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TÜRKİYE BORSASI İLE ASYA ÜLKELERİ BORSALARI ARASINDAKİ ENTEGRASYON İLİŞKİSİ

Year 2010, Issue: 36, 57 - 71, 20.05.2015

Tuncay Çelik Derviş Boztosun

Abstract

Bu çalışmada, Türkiye hisse senedi piyasasının (İMKB 100) ile Asya Ülkeleri hisse senedi piyasaları; Avustralya (OLL ORDINARIES), Çin (Shanghai Composite), Hong Kong (Hang Seng), Hindistan (BSE 30), Endenezya (Jakarta Composite), Malezya(KLSE Composite), Japonya (Nikkei 225), Kore (Seoul Composite), Tayvan (Taiwan Weighted), Singapur (Straits Times) ülkelerinin endeksleri arasındaki uzun dönemli ilişki araştırılmıştır. Ocak 1998 ile Aralık 2009 dönemi için ülkelere ait hisse senedi endeks değerleri arasındaki uzun dönemli ilişki, Johensen-Juselius Eştümleşme testi ile analiz edilmiştir.  Türkiye ile Singapur, Malezya, Tayvan ve Kore borsaları arasında 1998–2009 döneminde uzun dönemli anlamlı bir ilişki mevcut iken, Türkiye borsası ile Japonya, Çin, Hong Kong, Hindistan, Avustralya ve Endonezya borsaları arasında belirtilen dönem için anlamlı bir ilişki mevcut değildir.

Keywords

Eştümleşme İMKB Asya Borsaları

References

  • BEKAERT, Geert; (1995), “Market Integration and Investment Barriers in Emerging Equity Markets”, The World Bank Economic Review, 9(1), ss.75–107.
  • BOSE, Suchismita ve Paramita MUKHERJEE ; (2005), “A Study of Interlinkages Between the Indian Stock Market and Some Other Emerging and Developed Markets”, İnternet Adresi: http://papers.ssrn.com/sol3/ papers.cfm? abstract _id=876397, Erişim Tarihi: 26.08.2010.
  • CHAMBET, Anthony ve Rajna GIBSON; (2005), “Financial Integration, Economic Instability and Trade Structure in Emerging Markets”, İnternet Adresi: SSRN Working Papers, http://papers.ssrn.com /sol3/ papers.cfm? abstract_id =658021, ss.1-44, ErişimTarihi: 27.08.2010.
  • CHAN, Kam C.; Benton E. GUP ve Pan MING-SHIUN; (1997), “International Stock Market Efficiency and Integration: A Study of Eighteen Nations”, Journal of Business Finance and Accounting, 24(6), ss.803-813.
  • CLICK, W. Reid ve G. Michael PLUMMER; (2005), “Stock Market Integration in ASEAN after the Asian Financial Crisis”, Journal of Asian Economics, 16(5), ss. 5–28
  • ÇITAK Levent ve Onur GÖZBAŞI; (2007), “İMKB İle Bazı Önde Gelen Gelişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Bütünleşmenin Temel En- deks Ve Ana Sektör Endeksleri Temelinde Analizi”Dokuz Eylül Üniver- sitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2), ss.249-271.
  • GHOSH Asim, Reza SAIDI ve Keith H. JOHNSON; (1999), “Who Moves the Asia-Pasific Stock Market- US or Japan? Emprical Evidence Based on The Theory of Cointegration”, The Financial Review, 34, ss.159-170.
