İMKB İLE GELİŞMEKTE OLAN ÜLKELERİN HİSSE SENEDİ PİYASALARININ ETKİLEŞİMİ: EŞBÜTÜNLEŞME VE NEDENSELLİK YAKLAŞIMI

Yıl 2010, Sayı: 35, 99 - 118, 16.05.2015

Onur Gözbaşı

Öz

Bu çalışmanın amacı, İMKB ile gelişmekte olan yedi ülkenin (Arjantin, Brezilya, Meksika, Hindistan, Malezya, Macaristan ve Mısır) hisse senedi piyasalarıarasındaki etkileşimi incelemektir. Bu amaç doğrultusunda, Aralık 1995-Aralık 2008 dönemine ait haftalık veriler kullanmak suretiyle eşbütünleşme ve nedensellik analizlerine başvurulmaktadır. Elde edilen sonuçlar İMKB ile Brezilya, Hindistan ve Mısır borsalarıarasındaki uzun dönemli ilişkiyi ortaya koyarken; kısa dönemde söz konusu 3 ülkenin yanısıra İMKB ile Meksika ve Macaristan borsaları arasındaki etkileşime işaret etmektedir. Buna göre İMKB hala bazıgelişmekte olan ülke borsalarından ba-ğımsızdır ve yatırımcılara uluslararasıçeşitlendirme imkanısunabilecek bir borsa konumundadır.

Anahtar Kelimeler

Hisse Senedi Piyasaları, Bütünleşme, Gelişmekte Olan Piyasalar, Sınırlar Testi Eşbütünleşme Yaklaşımı, Toda-Yamamoto Nedensellik Testi.

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