Long-Term Relationship Between G-7 Country's Stock Markets and Bist100:Fourier Approach

Yıl 2020, Cilt: 22 Sayı: 1, 24 - 34, 26.06.2020

Hasan Ayaydın , Abdulkadir Barut , Fahrettin Pala

Öz

The purpose of this study is to examine the long-term relationship between the developed capital markets and BIST-100 for the period of 2000: M1-2018: M1. For this purpose Banarje et al. (2017) Fourier ADL cointegration analysis and Toda and Yamamoto (1995) causality analyzes were used. According to Fourier ADL results; BİST100 and the S&P /TSX, BIST100 and DOW JONES, BIST100 and NASDAQ, BIST100 and the S&P500, BIST100 and while there is a cointegration relationship between the DAX index, BIST100 with nikeı225, BIST100 and the FTSE100, BISST100 and CAC4010, and BIST100 and a long-term between FTSEMIB index of no relationship was found. According to Toda and Toda and Yamamoto (1995) causality results; BİST100 (Turkey) and Dow Jones (USA), CAC40 (France), DAX (Germany), the FTSE100 (England), bi-directional causality between indices, BİST100 (Turkey), FTSEMIB (Italy) between one BİST100 directional causality from the ftsemıb relationship has been determined. BIST 100 (Turkey) 225 Nike (Japan), the S & P500 (USA), the S&P/TSX (Canada), NASDAQ (USA) causal relationship was found between indexes.

Anahtar Kelimeler

Fouriercointegration, BIST100, G-7 Countries

Long-Term Relationship Between G-7 Country's Stock Markets And Bist100: Fourier Approach

Öz

Bu çalışmanın amacı, 2000: M1-2018: M1 dönemi için gelişmiş sermaye piyasaları ile BIST-100 arasındaki uzun vadeli ilişkiyi incelemektir. Bu amaçlal Banarje vd. (2017) Fourier ADL eşbütünleşme analizi ve Toda ve Yamamoto (1995) nedensellik analizleri kullanılmıştır. Fourier ADL sonuçlarına göre; BİST100 ve S&P/TSX, BIST100 ve DOW JONES, BIST100 ve NASDAQ, BIST100 ve S&P500, BIST100 ve DAX endeksleri arasında bir eşbütünleşme ilişkisi varken, BIST100 ile NiKEI225, BIST100 ve FTSE100, BISST100 ve CAC4010, ve BIST100 ve FTSEMIB endekleri arasında uzun süreli bir ilişki bulunamamıştır. Toda'ya ve Toda ve Yamamoto (1995) nedensellik sonuçlarına gore; BİST100 (Türkiye) ve Dow Jones (ABD), CAC40 (Fransa), DAX (Almanya), FTSE100 (İngiltere), endeksler arasındaki çift yönlü nedensellik, BİST100 (Türkiye), FTSEMIB (İtalya) arasında ise FTSEMIB'den BİST100’e tek yönlü nedensellik ilişkisi tespit edilmiştir. BIST 100 (Türkiye), 225 Nike (Japonya), S&P500 (ABD), S&P/TSX (Kanada), NASDAQ (ABD) arasında nedensellik ilişkisi bulunamamıştır

Anahtar Kelimeler

Fourier eş-bütünleşme, BİST100, G-7 Ülkeleri

Kaynakça

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