BibTex RIS Kaynak Göster

İstanbul Menkul Kıymetler Borsası ve “Dow Jones Industrial” Arasındaki İlişki: Eşbütünleşme Analizi

Yıl 2012, Cilt: 19 Sayı: 1, 211 - 224, 01.03.2012

Şahin Bulut Abdullah Özdemir

Öz

Anahtar Kelimeler

-

Kaynakça

  • AKAIKE, Hirotsugu (1974), “A new look at the statistical model identification". IEEE Transactions on Automatic Control 19 (6): 716–723.
  • BARCLAY, Michael J., LITZENBERGER, Robert H. ve WARNER, Jerold B. (1990), “Private Information, Trading Volume, and Stock Return Variances,” Review of Financial Studies, (3), 233-253.
  • BECKER, Kent G., FINNERTY, Joseph E. ve GUPTA, Manoj (1990), “The Intertemporal Relation Between The US And The Japanese Markets”, Journal of Finance, 45(4),1297-1306.
  • CHAN, Kam C., GUP, Benton E. ve PAN, Ming-Shiun (1997), “International Stock Market Efficiency And Integration: A Study Of Eighteen Nations”, Journal of Business Finance & Accounting, 24(6), 0306-686X
  • CHEUNG, Yin-Wong., HE, Jia., ve NG, Lillian K. (1997), “Common predictable components in regional stock markets”, Journal of Business and Economic Statistics, 15(1), 35-42.
  • DICKEY, David A. ve FULLER, Wayne A. (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366), 427-431.
  • DICKEY, David A., ve FULLER, Wayne A., (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, (49), 1057-72.
  • DOW JONES INDEXES, (Mart 2011), http://www.djindexes.com/ (10/03/2011)
  • ENDERS, Walter (1995), Applied Econometric Time Series. New York: Wiley.
  • ENGLE, Robert F., ve GRANGER, Clive W.J. (1987), “Co-integration and Error Correction Representation, Estimation, and Testing”, Econometrica, (55), 251-276.
  • EUN, Cheol S. ve SHIM, Sangdal (1989), “International Transmission of Stock Market Movements,” Journal of Financial and Quantitative Analysis, 24(2), 241-256.
  • FAMA, Eugene F., (1965), “The Behavior of Stock Market Prices”, Journal of Business, (38), 34- 105.
  • GRANGER, Clive W. J. (1969), “Investigating Causal Relations By Econometric Models And Cross-Spectral Methods”, Econometrica, (37), 424-438.
  • GRANGER, Clive W. J. ve NEWBOLD, P. (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, 2 (2), 111-120.
  • GUJARATI, Damodar N., (1999 ), Basic Econometrics, McGraw Hill,. Intriligator, M.D., Econometric Models, Techniques and Applications, Prentice Hall, 1995.
  • GÜL, Ekrem ve EKİNCİ, Aykut (2006), “Türkiye’de Enflasyon ve Döviz Kuru Arasındaki Nedensellik İliskisi: 1984-2003”, A.Ü. Sosyal Bilimler Dergisi, 2006/1
  • HALL, S.G. (1991), “The Effect of Varying Length VAR Models on The Maximum Likelihood Estimates of Cointegrating Vectors”, Scottish Journal of Political Economy, (38), 317-323.
  • HAMAO, Yasushi., MASULIS, Ronald W. ve NG, Victor K. (1990), “Correlations in price changes and volatility across international stock markets”, Review of Financial Studies, 3(2), 281-307.
  • İSTANBUL MENKUL KIYMETLER BORSASI (İMKB), (Mart 2011), http://www.imkb.gov.tr (17/03/2011)
  • İPEKTEN, O. Berna ve AKSU, Hayati (2009), “Alternatif Yabancı Yatırım Araçlarının İMKB İndeksi Üzerine Etkisi”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13 (1), 413- 423
  • JAFFE, Jeffrey ve WESTERFIELD, Randolph (1985a), “Patterns in Japanese Common Stock Returns Day of the Week and Turn of the Year Effects”, Journal of Financial and Quantitative Analysis, (20), 261-272.
