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TÜRKİYE İLE EN BÜYÜK BEŞ TİCARET ORTAĞININ HİSSE SENEDİ PİYASALARI ARASINDAKİ ENTEGRASYON İLİŞKİSİNİN ANALİZİ: YAPISAL KIRILMALI BİRİM KÖK VE EŞBÜTÜNLEŞME ANALİZİ

Year 2010, Issue: 36, 261 - 279, 20.05.2015

Veli Yılancı , Zehra Öztürk

Abstract

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.

Keywords

Yapısal Değişme Birim Kök Testi Eşbütünleşme Testi Entegrasyon.

References

  • BEN-DAVID, Dan; Robin L. LUMSDAINE ve David H. PAPELL; (2003), “Unit Roots, Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks”, Empirical Economics, 28(2), ss. 303
  • BRACKER, Kevin; Diane Scott DOCKING ve Paul D. KOCH; (1999), “Economic Determinants of Evolution in International Stock Market Integration”, Journal of Empirical Finance, 6(1), ss. 1-27.
  • CAMPBELL, John Y. ve Pierre PERRON; (1991), “Pitfalls and Opportunities: What Macroeconomist Should Know About Unit Roots”, NBER Macroeconomics Annual, 6, ss. 141-220.
  • CHANG, Tsangyao ve Yang−Cheng LU; (2006), “Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle”, Economics Bulletin, 7(4), ss. 1-7.
  • CHANG, Tsangyao ve Han-Wen TZENG; (2009), “International Equity Diversification Between the United States and its Major Trading Partners: Nonparametric Cointegration Test”, International Research Journal of Finance and Economics, 32, ss. 139-147.
  • ÇITAK, Levent ve Onur GÖZBAŞI; (2007), “İMKB ile Bazı Önde Gelen Ge- lişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Bütünleşmenin Temel Endeks ve Ana Sektör Endeksleri Temelinde Analizi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2), ss. 249-271.
  • DICKEY, David A. ve Wayne A. FULLER; (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366), ss. 427- 431.
  • DIAMANDIS, Panayiotis F.; (2009), “International Stock Market Linkages: Evidence from Latin America”, Global Finance Journal, 20(1), ss. 13-30.
  • EFENDİOĞLU, Enver ve Demet YÖRÜK; (2005), “Avrupa Birliği Sürecinde Türk Hisse Senedi Piyasası ile Avrupa Birliği Hisse Senedi Piyasala- rının Bütünleşmesi: http://bit.ly/b56gH5, Erişim Tarihi: 12.08.2010. İMKB Örneği”, İnternet Adresi:
  • ENGLE, Robert F. ve Clive W. J. GRANGER; (1987), "Co-Integration and Error Correction: Representation, Estimation and Testing", Econometrica, 55(2), ss. 251-276.
  • GÖKÇEN, Süleyman ve Ahu ÖZTÜRKMEN; (1997), “Entegrasyon- Segmentasyon: İMKB”, İstanbul Menkul Kıymetler Borsası Dergi- si, 1(1), ss. 97-106.
  • GREGORY, Allan W. ve Bruce E. HANSEN; (1996), "Residual-Based Tests for Cointegration in Models With Regime Shifts”, Journal of Econometrics, 70(1), ss. 99-126.
  • HATEMI-J, Abdulnasser; (2008), “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”, Empirical Economics, 35 (3), ss. 497-505.
  • KANAS, Angelos; (1998), “Linkages Between the US and European Equity Markets: Further Evidence From Cointegration Tests”, Applied Financial Economics, 8, ss. 607-614.
  • KARĞIN, Mahmut; (2008), “Hisse Senedi Piyasalarında Eşbütünleşme Analizi” Finans Politik & Ekonomik Yorumlar, 45 (525), ss. 85-96.
  • KASMAN, Saadet ve Adnan KASMAN; (1997), “Gümrük Birliği Anlaşma- sı’nın Türkiye ile Avrupa’daki Temel Ticaret Ortaklarının Hisse Se- nedi Piyasaları Arasındaki Entegrasyonuna Etkisi”, İstanbul Menkul Kıymetler Borsası Dergisi, 10(39), ss. 43-59.
  • KORKMAZ, Turhan ve Emrah İ. ÇEVİK; (2008), “Türkiye ve Uluslararası Hisse Senedi Piyasaları Arasındaki Eşbütünleşme İlişkisi ve Portföy Tercihleri”, BDDK Bankacılık ve Finansal Piyasalar Dergisi, 2(1), ss. 59-84.
