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
Kaynakça
- Akel, V. (2015). Kırılgan Cointegration Analysis of the Five Countries with Stock Market, International Management Economics and Business Review, 11(24), 75-96.
- Banerjee, P., Arčabić, V., & Lee, H. (2017). Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market, Economic Modelling, 67, 114-124.
- Benli Keskin, Y. (2014). Emerging Stock Exchanges with Cointegration Analysis of Turkey's stock exchange, Journal of Management and Economics Research, 12(23), 18-32.
- Bozoklu, Ş., Saydam, İ.M. (2010). Between the BRIC countries and Turkey with the Capital Market Analysis Parametric and Non Cointegration Tests of integration, Finance Magazine, 159, 416-431.
- Boztosun, D., Çelik, T.(2011). European Stock Exchanges of Turkey with Cointegration Analysis. Süleyman Demirel University Faculty of Economics and Administrative Sciences Journal, 16(19), 147-162.
- Canarella, G., Miller, S.M., Pollard, S.K.(2008). Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience, Economics Working Papers, 1-94.
- Chang, T., Ranjbar, O., Jooste, C.( 2017). Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain., Iran. Econ. Rev.21 (2), 297-320.
- Çelik, T., Boztosun, D.(2010). Asian Countries Commodity Exchanges between Exchange Integration Relations with Turkey, Erciyes University Journal of Economics and Administrative Sciences, 36, 57-71.
- Çıtak, L, Gözbaşı, O.(2007). Analysis on the Basis of the ISE and Some Leading Developed and Developing Country Stock Exchanges on the Basis and Main Sector Indices, Dokuz Eylül University Faculty of Economics and Administrative Sciences Journal, 22(2), 249-271.
- Dıckey, D. A. Ve Fuller, W. A. (1979) Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, 427- 431.
- Kofman, P., Martens, M.(1997). Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange, Journal of International Mont, and Finance, 16(3), 387-414.
- Korkmaz, T., Çevik, E.İ.(2008). Turkey and International Equity Markets and Portfolio Choices relationship between Cointegration. BRSA Banking Financial Markets, 2(1), 59-84.
- Korkmaz, T., Zaman, S. ve Çevik, E.İ. (2009). Structural Fracture Tests and Analysis of the Relationship between ISE and International Stock Exchange Markets, Akdeniz İ.İ.B.F. Magazine, (17), 40-71.
- Korkmaz, T., Zaman, S., Çevik, E.İ.(2009). Structural Fracture Tests and Analysis of the Relationship between ISE and International Stock Exchange Markets, Akdeniz İ.İ.B.F. Magazine 17, 40-71.
- Özerealp Zeren, A. G,, Konuk, F., Zeren, F. (2015). Portfolio Diversification Between Country Stock Exchanges: Analysis of the Relationship Between Five OECD Countries and Turkey, Journal of Accounting, Finance and Auditing Studies, 1(2), 22-33.
- Sarıkamış, M.C., Düzakın, H.(2013). Integration of Istanbul Stock Exchange with Eurasian Stock Exchange. Academic View Review, 35, 1-19. Seyidoğlu, H. (2003) International Finance ", Istanbul: Güzem Can Publications No: 19.
- Sun; W.(2014). China’s A-Share, B-Share, and H-Share Stock Markets and the World Financial Markets: A Cointegration and Causality Analysis, Journal of Applied Business and Economics, 16(2), 70-80.
- Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes, Journal of econometrics, 66(1-2), 225-250.Ye, G.L.(2014). The interactions between China and US stock markets: New perspectives, Int. Fin. Markets, Inst. and Money 31,331,342.
- Yılancı, V., Öztürk, Z.A.(2010). With Turkey's Top Five Trading Partner Integration Analysis of the Relationship Between Stock Market: Structural Breakdown Unit Root and Coexistence Analysis, Erciyes University Journal of Economics and Administrative Sciences, 36, 261-279.
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
Kaynakça
- Akel, V. (2015). Kırılgan Cointegration Analysis of the Five Countries with Stock Market, International Management Economics and Business Review, 11(24), 75-96.