  • JAFFE, Jeffrey ve WESTERFIELD, Randolph (1985b), “The Week End Effect in Common Stock Returns: The International Evidence”, Journal of Finance, (40). 433-454.
  • JOHANSEN, Sİren. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamic and Control (12), 231-254.
  • JOHANSEN, Sİren ve JUSELIUS Katarina (1990), “Maximum Likelihood Estimation And Inference on Cointegration with Application to the Deman for Money”, Oxford Bulletin of Economic and Statistics, (52), 169-210.
  • JOHANSEN, Sİren. (1991), “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”, Econometrica, 59, p. 1551-80.
  • KASA, Kenneth (1992), “Common Stochastic Trends in International Stock Markets”, Journal of Monetary Economics,(29),95-124.
  • KAROLYI, G. Andrew ve STULZ, René M. (1996), “Why do markets move together? An investigation of U.S.-Japan stock return comovements”, The Journal of Finance, 51(3),951- 986.
  • KENOURGIOS, Dimitrios F., ve SAMITAS, Aristeidis G. (2003), “The Interdependence of Major European Stock Markets: Evidence for Greece”, SPOUDAI, (53), No. 4, 54-65.
  • KING, Mervym A. ve WADHWANI, Sushil (1990), “Transmission of volatility between stock markets”, The Review of Financial Studies, 3(1):5-33.
  • KÜÇÜKÇOLAK, Necla (2008), “Cointegration of The Turkish Equity Market with Greek and Other European Union Equity Markets”, International Research Joural of Finance and Economics, (13), 58-73.
  • LENARDON, Martin J. ve AMIRDJANOVA, Anna (2006), “Interaction between stock indices via changepoint analysis”, Appi. Stochastic Models Bus. Ind., (22), 573-586
  • MACKINNON, James G. (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, (11), 601-618.
  • MACKINNON, James G., HAUG, Aalfred A., ve MICHELIS, Leo (1999), “Numerical distribution functions of likelihood ratio tests for cointegration”, Journal of Applied Econometrics, (14), 563-577
  • MANDELBROT, Benoit (1963), “The Variation of Certain Speculative Prices”, Journal of Business, (36), 394-419.
  • PEKKAYA, Mehmet ve BAYRAMOĞLU, Fatih M. (2008), “Hisse Senedi Fiyatları ve Döviz Kuru arasındaki Nedensellik İlişkisi”, Muhasebe ve Finansman Dergisi, (38), 15, http://journal.mufad.org/attachments/article/316/15.pdf
  • SCHOLLHAMMER, Hans ve SAND, Ole (1985), “The interdependence among the stock markets of major European countries and the United States: An empirical investigation of interrelationshipsamong national stock price movements”, Management International Review, (25),17-26. SERMAYE PİYASA KURULU (SPK), (Mart 2011), (2007, 2009), http://www.spk.gov.tr/indexcont.aspx?Action=showpage&enuid=0&pid=5 (19/03/2011).
  • SEVÜKTEKİN, Mustafa ve NARGELEÇEKENLER, Mehmet (2008), “Türkiye ve Amerika'daki Hisse Senedi Piyasaları Arasındaki Dinamik İlişkinin Belirlenmesi”, Finans Politik & Ekonomik Yorumlar, (45),520
  • TARI, Recep (2008), Ekonometri, 8. Baskı, Avcı Ofset, İstanbul.
  • VURAN, Bengü (2010), “İMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, (39), 1, 154-168, 1303-1732-www.ifdergisi.org
  • YILMAZ, Özlem Göktaş (2005), “Türkiye Ekonomisinde Büyüme ve İşsizlik Oranları Arasındaki Nedensellik İlişkisi”, Ekonometri ve İstatistik Dergisi, (2), İstanbul, 67-68.