  • HUANG, Jui-Chi; Ayşegül ATEŞ ve Tantatape BRAHMASRENE; (2006), “Measuring Emerging Stock Market Correlations Utilizing The Gravity Model,” Journal of Economics and Economic Education Research, 7(3), ss.71-86
  • JAIN, Surbhi ve N.R. BHANUMURTHY; (2005), “Financial Markets Integration in India,” Asia-Pacific Development Journal, 12(2), ss.15-32.
  • JOHANSEN, Soren; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamic Control, 12(1), ss.231-254.
  • JOHANSEN, Soren ve Katerina JUSELIUS; (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money”, Oxf. Bull. Econ. Stat., 52(2), ss.169-210.
  • KARGIN, Mahmut; (2008), “Hisse Senedi Piyasalarında Eşbütünleşme Analizi” Finans Politik & Ekonomik Yorumlar, 45(525), ss.85- 100.
  • KORAJCZYK, Robert.; (1996), “A Measure of Stock Market Integration for Developed and Emerging Markets”, The World Bank Economic Review, 10(2), ss.267–289.
  • KORKMAZ, Turhan; Selin ZAMAN ve Emrah ÇEVİK; (2008), “Türkiye’nin Av- rupa Birliği ve Yüksek Dış Ticaret Hacmine Sahip Ülke Borsaları İle En- tegrasyon İlişkisi”, ZKÜ Sosyal Bilimler Dergisi., 4(8), ss. 19-44.
  • KORKMAZ, Turhan; Selin ZAMAN ve Emrah ÇEVİK; (2009). “İMKB İle Ulus- lar Arası Hisse Senedi Piyasaları Arasındaki Entegrasyon İlişkisinin Yapı- sal Kırılma Testleri İle Analizi”, Akdeniz İ.İ.B.F. Dergisi, 17, ss.40-71.
  • PHILLIPS, Peter C.B ve Pierre PERRON; (1988), "Testing for a Unit Root in Time Series Regression", Biometrika, 75, ss.335–346
  • LEE, Jong-Wha; (2010), “Patterns and Determinants of Cross-Border Financial Asset Holdings in East Asia,” iç. Asian Regionalism in the World Economy, M. Kawai, J.-W. Lee, and P. Petri (Ed.), Edward Elgar, forthcoming in 2010.
  • LIU, Steven Zongshin; Kung-Cheng LIN ve Sophia Meiying LAİ; (2006), “Stock Market Interdepence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners”, Economics Bulletin, 7(5), ss. 1-15.
  • MARASHDEH, Hazem; (2005), “Stock Market Integration in the MENA Region: An Application of ARDL Bounds Testing Aproach”, University of Wollongong, Economic Working Paper Series, İnternet Adresi: www.uow.edu.au/ commerce/ econ / wpapers.html, Erişim Tarihi: 27.08.2010.
  • NARAYAN, Paresh K. ve Russel SMYTH; (2005), “Cointegration of Stock Markets Between New Zealand, Australia and the G7 Economies: Searching for Co-Movement under Structural Change”, Australian Economic Papers, 44(3), ss.231–247.
  • SEVÜKTEKİN, Mustafa ve Mehmet NARGELEÇEKENLER; (2008), “Türkiye ve Amerika'daki Hisse Senedi Piyasaları Arasındaki Dinamik İlişkinin Be- lirlenmesi”, Finans Politik & Ekonomik Yorumlar, 45(520), ss.15-25.
  • VURAL Bengü; (2010) “IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, 39(1), ss. 154-168.

