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IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi

Year 2010, Volume: 39 Issue: 1, 154 - 168, 03.12.2009

Abstract

Globalization makes a positive effect on removing restrictions on international trade, capital flows, and together with financial liberalization, it brings about improvements and integration of financial markets by accelerating capital movements. As it is observed in current financial crisis, an economic or political event occurred in any country affects most of the world's capital markets substantially. ISE could not be exempted from the negative effects of crisis. The purpose of this study is to investigate the integration of Turkish equity market with major developed and developing international equity markets by using Johansen Cointegration tecnique. Eight equity markets, namely FTSE 100, Dax, CAC 40, S&P500, Nikkei 225, Bovespa, Merval, Mexico IPC are selected for this study. These markets are considered most influential across the globe. The integration is examined using daily data for the period of January 2006- January 2009. At the end of the study; Turkish equity market is found to be cointegrated with two devloped (FTSE 100, Dax ) and three developing ( Merval, Bovespa, IPC ) equity markets meaning that Turkish equity market can not offer good diversification alternative for investors investing in the aforementioned five markets.

References

  • H. Markowitz, Portfolio Selection. The Journal of Finance. Vol. 7, Iss.1, March: 77 - 91, (1952).
  • S. Zaman, IMKB’nin Uluslararası Hisse Senedi Piyasaları İle Entegrasyonu. Yüksek Lisans Tezi, Zonguldak Karaelmas Üniversitesi, Sosyal Bilimler Enstiüs, 2008.
  • J.E. Hunter, T .D. Coggin, An A nalysis o f t he D iversification Benefit f rom International Equity Investment. Journal of Portfolio Management. Vol.17, No.1, Fall, 33, (1990).
  • T. Korkmaz, A. Ceylan, Sermaye Piyasası ve Menkul Değer Analizi. Gözden Geçirilmiş 3. Baskı, Ekin Kitabevi, Bursa, 2006, s.12.
  • H.G. Grubel, Internationally Diversified Portfolios: Welfare Gains and Capital Flows. American Economic Review. Vol. 58, Iss. 5, December:1299 -1314, (1968).
  • C.W.J. Granger, O. Morgenstern, Predictibility of Stock Market Prices. Heath Lexington Books, Lexington MA, 1970.
  • H. Levy, M. Sarnat, International Diversification of Investment Portfolios. American Economic Review. Vol.60, 668-675, (1970).
  • D.M Ri pley, Systematic Elements i n the Linkage of National Stock Market Indices. Review of Ecnomics and Statistics. Vol.55, 356-361, (1973).
  • D.R Lessard, World, National and Industry Factors in Equity Returns. Journal of Finance. Vol.29, 379-391, (1974).
  • D.B Panto, V.P. Lessing, M. Joy, Comovement of International Equity Markets: A Taxonomic Approach. Journal of Financial and Quantitative Analysis. Vol.11, 415- 432, (1976).
  • J. Hilliard, The Relationship Between Equity Indices on World Exchanges. Journal of Finance. Vol. 4, 103-114, (1979).
  • K. Kasa, C ommon S tochastic T rends in I nternational S tock M arkets. Journal of Monetary Economics. Vol.29, 95-124, (1992).
  • K.C. Chan, E.G. Benton, M. Pan, International Stock Market Efficiency and Integration: A Study of Eighteen N ations. Journal of Business Finance and Accounting. Vol.24 (6), July 1997, 803-813, (1997).
  • A. Ghosh, R. Saidi, K.H. Johnson, Who Moves the Asia-Pasific Stock Market- US or Japan? E mprical Evidence B ased on The Theory of Cointegration. The Financial Review. Vol.34, 159-170, (1999).
  • C. Jochum, G. Kirchgässner, M. Platek, A L ong–Run Relationship between E astern European Stock Markets? Cointegration and The 1997/98 Crisis in Emerging Markets. Weltwirtschaftliches Archiv. 1999, Vol.135(3), 455-479,(1999).
  • B.N. Huang, C.W. Yang, J .S. H u, Causality and C ointegration o f Stock M arkets among the United States, Japan and the South China Growth Triangle. International Review of Financial Analysis. Vol.9, 281-297, (2000).
