International Stock Market Dependencies: The Causality Approach

Hilal Öztürk Savaş; M. Koray Çetin

doi:10.16951/trendbusecon.1475528

TR EN

International Stock Market Dependencies: The Causality Approach

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

Kaynakça

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Ayrıntılar

Birincil Dil

İngilizce

Konular

Finansal Ekonomi

Bölüm

Araştırma Makalesi

Yazarlar

Hilal Öztürk Savaş ^*
0000-0002-1996-5297
Türkiye

M. Koray Çetin
0000-0002-0363-2973
Türkiye

Erken Görünüm Tarihi

14 Nisan 2025

Yayımlanma Tarihi

15 Nisan 2025

Gönderilme Tarihi

29 Nisan 2024

Kabul Tarihi

7 Mart 2025

Yayımlandığı Sayı

Yıl 2025 Cilt: 39 Sayı: 2

DOI

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

IZ

https://izlik.org/JA94ZW82NF

APA

Öztürk Savaş, H., & Çetin, M. K. (2025). International Stock Market Dependencies: The Causality Approach. Trends in Business and Economics, 39(2), 208-219. https://doi.org/10.16951/trendbusecon.1475528

Cited By

The weak-form efficient markets hypothesis: Macroeconomic evidence from MEDA capital markets

Quantitative Finance and Economics

https://doi.org/10.3934/QFE.2025022

Content of this journal is licensed under a Creative Commons Attribution 4.0 International License

29928

International Stock Market Dependencies: The Causality Approach

Uluslararası Borsa Bağımlılıkları: Nedensellik Yaklaşımı

Öz

Anahtar Kelimeler

International Stock Market Dependencies: The Causality Approach

Abstract

Keywords

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Erken Görünüm Tarihi

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

DOI

IZ

Kaynak Göster

Cited By

The weak-form efficient markets hypothesis: Macroeconomic evidence from MEDA capital markets