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Testing the interdependence of Borsa Istanbul sector indices

Year 2019, Issue: 53, 246 - 260, 30.06.2019
https://doi.org/10.18070/erciyesiibd.345786

Abstract

Portfolio diversification is often used by individual and institutional investors to achieve optimal results under various economic conditions. Portfolio diversification is frequently used by individual and institutional investors to achieve optimal results under various economic conditions. If assets in a portfolio have different responses to current market conditions, the investor may have an opportunity to minimize the risk. One way to minimize portfolio risk is to allocate investments to some non-interrelated sector indices based on a specific market condition on the local stock exchange. In this study, the relationship between financial, industrial, services and technology indices in Borsa Istanbul are examined by using the Johansen cointegration test considering the daily and weekly data for the period 02.01.2014-14.05.2017. As a result of the study, no cointegration relationship is found between indices. In addition, no causal relationship is found determined the indices as a result of Granger causality test. These results show that especially domestic investors can make sectorial diversification in the stock market.

References

  • AL-FAYOUMI, Nidal; Basheer KHAMEES and Ali AL-THUNEIBAT; (2009), “Information Transmission among Stock Return Indexes: Evidence from the Jordanian Stock Market”, International Research Journal of Finance and Economics. 24, pp. 194-208.
  • ARBELAEZ, Harvey; Jorge URRUTIA and Nidal ABBAS; (2001), “Short-term and Long-term Linkages among the Colombian Capital Market Indexes”, International Review of Financial Analysis, 10, pp. 237-273.
  • BERUMENT, Hakan, Yılmaz AKDI and Cemal ATAKAN; (2005), “An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes”, Studies in Nonlinear Dynamics & Econometrics, 9(3), pp. 1-12.
  • CHUANG, I.-Yuan; Ji-Ray LU and Keshin TSWEI; (2007), “Interdependence of International Equity Variances: Evidence from East Asian Markets”, Emerging Markets Review, 7, pp. 311-327.
  • CONSTANTINOU, Eleni; Avo, KAZANDJIAN and George KOURETAS and Vera TAHMAZIAN; (2008), “Cointegration, Causality and Domestic Portfolio Diversification in the Cyprus Stock Exchange”, Journal of Money, Investment and Banking, 4, pp. 26-41.
  • CORHAY, A.; Rad A. TOURANI and J-P URBAIN; (1993), “Common Stochastic Trends in European Stock Markets”, Economics Letters. 42(4), pp. 385-390.
  • COTTER, John; (2004), “International Capital Market Integration in a Small Open Economy: Ireland January 1990-December 2000”, International Review of Financial Analysis, 13, pp. 669-85.
  • DEO, Vishal; (2014), “Investigating Cointegration between Some Indian Stock Indices”, International Journal of Scientific & Engineering Research, 5(1), pp. 1869-1873.
  • DICKEY, David A. and Wayne A. FULLER; (1979), “Distribution of the Estimators for Autoregressive Time Series with A Unit Root”, Journal of the American Statistical Association, 84, pp. 427-431.
  • ELMAS, Bekir; (2013), “İstanbul Menkul Kıymetler Borsası’nda Hesaplanan Endeksler Arası İlişkiler”, Dicle Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2(5), ss. 21-34.
  • ENGLE, Robert F. and Clive W. J. GRANGER; (1987), “Cointegration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55, pp. 251-276.
  • ENGLE, Robert F. and Byung Sam YOO; (1987), “Forecasting and Testing in Co-integrated Systems”, Journal of Econometrics. 35, pp. 143-159.
  • JOHANSEN, Soren; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12, pp. 251-254.
  • KASA, Kenneth; (1992), “Common Stochastic Trends in International Stock Markets”, Journal of Monetary Economics, 29, pp. 95-124.
  • KRISHNANKUTTY, Raveesh and Aviral Kumar TIWARI; (2011). “Are the Bombay Stock Exchange Sectoral Indices of Indian Stock Market Cointegrated? Evidence Using Fractional Cointegration Test”, Journal of Emerging Financial Markets, 2(1), pp. 37-45.
  • MISHRA, Alok Kumar; (2002), “International Financial Integration of Domestic Financial Markets: A Study of India”, The ICFAI Journal of Applied Finance, 8 (2), pp. 5-15.
  • NARAYAN, Paresh Kumar and Russell SMYTH; (2004), “Modeling the linkages between the Australian and G7 Stock Markets: Common Stochastic Trends and Regime Shifts”, Applied Financial Economics, 14, pp. 991-1004.
  • PHILLIPS, C.B. Peter and Pierre PERRON; (1988), “Testing for a Unit Root in Time Series Regression”, Biomètrika, 75(2), pp. 336-346.
  • SUBHA, M.V. and S.T Thirupparkadal NAMBI; (2010), “A Study on Cointegration between Indian and American Stock Markets”, Journal of Contemporary Research in Management, pp. 105-113.
  • TIWARI, Aviral Kumar; ARIF, Billah DAR, Bhanja NIYATI and Aasif SHAH; (2013), “Stock Market Integration in Asian Countries: Evidence from Wavelet Multiple Correlations”, Journal of Economic Integration, 28(3), pp. 441-456.
  • WALID, M.A. Ahmed; (2012), “On the Interdependence Structure of Market Sector Indices: The Case of Qatar Exchange”, Review of Accounting and Finance, 11(4), pp. 468-488.
  • WANG, Zijun; Ali KUTAN and Jian YANG; (2005), Information Flows within and Across Sectors in Chinese Stock Markets, The Quarterly Review of Economics and Finance, 45, pp. 767-780.
  • YÜKSEL, Ebru ve Güldal GÜLERYÜZ; (2010), “How Are the Sector Indexes are Related to ISE 100 Index: An Empirical Study on Istanbul Stock Exchange, International Conference”, 24th Mini EURO Conference “Continuous Optimization and Information-Based Technologies in the Financial Sector” June 23-26.