  • F. Hussain, R . Saidi, T he Integration o f The P akistani E quity Market w ith International Equity Markets: An Investigation. Journal of International Development. 2000, Vol.12, 207-218, (2000).
  • P.L Siklos, P. Ng, Integration among Asia-Pasific and International Stock Markets: Common Stochastic Trends and Regime Shifts. Pasific Economic Review. Vol.6, 89- 110, (2001).
  • P.K Narayan, R. Smyth, Modelling The Linkage Between The Australian and G7 Stock Markets: Common Stochastic Trends and Regime Shifts. Applied Financial Economics. Vol.14, 991-1004, (2004).
  • E. Efendioğlu, D. Yörük, Avrupa Birliği Sürecinde Türk Hisse Senedi Piyasası ile Avrupa Birliği Hisse Senedi Piyasalarının Bütünleşmesi: IMKB Örneği,(2005), http://www.tcmb.gov.tr/yeni/iletisimgm/Enver_Efendioglu-Demet_Yoruk.pdf, (Erişim Tarihi:12.03.2009)
  • N.B. Ceylan, G -7 Ülkelerinin Borsalarının İstanbul Menkul Kıymetler Borsası Üzerindeki Etkileri. İMKB Dergisi. Yıl: 8 Sayı:32, Nisan, 37-55, (2006).
  • C. Onay, A Cointegration Analysis Approach to European Union Integration: The Case of Acceeding and Candidate Countries. European Integration Online Papers. Vol.10, (2006).
  • S. Elfakhani, M. Arayssi, A.H. Smahta, Globalization and Investment Opportunities: A Cointegration Study of Arab, U.S, and Emerging Stock Markets. The Financial Review. 43, 591-611, (2008).
  • N. Küçükçolak, Cointegration of The Turkish Equity Market with Greek and Other European U nion E quity M arkets. International Research Joural of Finance and Economics. Issue 13, 58-73, (2008).
  • T. Korkmaz, S. Zaman, E. Çevik, Türkiye’nin Avrupa Birliği ve Yüksek Dış Ticaret Hacmine Sahip Ülke Borsaları İle Entegrasyon İlişkisi. ZKÜ Sosyal Bilimler Dergisi. Cilt 4, Sayı 8, 19-44, (2008).
  • F.P. Diamandis, International Stock Market Linkages: Evidence from Latin Amerika. Global Finance Journal. (2009), doi: 10. 1016/j.gfj.2009.03.005.
  • (Çevrimdışı):http://www.djindexes.com/mdsidx/downloads/brochure_info/Dow_Jon es_Industrial_Average_Brochure.pdf, p.3 (Erişim:26.04.2009).
  • A. Kutlar, Uygulamalı Ekonometri. Nobel Yayın Dağım, 2. Baskı, İstanbul, 2005, s.357.
  • C. Brooks, Introductory Econometrics for Finance. Cambridge University Press, New York, 2008, p.330.
  • C. Brooks, Introductory Econometrics for Finance. Cambridge University Press, New York, 2008, p. 336.
  • S.G. Hall, The Effect of Varying Lenght VAR Models on The Maximum Likelihood Estimates of Cointegrating Vectors. Scottish Journal of Political Economy. Vol.38, 317-323, (1991).

The determination of long-run relationship between ISE 100 and international equity indices using cointegration analysis

Year 2010, Volume: 39 Issue: 1, 154 - 168, 03.12.2009

Abstract

Globalization makes a positive effect on removing restrictions on international trade, capital flows, and together with financial liberalization, it brings about improvements and integration o f financial markets b y accelerating c apital m ovements. A s i t is ob served i n current financial crisis, an economic or political event occurred in any country affects most of th e w orld’s c apital m arkets s ubstantially. ISE could n ot be e xempted from th e negative effects of crisis. The purpose of this study is to investigate the integration of Turkish equity market with major developed and developing international equity markets by using Johansen Cointegration tecnique. Eight equity markets, namely FTSE 100, Dax, CAC 40, S&P500, Nikkei 225, Bovespa, Merval, Mexico IPC are selected for this study. These markets are considered most influential a cross t he g lobe. The i ntegration is examined u sing daily data for the period of January 2006- January 2009. At the end o f the study; Turkish equity market is found to be cointegrated with two devloped (FTSE 100, Dax ) a nd three developing ( Merval, Bovespa, IPC ) equity markets meaning that Turkish equity market can not offer good diversification alternative for investors investing in the aforementioned five markets.