  • KORKMAZ, Turhan; Selin ZAMAN ve Emrah İ. ÇEVİK; (2008), “Türkiye’nin Avrupa Birliği ve Yüksek Dış Ticaret Hacmine Sahip Ülke Borsaları ile Entegrasyon İlişkisi”, Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi, 4(8), ss.19-44.
  • KORKMAZ, Turhan; Selin ZAMAN ve Emrah İ. ÇEVİK; (2009), “İMKB İle Uluslararası Hisse Senedi Piyasaları Arasındaki Entegrasyon İlişkisi- nin Yapısal Kırılma Testleri ile Analizi”, Akdeniz İ.İ.B.F. Dergisi, 17, ss. 40-71.
  • LIM, Lee Kian; (2007), “Linkages Between ASEAN Stock Markets: A Cointegration Approach”, MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, ss. 1818-1824.
  • LUMSDAINE, Robin L. ve David H. PAPELL; (1997), “Multiple Trend Breaks and the Unit-Root Hypothesis”, The Review of Economics and Statistics, 79(2), ss. 212-218.
  • MACKINNON, James G.; (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 11(6), ss. 601-618.
  • MANDACI, Pınar Evrim ve Dilvin TAŞKIN; (2005), “AB'ye Uyum Sürecinde İMKB'nin AB Piyasaları ile Karşılaştırılması”, Muhasebe ve Fi- nansman Dergisi, 26, ss.127-137.
  • MARASHDEH, Hazem; (2005), “Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Testing Approach”, İn- ternet Adresi: http://ro.uow.edu.au/commwkpapers/133/, Erişim Tari- hi: 15.12.2010.
  • NARAYAN, Paresh Kumar ve Russell SMYTH; (2005a), "Cointegration of Stock Markets Between New Zealand, Australia and the G-7 Economies: Searching for Co-Movement Under Structural Change”, Australian Economic Papers, 44(3), ss. 231-247.
  • NARAYAN, Paresh Kumar ve Russell SMYTH; (2005b), “Structural Breaks and Unit Roots in Australian Macroeconomic Time Series”, Pacific Economic Review, 10(4), ss. 421-437.
  • ONAY, Ceylan; (2006), "A Co-integration Analysis Approach to European Union Integration: The Case of Acceding and Candidate Countries", European Integration Online Papers, 10 (7).
  • PERRON, Pierre; (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57(6), ss. 1361-1401.
  • SAID, E. and David A. DICKEY; (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order”, Biometrika, 71(3), ss.599–607.
  • SCHWERT, William G.; (1989). “Tests for Unit-Roots: A Monte Carlo Investigation”, Journal of Business and Economic Statistics, 7(2), ss. 147-159.
  • SEN, Amit; (2003), “On Unit-Root Tests When the Alternative Is a Trend- Break Stationary Process”, Journal of Business & Economic Statistics, 21(1), ss. 174-184.
  • SERPER, Özer; (2000), Uygulamalı İstatistik I, Ezgi Kitabevi, Bursa, 364s.
  • SHAMSUDDIN, Abul F.M. ve Jae H. KIM; (2003), “Integration and Interdependence of Stock and Foreign Exchange Markets: an Australian Perspective”, Journal of International Financial Markets, Institutions and Money, 13(3), ss. 237-254.
  • TABAK, Benjamin Miranda ve Eduardo José Araşjo LIMA; (2002), “Causality and Cointegration in Stock Markets: the Case of Latin America”, Banco Central do Brasil Working Paper Series, 56, ss. 3-24.
  • TÜRKİYE CUMHURİYETİ MERKEZ BANKASI-ELEKTRONİK VERİ DAĞITIM SİSTEMİ, İnternet Adresi: http://evds.tcmb.gov.tr/ , Eri- şim Tarihi: 01.08.2010.
  • VURAN, Bengü; (2010), “İMKB 100 Endeksinin Uluslararası Hisse Senedi Endeksleri ile İlişkisinin Eşbütünleşim Analizi ile Belirlenmesi”, İs- tanbul Üniversitesi İşletme Fakültesi Dergisi, 39(1), ss. 154-168.
  • YAHOO FINANCE, İnternet Adresi: http://finance.yahoo.com, Erişim Tarihi: 01.08.2010.
  • ZIVOT, Eric ve ANDREWS, Donald W. K.; (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis”, Journal of Business & Economic Statistics, 10(3), ss. 251-270.