İstanbul Menkul Kıymetler Borsası ve “Dow Jones Industrial” Arasındaki İlişki: Eşbütünleşme Analizi

Yıl 2012, Cilt: 19 Sayı: 1, 211 - 224, 01.03.2012

Şahin Bulut Abdullah Özdemir

Öz

Bu çalışmada İstanbul Menkul Kıymetler Borsası ve Dow Jones Industrial arasındaki ilişki, 05.01.2001-30.12.2010 dönemi haftalık endeks kapanış fiyatları temel alınarak araştırılmıştır. Seriler arasındaki nedensellik ilişkisi; Granger testi, uzun-kısa dönem ve eşbütünleşme analizleri; Johansen ve VEC yöntemleri kullanılarak yapılmıştır. Araştırma bulguları, üç gecikme için DJI’nın İMKB’nin Granger nedeni olduğunu göstermektedir. Eşbütünleşme analizinin sonuçlarına göre, seriler uzun dönemde birlikte hareket etmekte yani eşbütünleşiktir. Kısa dönemde hata düzeltme teriminin çalıştığı ve üç dönem boyunca DJI’nın İMKB’yi anlamlı şekilde etkilediği görülmüştür

Anahtar Kelimeler

DJI İMKB Nedensellik Eşbütünleşme

Kaynakça

  • AKAIKE, Hirotsugu (1974), “A new look at the statistical model identification". IEEE Transactions on Automatic Control 19 (6): 716–723.
  • BARCLAY, Michael J., LITZENBERGER, Robert H. ve WARNER, Jerold B. (1990), “Private Information, Trading Volume, and Stock Return Variances,” Review of Financial Studies, (3), 233-253.
  • BECKER, Kent G., FINNERTY, Joseph E. ve GUPTA, Manoj (1990), “The Intertemporal Relation Between The US And The Japanese Markets”, Journal of Finance, 45(4),1297-1306.
  • CHAN, Kam C., GUP, Benton E. ve PAN, Ming-Shiun (1997), “International Stock Market Efficiency And Integration: A Study Of Eighteen Nations”, Journal of Business Finance & Accounting, 24(6), 0306-686X
  • CHEUNG, Yin-Wong., HE, Jia., ve NG, Lillian K. (1997), “Common predictable components in regional stock markets”, Journal of Business and Economic Statistics, 15(1), 35-42.
  • DICKEY, David A. ve FULLER, Wayne A. (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root”, Journal of the American Statistical Association, 74(366), 427-431.
  • DICKEY, David A., ve FULLER, Wayne A., (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root”, Econometrica, (49), 1057-72.
  • DOW JONES INDEXES, (Mart 2011), http://www.djindexes.com/ (10/03/2011)
  • ENDERS, Walter (1995), Applied Econometric Time Series. New York: Wiley.
  • ENGLE, Robert F., ve GRANGER, Clive W.J. (1987), “Co-integration and Error Correction Representation, Estimation, and Testing”, Econometrica, (55), 251-276.
  • EUN, Cheol S. ve SHIM, Sangdal (1989), “International Transmission of Stock Market Movements,” Journal of Financial and Quantitative Analysis, 24(2), 241-256.
  • FAMA, Eugene F., (1965), “The Behavior of Stock Market Prices”, Journal of Business, (38), 34- 105.
  • GRANGER, Clive W. J. (1969), “Investigating Causal Relations By Econometric Models And Cross-Spectral Methods”, Econometrica, (37), 424-438.
  • GRANGER, Clive W. J. ve NEWBOLD, P. (1974), “Spurious Regressions in Econometrics”, Journal of Econometrics, 2 (2), 111-120.
  • GUJARATI, Damodar N., (1999 ), Basic Econometrics, McGraw Hill,. Intriligator, M.D., Econometric Models, Techniques and Applications, Prentice Hall, 1995.
  • GÜL, Ekrem ve EKİNCİ, Aykut (2006), “Türkiye’de Enflasyon ve Döviz Kuru Arasındaki Nedensellik İliskisi: 1984-2003”, A.Ü. Sosyal Bilimler Dergisi, 2006/1
  • HALL, S.G. (1991), “The Effect of Varying Length VAR Models on The Maximum Likelihood Estimates of Cointegrating Vectors”, Scottish Journal of Political Economy, (38), 317-323.
  • HAMAO, Yasushi., MASULIS, Ronald W. ve NG, Victor K. (1990), “Correlations in price changes and volatility across international stock markets”, Review of Financial Studies, 3(2), 281-307.
  • İSTANBUL MENKUL KIYMETLER BORSASI (İMKB), (Mart 2011), http://www.imkb.gov.tr (17/03/2011)
  • İPEKTEN, O. Berna ve AKSU, Hayati (2009), “Alternatif Yabancı Yatırım Araçlarının İMKB İndeksi Üzerine Etkisi”, Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13 (1), 413- 423