Year 2010, Issue: 36, 57 - 71, 20.05.2015

Tuncay Çelik Derviş Boztosun

Abstract

References

  • BEKAERT, Geert; (1995), “Market Integration and Investment Barriers in Emerging Equity Markets”, The World Bank Economic Review, 9(1), ss.75–107.
  • BOSE, Suchismita ve Paramita MUKHERJEE ; (2005), “A Study of Interlinkages Between the Indian Stock Market and Some Other Emerging and Developed Markets”, İnternet Adresi: http://papers.ssrn.com/sol3/ papers.cfm? abstract _id=876397, Erişim Tarihi: 26.08.2010.
  • CHAMBET, Anthony ve Rajna GIBSON; (2005), “Financial Integration, Economic Instability and Trade Structure in Emerging Markets”, İnternet Adresi: SSRN Working Papers, http://papers.ssrn.com /sol3/ papers.cfm? abstract_id =658021, ss.1-44, ErişimTarihi: 27.08.2010.
  • CHAN, Kam C.; Benton E. GUP ve Pan MING-SHIUN; (1997), “International Stock Market Efficiency and Integration: A Study of Eighteen Nations”, Journal of Business Finance and Accounting, 24(6), ss.803-813.
  • CLICK, W. Reid ve G. Michael PLUMMER; (2005), “Stock Market Integration in ASEAN after the Asian Financial Crisis”, Journal of Asian Economics, 16(5), ss. 5–28
  • ÇITAK Levent ve Onur GÖZBAŞI; (2007), “İMKB İle Bazı Önde Gelen Gelişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Bütünleşmenin Temel En- deks Ve Ana Sektör Endeksleri Temelinde Analizi”Dokuz Eylül Üniver- sitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2), ss.249-271.
  • GHOSH Asim, Reza SAIDI ve Keith H. JOHNSON; (1999), “Who Moves the Asia-Pasific Stock Market- US or Japan? Emprical Evidence Based on The Theory of Cointegration”, The Financial Review, 34, ss.159-170.
  • HUANG, Jui-Chi; Ayşegül ATEŞ ve Tantatape BRAHMASRENE; (2006), “Measuring Emerging Stock Market Correlations Utilizing The Gravity Model,” Journal of Economics and Economic Education Research, 7(3), ss.71-86
  • JAIN, Surbhi ve N.R. BHANUMURTHY; (2005), “Financial Markets Integration in India,” Asia-Pacific Development Journal, 12(2), ss.15-32.
  • JOHANSEN, Soren; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamic Control, 12(1), ss.231-254.
  • JOHANSEN, Soren ve Katerina JUSELIUS; (1990), “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money”, Oxf. Bull. Econ. Stat., 52(2), ss.169-210.
  • KARGIN, Mahmut; (2008), “Hisse Senedi Piyasalarında Eşbütünleşme Analizi” Finans Politik & Ekonomik Yorumlar, 45(525), ss.85- 100.
  • KORAJCZYK, Robert.; (1996), “A Measure of Stock Market Integration for Developed and Emerging Markets”, The World Bank Economic Review, 10(2), ss.267–289.
  • KORKMAZ, Turhan; Selin ZAMAN ve Emrah ÇEVİK; (2008), “Türkiye’nin Av- rupa Birliği ve Yüksek Dış Ticaret Hacmine Sahip Ülke Borsaları İle En- tegrasyon İlişkisi”, ZKÜ Sosyal Bilimler Dergisi., 4(8), ss. 19-44.
  • KORKMAZ, Turhan; Selin ZAMAN ve Emrah ÇEVİK; (2009). “İMKB İle Ulus- lar Arası Hisse Senedi Piyasaları Arasındaki Entegrasyon İlişkisinin Yapı- sal Kırılma Testleri İle Analizi”, Akdeniz İ.İ.B.F. Dergisi, 17, ss.40-71.
  • PHILLIPS, Peter C.B ve Pierre PERRON; (1988), "Testing for a Unit Root in Time Series Regression", Biometrika, 75, ss.335–346
  • LEE, Jong-Wha; (2010), “Patterns and Determinants of Cross-Border Financial Asset Holdings in East Asia,” iç. Asian Regionalism in the World Economy, M. Kawai, J.-W. Lee, and P. Petri (Ed.), Edward Elgar, forthcoming in 2010.
  • LIU, Steven Zongshin; Kung-Cheng LIN ve Sophia Meiying LAİ; (2006), “Stock Market Interdepence and Trade Relations: A Correlation Test for the U.S. and Its Trading Partners”, Economics Bulletin, 7(5), ss. 1-15.
  • MARASHDEH, Hazem; (2005), “Stock Market Integration in the MENA Region: An Application of ARDL Bounds Testing Aproach”, University of Wollongong, Economic Working Paper Series, İnternet Adresi: www.uow.edu.au/ commerce/ econ / wpapers.html, Erişim Tarihi: 27.08.2010.
  • NARAYAN, Paresh K. ve Russel SMYTH; (2005), “Cointegration of Stock Markets Between New Zealand, Australia and the G7 Economies: Searching for Co-Movement under Structural Change”, Australian Economic Papers, 44(3), ss.231–247.
  • SEVÜKTEKİN, Mustafa ve Mehmet NARGELEÇEKENLER; (2008), “Türkiye ve Amerika'daki Hisse Senedi Piyasaları Arasındaki Dinamik İlişkinin Be- lirlenmesi”, Finans Politik & Ekonomik Yorumlar, 45(520), ss.15-25.
  • VURAL Bengü; (2010) “IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, 39(1), ss. 154-168.
There are 22 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Tuncay Çelik This is me

Derviş Boztosun This is me

Publication Date May 20, 2015
Published in Issue Year 2010 Issue: 36

Cite

APA Çelik, T., & Boztosun, D. (2015). TÜRKİYE BORSASI İLE ASYA ÜLKELERİ BORSALARI ARASINDAKİ ENTEGRASYON İLİŞKİSİ. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(36), 57-71.

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