BibTex RIS Cite

2008 Küresel Ekonomik Kriz Sonrası BIST ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi mi?

Year 2016, Issue: 618, 9 - 30, 01.08.2016

Abstract

Eşbütünleşme analizi, literatüre kazandırıldığı tarihten bugüne, uygulamalı birçok çalışmaya yöntem olarak girmiştir. Genellikle uluslararası piyasaların, belirli bir dönemde birbirleriyle olan etkileşimlerini ya da makroekonomik değişkenlerin, belirli bir varlık üzerindeki etkisini analiz etmek amacıyla yapılan eşbütünleşme analizleri kendisine son çeyrek yüzyılda geniş bir uygulama alanı bulmuştur. Birim kök içeren ancak aynı dereceden durağan olan iki serinin doğrusal bileşiminin durağan olmasıyla bu değişkenlerin uzun dönemde birlikte hareket ettiklerini öne süren yaklaşım, bu çalışmada, kriz sonrası dönemde BIST2 (Borsa İstanbul) endeksi ile dört farklı kıtadan Hindistan Bombay-BSE, Arjantin Merval, Japonya Nikkei, Fransa-CAC ve ABD DowJones endeksleri arasındaki ilişkilerin incelenmesi amacıyla kullanılmıştır. Çalışmada yöntem olarak önce, serilerin durağanlık özellikleri Genişletilmiş Dickey-Fuller birim kök sınaması ile araştırılmıştır. Ardından, BIST ile diğer borsa endeksleri arasındaki ilişkiler, Engle-Granger İki Aşamalı Tahmin Yöntemi kullanılarak incelenmiştir. Bulgular, kriz sonrası dönemde BIST’in, Dow Jones endeksi ile eşbütünleşik seriler olduğunu; kriz öncesi dönemin aksine Fransa ve Hindistan borsaları ile gelişmelere farklı tepkiler verdiğini göstermektedir