  • JAFFE, Jeffrey ve WESTERFIELD, Randolph (1985a), “Patterns in Japanese Common Stock Returns Day of the Week and Turn of the Year Effects”, Journal of Financial and Quantitative Analysis, (20), 261-272.
  • JAFFE, Jeffrey ve WESTERFIELD, Randolph (1985b), “The Week End Effect in Common Stock Returns: The International Evidence”, Journal of Finance, (40). 433-454.
  • JOHANSEN, Sİren. (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamic and Control (12), 231-254.
  • JOHANSEN, Sİren ve JUSELIUS Katarina (1990), “Maximum Likelihood Estimation And Inference on Cointegration with Application to the Deman for Money”, Oxford Bulletin of Economic and Statistics, (52), 169-210.
  • JOHANSEN, Sİren. (1991), “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models”, Econometrica, 59, p. 1551-80.
  • KASA, Kenneth (1992), “Common Stochastic Trends in International Stock Markets”, Journal of Monetary Economics,(29),95-124.
  • KAROLYI, G. Andrew ve STULZ, René M. (1996), “Why do markets move together? An investigation of U.S.-Japan stock return comovements”, The Journal of Finance, 51(3),951- 986.
  • KENOURGIOS, Dimitrios F., ve SAMITAS, Aristeidis G. (2003), “The Interdependence of Major European Stock Markets: Evidence for Greece”, SPOUDAI, (53), No. 4, 54-65.
  • KING, Mervym A. ve WADHWANI, Sushil (1990), “Transmission of volatility between stock markets”, The Review of Financial Studies, 3(1):5-33.
  • KÜÇÜKÇOLAK, Necla (2008), “Cointegration of The Turkish Equity Market with Greek and Other European Union Equity Markets”, International Research Joural of Finance and Economics, (13), 58-73.
  • LENARDON, Martin J. ve AMIRDJANOVA, Anna (2006), “Interaction between stock indices via changepoint analysis”, Appi. Stochastic Models Bus. Ind., (22), 573-586
  • MACKINNON, James G. (1996), “Numerical Distribution Functions for Unit Root and Cointegration Tests”, Journal of Applied Econometrics, (11), 601-618.
  • MACKINNON, James G., HAUG, Aalfred A., ve MICHELIS, Leo (1999), “Numerical distribution functions of likelihood ratio tests for cointegration”, Journal of Applied Econometrics, (14), 563-577
  • MANDELBROT, Benoit (1963), “The Variation of Certain Speculative Prices”, Journal of Business, (36), 394-419.
  • PEKKAYA, Mehmet ve BAYRAMOĞLU, Fatih M. (2008), “Hisse Senedi Fiyatları ve Döviz Kuru arasındaki Nedensellik İlişkisi”, Muhasebe ve Finansman Dergisi, (38), 15, http://journal.mufad.org/attachments/article/316/15.pdf
  • SCHOLLHAMMER, Hans ve SAND, Ole (1985), “The interdependence among the stock markets of major European countries and the United States: An empirical investigation of interrelationshipsamong national stock price movements”, Management International Review, (25),17-26. SERMAYE PİYASA KURULU (SPK), (Mart 2011), (2007, 2009), http://www.spk.gov.tr/indexcont.aspx?Action=showpage&enuid=0&pid=5 (19/03/2011).
  • SEVÜKTEKİN, Mustafa ve NARGELEÇEKENLER, Mehmet (2008), “Türkiye ve Amerika'daki Hisse Senedi Piyasaları Arasındaki Dinamik İlişkinin Belirlenmesi”, Finans Politik & Ekonomik Yorumlar, (45),520
  • TARI, Recep (2008), Ekonometri, 8. Baskı, Avcı Ofset, İstanbul.
  • VURAN, Bengü (2010), “İMKB 100 endeksinin uluslararası hisse senedi endeksleri ile ilişkisinin eşbütünleşim analizi ile belirlenmesi”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, (39), 1, 154-168, 1303-1732-www.ifdergisi.org
  • YILMAZ, Özlem Göktaş (2005), “Türkiye Ekonomisinde Büyüme ve İşsizlik Oranları Arasındaki Nedensellik İlişkisi”, Ekonometri ve İstatistik Dergisi, (2), İstanbul, 67-68.
Toplam 40 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Şahin Bulut Bu kişi benim

Abdullah Özdemir

Yayımlanma Tarihi 1 Mart 2012
Yayımlandığı Sayı Yıl 2012 Cilt: 19 Sayı: 1

Kaynak Göster

APA Bulut, Ş., & Özdemir, A. (2012). İstanbul Menkul Kıymetler Borsası ve “Dow Jones Industrial” Arasındaki İlişki: Eşbütünleşme Analizi. Journal of Management and Economics, 19(1), 211-224.