Borsa İstanbul sektör endekslerinin karşılıklı bağımlılıklarının test edilmesi

Year 2019, Issue: 53, 246 - 260, 30.06.2019
https://doi.org/10.18070/erciyesiibd.345786

Abstract

Portföy çeşitlendirmesi, bireysel ve kurumsal yatırımcılar tarafından, çeşitli ekonomik koşullar altında optimal sonuçlar elde etmek için sıklıkla kullanılır. Bir portföydeki varlıklar mevcut piyasa koşullarına göre farklı tepkilere sahipse, yatırımcının riski en aza indirgemek için bir fırsatı olabilir. Bu çalışmada 02.01.2014-14.05.2017 dönemi için günlük ve haftalık veriler dikkate alınarak Borsa İstanbul’da yer alan mali, sınai, hizmetler ve teknoloji endeksleri arasındaki ilişkiler Johansen eşbütünleşme testi ile araştırılmıştır. Çalışma sonucunda endeksler arasında herhangi bir eşbütünleşme ilişkisine rastlanılmamıştır. Ayrıca yapılan Granger nedensellik testi sonucunda endeksler arasında herhangi bir nedensellik ilişkisi de tespit edilememiştir. Elde edilen bu sonuçlar özellikle de yerli yatırımcıların borsa içerisinde sektörel açıdan çeşitlendirme yapabileceklerini ortaya koymaktadır.

