Year 2010,
Volume: 1 Issue: 88, 97 - 113, 01.07.2010
Abstract
Keywords
References
- Al-Fayoumi, N.A., B.A. Khamees, ve A.A. Al-Thuneibat. 2009. Information Transmission among Stock Return Indexes: Evidence from the Jordanian Stock Market. International Research Journal of Finance and Economics 24: 194- 208.
- Bayramoglu, M.F., ve M. Pekkaya. 2010. İMKB Tarafından Hesaplanan En- dekslerde Yeni Gelişmeler ve İMKB Şehir Endeksleri. Journal of Accounting and Finance 200- 215.
- Berument, H., Y. Akdi, ve C. Atakan. 2005. An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes. Studies in Nonlinear Dynamics & Economet- rics 9(3): 1- 12.
- Bonga, L.B., ve M. Makakabule. 2010. Modeling Stock Returns in the South African Stock Exchange: A Nonlinear Approach. European Journal of Eco- nomics, Finance and Administrative Sciences 19: 168- 177.
- Enders,W., ve P. Siklos. 2001. Cointegration and threshold adjustment. Jour- nal of Business and Economic Statistics 19: 166- 176.
- Engle, R.E., ve C.W.J. Granger. 1987. Cointegration and error correction: representation, estimation, and testing. Econometrica 55: 251- 76.
- Guidi, F. 2009. Volatility and Long-Term Relations in Equity Markets: Empiri- cal Evidence from Germany, Switzerland, and the UK. The Icfai University Journal of Financial Economics 7(2): 7- 39.
- Ibrahim, M.H., ve M.S. Habibullah. 2010. Stock market and aggregate con- sumption asymmetry: evidence from Malaysia. Studies in Economics and Finance 27(1): 19- 29.
- Lim, K.P., M.S. Habibullah, ve M.J. Hinich. 2009. The Weak-form Efficiency of Chinese Stock Markets: Thin Trading, Nonlinearity and Episodic Serial Dependencies. Journal of Emerging Market Finance 8(2): 133- 163.
- MacKinnon, J.G. 2010. Critical Values for Cointegration Tests. Queen’s Economics Department Working Paper 1227.
- Menezes, R., A. Dionisio, ve D.A. Mendes. 2004. Asymmetric price transmis- sion within the Portuguese stock market. Physica A 344: 312–316.
- Menezes, R., N.B. Ferreira, ve D.A. Mendes. 2006. Co-Movements and Asymmetric Volatility in the Portuguese and U.S. Stock Markets. Nonlinear Dynamics 44: 359- 366.
- Ramanathan, R. 2002. Introductory Econometrics with Applications. 5th edi- tion. South- Western, Ohio.
- Shen, C.H., C.F. Chen, ve L.H. Chen. 2007. An empirical study of the asymmetric cointegration relationships among the Chinese stock markets. Applied Economics 39(11): 1433- 1445.
Year 2010,
Volume: 1 Issue: 88, 97 - 113, 01.07.2010
Abstract
Bu makale, İstanbul Menkul Kıymetler Borsası’na (İMKB) ait farklı sektör endeksleri arasındaki simetrik ve asimetrik eştümleşme ilişkilerini incelemektedir. Çalışmaya konu olan endeksler ISE100, sanayi, mali, hizmetler ve teknolojidir. Bu çalışmayı yapmak için Engle Granger eştümleşme ile Ender ve Siklos (2001) eşikli kendiyle bağlaşımlı (EKB) ve moment-eşikli kendiyle bağlaşımlı (M-EKB) yöntemleri kullanılmıştır. Makalenin temel bulgusu sektör endeksleri arasında kısa ve uzun dönemli istatistiksel bağıntının olmadığıdır. Bu sonuç İMKB’nda sektör endeksleri arasında portföy çeşitlendirmesinin getiri sağlayabileceğini göstermektedir
References
- Al-Fayoumi, N.A., B.A. Khamees, ve A.A. Al-Thuneibat. 2009. Information Transmission among Stock Return Indexes: Evidence from the Jordanian Stock Market. International Research Journal of Finance and Economics 24: 194- 208.
- Bayramoglu, M.F., ve M. Pekkaya. 2010. İMKB Tarafından Hesaplanan En- dekslerde Yeni Gelişmeler ve İMKB Şehir Endeksleri. Journal of Accounting and Finance 200- 215.
- Berument, H., Y. Akdi, ve C. Atakan. 2005. An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes. Studies in Nonlinear Dynamics & Economet- rics 9(3): 1- 12.
- Bonga, L.B., ve M. Makakabule. 2010. Modeling Stock Returns in the South African Stock Exchange: A Nonlinear Approach. European Journal of Eco- nomics, Finance and Administrative Sciences 19: 168- 177.
- Enders,W., ve P. Siklos. 2001. Cointegration and threshold adjustment. Jour- nal of Business and Economic Statistics 19: 166- 176.
- Engle, R.E., ve C.W.J. Granger. 1987. Cointegration and error correction: representation, estimation, and testing. Econometrica 55: 251- 76.
- Guidi, F. 2009. Volatility and Long-Term Relations in Equity Markets: Empiri- cal Evidence from Germany, Switzerland, and the UK. The Icfai University Journal of Financial Economics 7(2): 7- 39.
- Ibrahim, M.H., ve M.S. Habibullah. 2010. Stock market and aggregate con- sumption asymmetry: evidence from Malaysia. Studies in Economics and Finance 27(1): 19- 29.
- Lim, K.P., M.S. Habibullah, ve M.J. Hinich. 2009. The Weak-form Efficiency of Chinese Stock Markets: Thin Trading, Nonlinearity and Episodic Serial Dependencies. Journal of Emerging Market Finance 8(2): 133- 163.
- MacKinnon, J.G. 2010. Critical Values for Cointegration Tests. Queen’s Economics Department Working Paper 1227.
- Menezes, R., A. Dionisio, ve D.A. Mendes. 2004. Asymmetric price transmis- sion within the Portuguese stock market. Physica A 344: 312–316.
- Menezes, R., N.B. Ferreira, ve D.A. Mendes. 2006. Co-Movements and Asymmetric Volatility in the Portuguese and U.S. Stock Markets. Nonlinear Dynamics 44: 359- 366.
- Ramanathan, R. 2002. Introductory Econometrics with Applications. 5th edi- tion. South- Western, Ohio.
- Shen, C.H., C.F. Chen, ve L.H. Chen. 2007. An empirical study of the asymmetric cointegration relationships among the Chinese stock markets. Applied Economics 39(11): 1433- 1445.
There are 14 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | July 1, 2010 |
| Submission Date | December 19, 2015 |
| Published in Issue | Year 2010 Volume: 1 Issue: 88 |
Cite
The scope of the Journal of Finance Letters consists of studies in the fields of economics, public finance, finance, and banking.