, Granger Causality test and bivariate VAR model results proved that there is short term unidirectional causality from ISE30 to IBEX35 and PSI20. Furthermore, diagnostic tests results such as; Jerque-Bera normality test, Serial Correlation LM test and Heteroskedasticity White test results show that bivariate VAR model has fulfilled all the assumptions. These results also prove that the ISE30 can be used long-term international portfolio diversification.
UR  - https://dergipark.org.tr/en/pub/mufad/article/396440
L1  - https://dergipark.org.tr/en/download/article-file/427478
ER  -