Year 2010, Issue: 36, 261 - 279, 20.05.2015

Veli Yılancı , Zehra Öztürk

Abstract

References

  • BEN-DAVID, Dan; Robin L. LUMSDAINE ve David H. PAPELL; (2003), “Unit Roots, Postwar Slowdowns and Long-Run Growth: Evidence from Two Structural Breaks”, Empirical Economics, 28(2), ss. 303
  • BRACKER, Kevin; Diane Scott DOCKING ve Paul D. KOCH; (1999), “Economic Determinants of Evolution in International Stock Market Integration”, Journal of Empirical Finance, 6(1), ss. 1-27.
  • CAMPBELL, John Y. ve Pierre PERRON; (1991), “Pitfalls and Opportunities: What Macroeconomist Should Know About Unit Roots”, NBER Macroeconomics Annual, 6, ss. 141-220.
  • CHANG, Tsangyao ve Yang−Cheng LU; (2006), “Equity Diversification in Two Chinese Share Markets: Old Wine and New Bottle”, Economics Bulletin, 7(4), ss. 1-7.
  • CHANG, Tsangyao ve Han-Wen TZENG; (2009), “International Equity Diversification Between the United States and its Major Trading Partners: Nonparametric Cointegration Test”, International Research Journal of Finance and Economics, 32, ss. 139-147.
  • ÇITAK, Levent ve Onur GÖZBAŞI; (2007), “İMKB ile Bazı Önde Gelen Ge- lişmiş ve Gelişmekte Olan Ülke Borsaları Arasındaki Bütünleşmenin Temel Endeks ve Ana Sektör Endeksleri Temelinde Analizi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 22(2), ss. 249-271.
  • DICKEY, David A. ve Wayne A. FULLER; (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366), ss. 427- 431.
  • DIAMANDIS, Panayiotis F.; (2009), “International Stock Market Linkages: Evidence from Latin America”, Global Finance Journal, 20(1), ss. 13-30.
  • EFENDİOĞLU, Enver ve Demet YÖRÜK; (2005), “Avrupa Birliği Sürecinde Türk Hisse Senedi Piyasası ile Avrupa Birliği Hisse Senedi Piyasala- rının Bütünleşmesi: http://bit.ly/b56gH5, Erişim Tarihi: 12.08.2010. İMKB Örneği”, İnternet Adresi:
  • ENGLE, Robert F. ve Clive W. J. GRANGER; (1987), "Co-Integration and Error Correction: Representation, Estimation and Testing", Econometrica, 55(2), ss. 251-276.
  • GÖKÇEN, Süleyman ve Ahu ÖZTÜRKMEN; (1997), “Entegrasyon- Segmentasyon: İMKB”, İstanbul Menkul Kıymetler Borsası Dergi- si, 1(1), ss. 97-106.
  • GREGORY, Allan W. ve Bruce E. HANSEN; (1996), "Residual-Based Tests for Cointegration in Models With Regime Shifts”, Journal of Econometrics, 70(1), ss. 99-126.
  • HATEMI-J, Abdulnasser; (2008), “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration”, Empirical Economics, 35 (3), ss. 497-505.
  • KANAS, Angelos; (1998), “Linkages Between the US and European Equity Markets: Further Evidence From Cointegration Tests”, Applied Financial Economics, 8, ss. 607-614.
  • KARĞIN, Mahmut; (2008), “Hisse Senedi Piyasalarında Eşbütünleşme Analizi” Finans Politik & Ekonomik Yorumlar, 45 (525), ss. 85-96.
  • KASMAN, Saadet ve Adnan KASMAN; (1997), “Gümrük Birliği Anlaşma- sı’nın Türkiye ile Avrupa’daki Temel Ticaret Ortaklarının Hisse Se- nedi Piyasaları Arasındaki Entegrasyonuna Etkisi”, İstanbul Menkul Kıymetler Borsası Dergisi, 10(39), ss. 43-59.
  • KORKMAZ, Turhan ve Emrah İ. ÇEVİK; (2008), “Türkiye ve Uluslararası Hisse Senedi Piyasaları Arasındaki Eşbütünleşme İlişkisi ve Portföy Tercihleri”, BDDK Bankacılık ve Finansal Piyasalar Dergisi, 2(1), ss. 59-84.
  • KORKMAZ, Turhan; Selin ZAMAN ve Emrah İ. ÇEVİK; (2008), “Türkiye’nin Avrupa Birliği ve Yüksek Dış Ticaret Hacmine Sahip Ülke Borsaları ile Entegrasyon İlişkisi”, Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi, 4(8), ss.19-44.
  • KORKMAZ, Turhan; Selin ZAMAN ve Emrah İ. ÇEVİK; (2009), “İMKB İle Uluslararası Hisse Senedi Piyasaları Arasındaki Entegrasyon İlişkisi- nin Yapısal Kırılma Testleri ile Analizi”, Akdeniz İ.İ.B.F. Dergisi, 17, ss. 40-71.