References

  • H. Markowitz, Portfolio Selection. The Journal of Finance. Vol. 7, Iss.1, March: 77 - 91, (1952).
  • S. Zaman, IMKB’nin Uluslararası Hisse Senedi Piyasaları İle Entegrasyonu. Yüksek Lisans Tezi, Zonguldak Karaelmas Üniversitesi, Sosyal Bilimler Enstiüs, 2008.
  • J.E. Hunter, T .D. Coggin, An A nalysis o f t he D iversification Benefit f rom International Equity Investment. Journal of Portfolio Management. Vol.17, No.1, Fall, 33, (1990).
  • T. Korkmaz, A. Ceylan, Sermaye Piyasası ve Menkul Değer Analizi. Gözden Geçirilmiş 3. Baskı, Ekin Kitabevi, Bursa, 2006, s.12.
  • H.G. Grubel, Internationally Diversified Portfolios: Welfare Gains and Capital Flows. American Economic Review. Vol. 58, Iss. 5, December:1299 -1314, (1968).
  • C.W.J. Granger, O. Morgenstern, Predictibility of Stock Market Prices. Heath Lexington Books, Lexington MA, 1970.
  • H. Levy, M. Sarnat, International Diversification of Investment Portfolios. American Economic Review. Vol.60, 668-675, (1970).
  • D.M Ri pley, Systematic Elements i n the Linkage of National Stock Market Indices. Review of Ecnomics and Statistics. Vol.55, 356-361, (1973).
  • D.R Lessard, World, National and Industry Factors in Equity Returns. Journal of Finance. Vol.29, 379-391, (1974).
  • D.B Panto, V.P. Lessing, M. Joy, Comovement of International Equity Markets: A Taxonomic Approach. Journal of Financial and Quantitative Analysis. Vol.11, 415- 432, (1976).
  • J. Hilliard, The Relationship Between Equity Indices on World Exchanges. Journal of Finance. Vol. 4, 103-114, (1979).
  • K. Kasa, C ommon S tochastic T rends in I nternational S tock M arkets. Journal of Monetary Economics. Vol.29, 95-124, (1992).
  • K.C. Chan, E.G. Benton, M. Pan, International Stock Market Efficiency and Integration: A Study of Eighteen N ations. Journal of Business Finance and Accounting. Vol.24 (6), July 1997, 803-813, (1997).
  • A. Ghosh, R. Saidi, K.H. Johnson, Who Moves the Asia-Pasific Stock Market- US or Japan? E mprical Evidence B ased on The Theory of Cointegration. The Financial Review. Vol.34, 159-170, (1999).
  • C. Jochum, G. Kirchgässner, M. Platek, A L ong–Run Relationship between E astern European Stock Markets? Cointegration and The 1997/98 Crisis in Emerging Markets. Weltwirtschaftliches Archiv. 1999, Vol.135(3), 455-479,(1999).
  • B.N. Huang, C.W. Yang, J .S. H u, Causality and C ointegration o f Stock M arkets among the United States, Japan and the South China Growth Triangle. International Review of Financial Analysis. Vol.9, 281-297, (2000).
  • F. Hussain, R . Saidi, T he Integration o f The P akistani E quity Market w ith International Equity Markets: An Investigation. Journal of International Development. 2000, Vol.12, 207-218, (2000).
  • P.L Siklos, P. Ng, Integration among Asia-Pasific and International Stock Markets: Common Stochastic Trends and Regime Shifts. Pasific Economic Review. Vol.6, 89- 110, (2001).
  • P.K Narayan, R. Smyth, Modelling The Linkage Between The Australian and G7 Stock Markets: Common Stochastic Trends and Regime Shifts. Applied Financial Economics. Vol.14, 991-1004, (2004).
  • E. Efendioğlu, D. Yörük, Avrupa Birliği Sürecinde Türk Hisse Senedi Piyasası ile Avrupa Birliği Hisse Senedi Piyasalarının Bütünleşmesi: IMKB Örneği,(2005), http://www.tcmb.gov.tr/yeni/iletisimgm/Enver_Efendioglu-Demet_Yoruk.pdf, (Erişim Tarihi:12.03.2009)
  • N.B. Ceylan, G -7 Ülkelerinin Borsalarının İstanbul Menkul Kıymetler Borsası Üzerindeki Etkileri. İMKB Dergisi. Yıl: 8 Sayı:32, Nisan, 37-55, (2006).
  • C. Onay, A Cointegration Analysis Approach to European Union Integration: The Case of Acceeding and Candidate Countries. European Integration Online Papers. Vol.10, (2006).
  • S. Elfakhani, M. Arayssi, A.H. Smahta, Globalization and Investment Opportunities: A Cointegration Study of Arab, U.S, and Emerging Stock Markets. The Financial Review. 43, 591-611, (2008).
  • N. Küçükçolak, Cointegration of The Turkish Equity Market with Greek and Other European U nion E quity M arkets. International Research Joural of Finance and Economics. Issue 13, 58-73, (2008).
  • T. Korkmaz, S. Zaman, E. Çevik, Türkiye’nin Avrupa Birliği ve Yüksek Dış Ticaret Hacmine Sahip Ülke Borsaları İle Entegrasyon İlişkisi. ZKÜ Sosyal Bilimler Dergisi. Cilt 4, Sayı 8, 19-44, (2008).
  • F.P. Diamandis, International Stock Market Linkages: Evidence from Latin Amerika. Global Finance Journal. (2009), doi: 10. 1016/j.gfj.2009.03.005.
  • (Çevrimdışı):http://www.djindexes.com/mdsidx/downloads/brochure_info/Dow_Jon es_Industrial_Average_Brochure.pdf, p.3 (Erişim:26.04.2009).
  • A. Kutlar, Uygulamalı Ekonometri. Nobel Yayın Dağım, 2. Baskı, İstanbul, 2005, s.357.
  • C. Brooks, Introductory Econometrics for Finance. Cambridge University Press, New York, 2008, p.330.
  • C. Brooks, Introductory Econometrics for Finance. Cambridge University Press, New York, 2008, p. 336.
  • S.G. Hall, The Effect of Varying Lenght VAR Models on The Maximum Likelihood Estimates of Cointegrating Vectors. Scottish Journal of Political Economy. Vol.38, 317-323, (1991).
There are 31 citations in total.