References

  • BAYRİ, Osman ve GÜLOĞLU, Bülent; (2005), “Hisse Senedi ve Yabancı Para Piyasalarının Entegrasyonu: Türkiye, AB ve ABD Örneği”, İktisat, İşletme ve Finans Dergisi, 20, ss. 13–34.
  • BENLİ KESKİN, Yasemin, BAŞÇI, Sıdıka ve DEĞİRMEN, Süleyman; (2012), “Common Stochastic Trend And Co-Integration in The Stock Exchange Markets: European Countries And Turkey”, African Journal of Business Management, 6 (7), ss. 2565-2577.
  • BERUMENT, Hakan ve İNCE, Onur; (2005), “Effect of S&P500’S return on emerging markets: Turkish experience”, Applied Financial Economics Letters, 1, ss. 59–64.
  • BLEY, Jorg; (2009), “European Stock Market Integration: Fact or Fiction?”, Journal of International Financial Markets, Institutions and Money, 19, ss. 759-776.
  • BOX, George E.P. ve JENKINS, Gwilym M., REINSEL, Gregory C.; (2015), Time Series Analysis, Forecasting and Control, Wiley, USA.
  • BOZKURT, Hilal Y.; (2007), Zaman Serileri Analizi, Ekin Kitabevi, Bursa.
  • CHAN, C. Kam, GUP, E. Benton ve MING-SHIUN Pan; (1997), “International Stock Market Efficiency and Integration: A Study of Eighteen Nations”, Journal of Business Finance and Accounting, 24(6), ss. 803-813.
  • CHANG, Tsangyao, NIEH, Chien-Chung. ve WEI, Ching-Chun; (2006) “Analysis of Long-run Benefits from International Equity Diversification between Taiwan and its Major European Trading Partners: An Empirical Note”, Applied Economics, 38, ss. 2227-2283.
  • DASGUPTA, Ranjan; (2013), “BRIC and US Integration and Dynamic Linkages an Empirical Study for International Diversification Strategy”, Interdisciplinary Journal of Contemporary Research in Business, 5(7), ss. 536-563.
  • ENGLE, Robert. F.; (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation”, Econometrica, 50, pp. 987-1008
  • ENGLE, R.F. ve GRANGER, C.W.J.; (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55, ss. 251–276.
  • ENGLE, Robert. F., GRANGER Clive W. J.; (1991), Long-Run Economic Relationships: Readings in Cointegration, Oxford University Press, San Diego.
  • ENGSTED, Tom ve LUND, Jesper; (1997), “Common Stochastic Trends in International Stock Prices and Dividents: An Example of Testing Overidentifying Restrictions on Multiple Cointegration Vectors”, Applied Financial Economics, 7, ss. 659-665.
  • GRANGER, John and MORGENSTERN, Oscar; (1970), Predictibility of Stock Market Prices, Heath Lexington Books, Lexington MA.
  • GRANGER, Clive W. J; (1981), “Some Properties of Time Series Data and Their Use in Econometric Model Specification”, Journal of Econometrics, C (XVI), pp. 121-130.
  • JOHANSEN, S; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(1), ss. 231-254.
  • JOHANSEN, S. ve JUSELIUS, K.; (1990) “Maximum Likelihood Estimation and Inference on Cointegration: With Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2); 169-210.
  • KARĞIN, Mahmut; (2008), “Hisse Senedi Piyasalarında Eşbütünleşme Analizi” Finans Politik & Ekonomik Yorumlar, 45 (525), ss. 85-96.
  • KÜÇÜKKAYA, Engin; (2009); “Diversification Benefits of Including Turkish and US Stocks In A Portfolio”, The International Journal of Economic and Social Research, 5(2), ss. 1-11.
  • MADDALA, G. S. ve KİM, I. M.; (1998), Unit Root Cointegration and Structural Change, Cambridge University Pres, Cambridge.
  • MALATYALI, Kamuran; (1998), ”Seçilmiş Borsa Endeks Getirileri Arasındaki Koentegrasyon İlişkileri Üzerine Bir Araştırma”, İMKB Dergisi, İMKB Yayınları, 2(7-8), ss.23-34.
  • NEWBOLD, Paul; (1995), Statistics For Business and Economics, Fouth Edition, Prentice Hall, ABD.
  • ONAY, Ceylan; (2006), “ A Co-integration Approach to European Union Integration: The Case of Acceding and Candidates Countries, European Integration”, Online Papers (ELOP), 10 (7), ss. 1-11.
  • PASKELIAN, G. Ohannes, NGUYEN, V. Chu, JONES, Kevin; (2013) “Did Financial Market Integration Really Happen in MENA Region? – An Analysis”, Journal of Economic Cooperation and Development, 34 (1), ss. 111-134.
  • PESARAN, Hashem M.., SHIN, Yongcheol, SMITH Richard .J.; (2001) “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, XVI, ss. 289- 326.
  • SEVÜKTEKİN Mustafa ve NARGELEÇEKENLER Mehmet; (2008), “Türkiye ve Amerika’daki Hisse Senedi Piyasaları Arasındaki Dinamik İlişkinin Belirlenmesi”, Finans Politik & Ekonomik Yorumlar, 45(520), ss. 15-24.
  • TARI Recep; (2005), Ekonometri, Umuttepe yayınları, İzmit. WANG, Peijie; (2009), Financial Econometrics, Routledge Advanced Texts in Economics and Finance, Routledge, USA.

The Relationship Between BIST and World Stock Indexes After 2008 Global Economic Crisis: Did the Crisis Effect This Relationship?