- Banerjee, P., Arčabić, V., & Lee, H. (2017). Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market, Economic Modelling, 67, 114-124.
- Benli Keskin, Y. (2014). Emerging Stock Exchanges with Cointegration Analysis of Turkey's stock exchange, Journal of Management and Economics Research, 12(23), 18-32.
- Bozoklu, Ş., Saydam, İ.M. (2010). Between the BRIC countries and Turkey with the Capital Market Analysis Parametric and Non Cointegration Tests of integration, Finance Magazine, 159, 416-431.
- Boztosun, D., Çelik, T.(2011). European Stock Exchanges of Turkey with Cointegration Analysis. Süleyman Demirel University Faculty of Economics and Administrative Sciences Journal, 16(19), 147-162.
- Canarella, G., Miller, S.M., Pollard, S.K.(2008). Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience, Economics Working Papers, 1-94.
- Chang, T., Ranjbar, O., Jooste, C.( 2017). Stock Market Interactions between the BRICS and the United States: Evidence from Asymmetric Granger Causality Tests in the Frequency Domain., Iran. Econ. Rev.21 (2), 297-320.
- Çelik, T., Boztosun, D.(2010). Asian Countries Commodity Exchanges between Exchange Integration Relations with Turkey, Erciyes University Journal of Economics and Administrative Sciences, 36, 57-71.
- Çıtak, L, Gözbaşı, O.(2007). Analysis on the Basis of the ISE and Some Leading Developed and Developing Country Stock Exchanges on the Basis and Main Sector Indices, Dokuz Eylül University Faculty of Economics and Administrative Sciences Journal, 22(2), 249-271.
- Dıckey, D. A. Ve Fuller, W. A. (1979) Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, 427- 431.
- Kofman, P., Martens, M.(1997). Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange, Journal of International Mont, and Finance, 16(3), 387-414.
- Korkmaz, T., Çevik, E.İ.(2008). Turkey and International Equity Markets and Portfolio Choices relationship between Cointegration. BRSA Banking Financial Markets, 2(1), 59-84.
- Korkmaz, T., Zaman, S. ve Çevik, E.İ. (2009). Structural Fracture Tests and Analysis of the Relationship between ISE and International Stock Exchange Markets, Akdeniz İ.İ.B.F. Magazine, (17), 40-71.
- Korkmaz, T., Zaman, S., Çevik, E.İ.(2009). Structural Fracture Tests and Analysis of the Relationship between ISE and International Stock Exchange Markets, Akdeniz İ.İ.B.F. Magazine 17, 40-71.
- Özerealp Zeren, A. G,, Konuk, F., Zeren, F. (2015). Portfolio Diversification Between Country Stock Exchanges: Analysis of the Relationship Between Five OECD Countries and Turkey, Journal of Accounting, Finance and Auditing Studies, 1(2), 22-33.
- Sarıkamış, M.C., Düzakın, H.(2013). Integration of Istanbul Stock Exchange with Eurasian Stock Exchange. Academic View Review, 35, 1-19. Seyidoğlu, H. (2003) International Finance ", Istanbul: Güzem Can Publications No: 19.
- Sun; W.(2014). China’s A-Share, B-Share, and H-Share Stock Markets and the World Financial Markets: A Cointegration and Causality Analysis, Journal of Applied Business and Economics, 16(2), 70-80.
- Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes, Journal of econometrics, 66(1-2), 225-250.Ye, G.L.(2014). The interactions between China and US stock markets: New perspectives, Int. Fin. Markets, Inst. and Money 31,331,342.
- Yılancı, V., Öztürk, Z.A.(2010). With Turkey's Top Five Trading Partner Integration Analysis of the Relationship Between Stock Market: Structural Breakdown Unit Root and Coexistence Analysis, Erciyes University Journal of Economics and Administrative Sciences, 36, 261-279.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Bölüm | Sayı |
| Yazarlar | |
| Yayımlanma Tarihi | 26 Haziran 2020 |
| Gönderilme Tarihi | 26 Nisan 2019 |
| Yayımlandığı Sayı | Yıl 2020 Cilt: 22 Sayı: 1 |