Details

Primary Language Turkish
Journal Section Finance
Authors

Bengü Vuran

Publication Date December 3, 2009
Published in Issue Year 2010 Volume: 39 Issue: 1

Cite

APA Vuran, B. (2009). IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 39(1), 154-168.
AMA Vuran B. IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi. December 2009;39(1):154-168.
Chicago Vuran, Bengü. “IMKB 100 Endeksinin Uluslararası Hisse Senedi Endeksleri Ile ilişkisinin eşbütünleşim Analizi Ile Belirlenmesi”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 39, no. 1 (December 2009): 154-68.
EndNote Vuran B (December 1, 2009) IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi 39 1 154–168.
IEEE B. Vuran, “IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 39, no. 1, pp. 154–168, 2009.
ISNAD Vuran, Bengü. “IMKB 100 Endeksinin Uluslararası Hisse Senedi Endeksleri Ile ilişkisinin eşbütünleşim Analizi Ile Belirlenmesi”. İstanbul Üniversitesi İşletme Fakültesi Dergisi 39/1 (December 2009), 154-168.
JAMA Vuran B. IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009;39:154–168.
MLA Vuran, Bengü. “IMKB 100 Endeksinin Uluslararası Hisse Senedi Endeksleri Ile ilişkisinin eşbütünleşim Analizi Ile Belirlenmesi”. İstanbul Üniversitesi İşletme Fakültesi Dergisi, vol. 39, no. 1, 2009, pp. 154-68.
Vancouver Vuran B. IMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi. İstanbul Üniversitesi İşletme Fakültesi Dergisi. 2009;39(1):154-68.