Year 2016, Issue: 618, 9 - 30, 01.08.2016

Abstract

Cointegration analysis has been heavily used as a methodology in empirical studies. Lately, cointegration analysis has been generally used to find out the relationship between international markets or the effects of macroeconomic variations on specific assets for a specific term. This approach proposes that the linear combination of two time series stationary at the same level and containing unit roots is stationary and these time series will have a long run equilibrium relationship. In this study, cointegration analysis is used to analyze the relationship between BIST and other stock indexes from different countries (India, Mumbai-BSE, Argentine-Merval, Japan-Nikkei, France-CAC and USA-DowJones) in the period after the 2008 crisis (2010-2011). So, the stationarity of the time series has been investigated by Augmented Dickey-Fuller (ADF) test first. Then the relationship has been analyzed via Engle-Granger (E-G) two steps cointegration methodology. Findings show that BIST and DowJones index have a strong relationship and this continues after the crisis too. While DowJones and BIST indexes are co-integrated series, France and India indexes started to give different responses to developments than BIST after the crisis

References

  • BAYRİ, Osman ve GÜLOĞLU, Bülent; (2005), “Hisse Senedi ve Yabancı Para Piyasalarının Entegrasyonu: Türkiye, AB ve ABD Örneği”, İktisat, İşletme ve Finans Dergisi, 20, ss. 13–34.
  • BENLİ KESKİN, Yasemin, BAŞÇI, Sıdıka ve DEĞİRMEN, Süleyman; (2012), “Common Stochastic Trend And Co-Integration in The Stock Exchange Markets: European Countries And Turkey”, African Journal of Business Management, 6 (7), ss. 2565-2577.
  • BERUMENT, Hakan ve İNCE, Onur; (2005), “Effect of S&P500’S return on emerging markets: Turkish experience”, Applied Financial Economics Letters, 1, ss. 59–64.
  • BLEY, Jorg; (2009), “European Stock Market Integration: Fact or Fiction?”, Journal of International Financial Markets, Institutions and Money, 19, ss. 759-776.
  • BOX, George E.P. ve JENKINS, Gwilym M., REINSEL, Gregory C.; (2015), Time Series Analysis, Forecasting and Control, Wiley, USA.
  • BOZKURT, Hilal Y.; (2007), Zaman Serileri Analizi, Ekin Kitabevi, Bursa.
  • CHAN, C. Kam, GUP, E. Benton ve MING-SHIUN Pan; (1997), “International Stock Market Efficiency and Integration: A Study of Eighteen Nations”, Journal of Business Finance and Accounting, 24(6), ss. 803-813.
  • CHANG, Tsangyao, NIEH, Chien-Chung. ve WEI, Ching-Chun; (2006) “Analysis of Long-run Benefits from International Equity Diversification between Taiwan and its Major European Trading Partners: An Empirical Note”, Applied Economics, 38, ss. 2227-2283.
  • DASGUPTA, Ranjan; (2013), “BRIC and US Integration and Dynamic Linkages an Empirical Study for International Diversification Strategy”, Interdisciplinary Journal of Contemporary Research in Business, 5(7), ss. 536-563.
  • ENGLE, Robert. F.; (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation”, Econometrica, 50, pp. 987-1008
  • ENGLE, R.F. ve GRANGER, C.W.J.; (1987), “Co-integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55, ss. 251–276.
  • ENGLE, Robert. F., GRANGER Clive W. J.; (1991), Long-Run Economic Relationships: Readings in Cointegration, Oxford University Press, San Diego.
  • ENGSTED, Tom ve LUND, Jesper; (1997), “Common Stochastic Trends in International Stock Prices and Dividents: An Example of Testing Overidentifying Restrictions on Multiple Cointegration Vectors”, Applied Financial Economics, 7, ss. 659-665.
  • GRANGER, John and MORGENSTERN, Oscar; (1970), Predictibility of Stock Market Prices, Heath Lexington Books, Lexington MA.
  • GRANGER, Clive W. J; (1981), “Some Properties of Time Series Data and Their Use in Econometric Model Specification”, Journal of Econometrics, C (XVI), pp. 121-130.
  • JOHANSEN, S; (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(1), ss. 231-254.
  • JOHANSEN, S. ve JUSELIUS, K.; (1990) “Maximum Likelihood Estimation and Inference on Cointegration: With Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2); 169-210.
  • KARĞIN, Mahmut; (2008), “Hisse Senedi Piyasalarında Eşbütünleşme Analizi” Finans Politik & Ekonomik Yorumlar, 45 (525), ss. 85-96.
  • KÜÇÜKKAYA, Engin; (2009); “Diversification Benefits of Including Turkish and US Stocks In A Portfolio”, The International Journal of Economic and Social Research, 5(2), ss. 1-11.
  • MADDALA, G. S. ve KİM, I. M.; (1998), Unit Root Cointegration and Structural Change, Cambridge University Pres, Cambridge.
  • MALATYALI, Kamuran; (1998), ”Seçilmiş Borsa Endeks Getirileri Arasındaki Koentegrasyon İlişkileri Üzerine Bir Araştırma”, İMKB Dergisi, İMKB Yayınları, 2(7-8), ss.23-34.
  • NEWBOLD, Paul; (1995), Statistics For Business and Economics, Fouth Edition, Prentice Hall, ABD.
  • ONAY, Ceylan; (2006), “ A Co-integration Approach to European Union Integration: The Case of Acceding and Candidates Countries, European Integration”, Online Papers (ELOP), 10 (7), ss. 1-11.
  • PASKELIAN, G. Ohannes, NGUYEN, V. Chu, JONES, Kevin; (2013) “Did Financial Market Integration Really Happen in MENA Region? – An Analysis”, Journal of Economic Cooperation and Development, 34 (1), ss. 111-134.
  • PESARAN, Hashem M.., SHIN, Yongcheol, SMITH Richard .J.; (2001) “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, XVI, ss. 289- 326.
  • SEVÜKTEKİN Mustafa ve NARGELEÇEKENLER Mehmet; (2008), “Türkiye ve Amerika’daki Hisse Senedi Piyasaları Arasındaki Dinamik İlişkinin Belirlenmesi”, Finans Politik & Ekonomik Yorumlar, 45(520), ss. 15-24.
  • TARI Recep; (2005), Ekonometri, Umuttepe yayınları, İzmit. WANG, Peijie; (2009), Financial Econometrics, Routledge Advanced Texts in Economics and Finance, Routledge, USA.
There are 27 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Tekiner Kaya

