International Stock Market Dependencies: The Causality Approach

Year 2025, , 208 - 219, 15.04.2025

Hilal Öztürk Savaş , M. Koray Çetin

https://doi.org/10.16951/trendbusecon.1475528

Abstract

The research explores interconnections among the nation's stock exchanges over a more extensive time frame using indices. Factor analysis and Granger causality analysis were conducted on the weekly returns of the stock market index for selected countries. When factor analysis is applied to the stock markets of countries, the first observation is that the first cluster comprises the stock markets of developed countries. Emerging and vulnerable economies comprise the third group, while Asian markets represent the second category. Next, the causal relationships between countries are examined and it is found that there are significant integration relationships, both in the level of integration within each factor and in the integration between countries selected from different factors. As anticipated, dominant markets were present within each factor group, and the USA and UK held a dominant position in nearly all countries regardless of their factor distinctions.

Keywords

International Financial Dependencies, Financial Markets, Factor Analysis, Granger Causality Test

Uluslararası Borsa Bağımlılıkları: Nedensellik Yaklaşımı

Abstract

Araştırma, borsa endekslerini kullanarak geniş bir zaman dilimi boyunca ülke borsaları arasındaki etkileşimi ele almaktadır. Seçilmiş borsa endeksleri haftalık getirilerine faktör analizi ve Granger nedensellik analizi uygulanmıştır. Faktör analizinde birinci küme gelişmiş ülke borsalarından oluşmuştur. İkinci küme bölgesel ayrışmayı işaret edecek şekilde Asya ülkelerinden oluşurken gelişmekte olan ve kırılgan ekonomiler ise üçüncü grupta yer almıştır. Daha sonra ülkeler arasındaki nedensel ilişkileri hem her faktörün kendi içinde hem de farklı faktörlerden seçilen ülkeler arasında ele alınmış ve birçok anlamlı ilişki tespit edilmiştir. Her faktör grubunda baskın piyasaların olduğu ve faktör ayrımı olmadan ABD ve İngiltere’nin neredeyse tüm ülkelerde baskın konumda olduğu gözlemlenmiştir.

Keywords

Uluslararası Finansal Bağımlılıklar, Finansal Piyasalar, Faktör Analizi, Granger Nedensellik Testi

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