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Abstract

As the contagion effect of crisis, declines in the US markets caused sharp decreases in the developed markets. It also caused similar effects at the developing markets with some time lags. Decoupling hypothesis suggests that if a greater economy to come under an economic crises, it would not significantly affect other countries at it has been before. According to this theorem, since other countries keep growing individually, even though a major country is experiencing economic crisis, overall effect on the global economy would not be a significant slowdown. In this paper, we analyzed the short term and long term correlations of the US, BRIC and G7 countries’ stock indices. We used monthly data set of 2003:01-2012:02 studied countries’ stock indices for Engle Granger and Johansen cointegration analysis. As a result, we recognized some findings in developing markets that supports the decoupling hypothesis in the studied period

Keywords

• Crisis, Decoupling, Recoupling,Emerging Markets,BRIC,G7 Countries

YÜKSELEN PİYASALAR AYRIŞIYOR MU?

Abstract

Krizin yaşanan bulaşıcı etkisiyle birlikte ABD borsasında yaşanan düşüşler gelişmiş ülkelerin borsalarında sert etkiler, gelişmekte olan ülke borsalarında da gecikmeli olarak da olsa sert düşüşler oluşturmuştur. Ayrışma hipotezi büyük bir dünya gücünün ekonomik krize girmiş olmasının eskiden olabileceği gibi tüm dünya ekonomilerini sarsmayacağına ilişkin teoremdir. Bu teoreme göre kriz içersine girmeyen diğer ekonomiler bağımsız olarak gelişmeye devam edecekleri için ortalamada dünya çapında bir düşüş yaşanmaz. Bu çalışmada da ayrışma teorisi doğrultusunda, ABD ile BRIC ve G7 ülkeleri borsa endeksleri arasındaki kısa ve uzun dönem denge ilişkisi analiz edilmiştir. Bu amaçla 2003 Ocak ayı ile 2012 Şubat ayını kapsayan dönemde ülkelerin endeks değerleri Engle Granger ve Johansen eşbütünleşme analizi ile incelenmiştir. Sonuç olarak, yükselen piyasalarda ele alınan dönemde ayrışma hipotezini destekleyen bulgular elde edilmiştir.

Keywords

• Decoupling-Ayrışma, Recoupling, BRIC ülkeleri, G7 ülkeleri, Eşbütünleşme

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