  • LIM, Lee Kian; (2007), “Linkages Between ASEAN Stock Markets: A Cointegration Approach”, MODSIM 2007 International Congress on Modelling and Simulation. Modelling and Simulation Society of Australia and New Zealand, ss. 1818-1824.
  • LUMSDAINE, Robin L. ve David H. PAPELL; (1997), “Multiple Trend Breaks and the Unit-Root Hypothesis”, The Review of Economics and Statistics, 79(2), ss. 212-218.
  • MACKINNON, James G.; (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, 11(6), ss. 601-618.
  • MANDACI, Pınar Evrim ve Dilvin TAŞKIN; (2005), “AB'ye Uyum Sürecinde İMKB'nin AB Piyasaları ile Karşılaştırılması”, Muhasebe ve Fi- nansman Dergisi, 26, ss.127-137.
  • MARASHDEH, Hazem; (2005), “Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Testing Approach”, İn- ternet Adresi: http://ro.uow.edu.au/commwkpapers/133/, Erişim Tari- hi: 15.12.2010.
  • NARAYAN, Paresh Kumar ve Russell SMYTH; (2005a), "Cointegration of Stock Markets Between New Zealand, Australia and the G-7 Economies: Searching for Co-Movement Under Structural Change”, Australian Economic Papers, 44(3), ss. 231-247.
  • NARAYAN, Paresh Kumar ve Russell SMYTH; (2005b), “Structural Breaks and Unit Roots in Australian Macroeconomic Time Series”, Pacific Economic Review, 10(4), ss. 421-437.
  • ONAY, Ceylan; (2006), "A Co-integration Analysis Approach to European Union Integration: The Case of Acceding and Candidate Countries", European Integration Online Papers, 10 (7).
  • PERRON, Pierre; (1989), “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis”, Econometrica, 57(6), ss. 1361-1401.
  • SAID, E. and David A. DICKEY; (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order”, Biometrika, 71(3), ss.599–607.
  • SCHWERT, William G.; (1989). “Tests for Unit-Roots: A Monte Carlo Investigation”, Journal of Business and Economic Statistics, 7(2), ss. 147-159.
  • SEN, Amit; (2003), “On Unit-Root Tests When the Alternative Is a Trend- Break Stationary Process”, Journal of Business & Economic Statistics, 21(1), ss. 174-184.
  • SERPER, Özer; (2000), Uygulamalı İstatistik I, Ezgi Kitabevi, Bursa, 364s.
  • SHAMSUDDIN, Abul F.M. ve Jae H. KIM; (2003), “Integration and Interdependence of Stock and Foreign Exchange Markets: an Australian Perspective”, Journal of International Financial Markets, Institutions and Money, 13(3), ss. 237-254.
  • TABAK, Benjamin Miranda ve Eduardo José Araşjo LIMA; (2002), “Causality and Cointegration in Stock Markets: the Case of Latin America”, Banco Central do Brasil Working Paper Series, 56, ss. 3-24.
  • TÜRKİYE CUMHURİYETİ MERKEZ BANKASI-ELEKTRONİK VERİ DAĞITIM SİSTEMİ, İnternet Adresi: http://evds.tcmb.gov.tr/ , Eri- şim Tarihi: 01.08.2010.
  • VURAN, Bengü; (2010), “İMKB 100 Endeksinin Uluslararası Hisse Senedi Endeksleri ile İlişkisinin Eşbütünleşim Analizi ile Belirlenmesi”, İs- tanbul Üniversitesi İşletme Fakültesi Dergisi, 39(1), ss. 154-168.
  • YAHOO FINANCE, İnternet Adresi: http://finance.yahoo.com, Erişim Tarihi: 01.08.2010.
  • ZIVOT, Eric ve ANDREWS, Donald W. K.; (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis”, Journal of Business & Economic Statistics, 10(3), ss. 251-270.
There are 38 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Veli Yılancı

Zehra Öztürk This is me

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

Cite

APA Yılancı, V., & Öztürk, Z. (2015). TÜRKİYE İLE EN BÜYÜK BEŞ TİCARET ORTAĞININ HİSSE SENEDİ PİYASALARI ARASINDAKİ ENTEGRASYON İLİŞKİSİNİN ANALİZİ: YAPISAL KIRILMALI BİRİM KÖK VE EŞBÜTÜNLEŞME ANALİZİ. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(36), 261-279.

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