References

  • AL-FAYOUMI, Nidal; Basheer KHAMEES and Ali AL-THUNEIBAT; (2009), “Information Transmission among Stock Return Indexes: Evidence from the Jordanian Stock Market”, International Research Journal of Finance and Economics. 24, pp. 194-208.
  • ARBELAEZ, Harvey; Jorge URRUTIA and Nidal ABBAS; (2001), “Short-term and Long-term Linkages among the Colombian Capital Market Indexes”, International Review of Financial Analysis, 10, pp. 237-273.
  • BERUMENT, Hakan, Yılmaz AKDI and Cemal ATAKAN; (2005), “An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes”, Studies in Nonlinear Dynamics & Econometrics, 9(3), pp. 1-12.
  • CHUANG, I.-Yuan; Ji-Ray LU and Keshin TSWEI; (2007), “Interdependence of International Equity Variances: Evidence from East Asian Markets”, Emerging Markets Review, 7, pp. 311-327.
  • CONSTANTINOU, Eleni; Avo, KAZANDJIAN and George KOURETAS and Vera TAHMAZIAN; (2008), “Cointegration, Causality and Domestic Portfolio Diversification in the Cyprus Stock Exchange”, Journal of Money, Investment and Banking, 4, pp. 26-41.
  • CORHAY, A.; Rad A. TOURANI and J-P URBAIN; (1993), “Common Stochastic Trends in European Stock Markets”, Economics Letters. 42(4), pp. 385-390.
  • COTTER, John; (2004), “International Capital Market Integration in a Small Open Economy: Ireland January 1990-December 2000”, International Review of Financial Analysis, 13, pp. 669-85.
  • DEO, Vishal; (2014), “Investigating Cointegration between Some Indian Stock Indices”, International Journal of Scientific & Engineering Research, 5(1), pp. 1869-1873.
  • DICKEY, David A. and Wayne A. FULLER; (1979), “Distribution of the Estimators for Autoregressive Time Series with A Unit Root”, Journal of the American Statistical Association, 84, pp. 427-431.
  • ELMAS, Bekir; (2013), “İstanbul Menkul Kıymetler Borsası’nda Hesaplanan Endeksler Arası İlişkiler”, Dicle Üniversitesi İktisadi ve İdari Bilimler Dergisi, 2(5), ss. 21-34.
  • ENGLE, Robert F. and Clive W. J. GRANGER; (1987), “Cointegration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55, pp. 251-276.
  • ENGLE, Robert F. and Byung Sam YOO; (1987), “Forecasting and Testing in Co-integrated Systems”, Journal of Econometrics. 35, pp. 143-159.
  • JOHANSEN, Soren; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12, pp. 251-254.
  • KASA, Kenneth; (1992), “Common Stochastic Trends in International Stock Markets”, Journal of Monetary Economics, 29, pp. 95-124.
  • KRISHNANKUTTY, Raveesh and Aviral Kumar TIWARI; (2011). “Are the Bombay Stock Exchange Sectoral Indices of Indian Stock Market Cointegrated? Evidence Using Fractional Cointegration Test”, Journal of Emerging Financial Markets, 2(1), pp. 37-45.
  • MISHRA, Alok Kumar; (2002), “International Financial Integration of Domestic Financial Markets: A Study of India”, The ICFAI Journal of Applied Finance, 8 (2), pp. 5-15.
  • NARAYAN, Paresh Kumar and Russell SMYTH; (2004), “Modeling the linkages between the Australian and G7 Stock Markets: Common Stochastic Trends and Regime Shifts”, Applied Financial Economics, 14, pp. 991-1004.
  • PHILLIPS, C.B. Peter and Pierre PERRON; (1988), “Testing for a Unit Root in Time Series Regression”, Biomètrika, 75(2), pp. 336-346.
  • SUBHA, M.V. and S.T Thirupparkadal NAMBI; (2010), “A Study on Cointegration between Indian and American Stock Markets”, Journal of Contemporary Research in Management, pp. 105-113.
  • TIWARI, Aviral Kumar; ARIF, Billah DAR, Bhanja NIYATI and Aasif SHAH; (2013), “Stock Market Integration in Asian Countries: Evidence from Wavelet Multiple Correlations”, Journal of Economic Integration, 28(3), pp. 441-456.
  • WALID, M.A. Ahmed; (2012), “On the Interdependence Structure of Market Sector Indices: The Case of Qatar Exchange”, Review of Accounting and Finance, 11(4), pp. 468-488.
  • WANG, Zijun; Ali KUTAN and Jian YANG; (2005), Information Flows within and Across Sectors in Chinese Stock Markets, The Quarterly Review of Economics and Finance, 45, pp. 767-780.
  • YÜKSEL, Ebru ve Güldal GÜLERYÜZ; (2010), “How Are the Sector Indexes are Related to ISE 100 Index: An Empirical Study on Istanbul Stock Exchange, International Conference”, 24th Mini EURO Conference “Continuous Optimization and Information-Based Technologies in the Financial Sector” June 23-26.
There are 23 citations in total.

Details

Journal Section Makaleler
Authors

Sinem Eyüboğlu

Kemal Eyüboğlu

Publication Date June 30, 2019
Acceptance Date February 14, 2019
Published in Issue Year 2019 Issue: 53

Cite

APA Eyüboğlu, S., & Eyüboğlu, K. (2019). Borsa İstanbul sektör endekslerinin karşılıklı bağımlılıklarının test edilmesi. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(53), 246-260. https://doi.org/10.18070/erciyesiibd.345786

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