Publication Date August 1, 2016
Published in Issue Year 2016 Issue: 618

Cite

APA Kaya, T. (2016). 2008 Küresel Ekonomik Kriz Sonrası BIST ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi mi?. Finans Politik Ve Ekonomik Yorumlar(618), 9-30.
AMA Kaya T. 2008 Küresel Ekonomik Kriz Sonrası BIST ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi mi?. FPEYD. August 2016;(618):9-30.
Chicago Kaya, Tekiner. “2008 Küresel Ekonomik Kriz Sonrası BIST Ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi Mi?”. Finans Politik Ve Ekonomik Yorumlar, no. 618 (August 2016): 9-30.
EndNote Kaya T (August 1, 2016) 2008 Küresel Ekonomik Kriz Sonrası BIST ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi mi?. Finans Politik ve Ekonomik Yorumlar 618 9–30.
IEEE T. Kaya, “2008 Küresel Ekonomik Kriz Sonrası BIST ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi mi?”, FPEYD, no. 618, pp. 9–30, August 2016.
ISNAD Kaya, Tekiner. “2008 Küresel Ekonomik Kriz Sonrası BIST Ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi Mi?”. Finans Politik ve Ekonomik Yorumlar 618 (August 2016), 9-30.
JAMA Kaya T. 2008 Küresel Ekonomik Kriz Sonrası BIST ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi mi?. FPEYD. 2016;:9–30.
MLA Kaya, Tekiner. “2008 Küresel Ekonomik Kriz Sonrası BIST Ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi Mi?”. Finans Politik Ve Ekonomik Yorumlar, no. 618, 2016, pp. 9-30.
Vancouver Kaya T. 2008 Küresel Ekonomik Kriz Sonrası BIST ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi mi?. FPEYD. 2016(618):9-30.