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An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes

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Author Info

  • Hakan Berument

    (Bilkent University)

  • Yilmaz Akdi

    (Ankara University)

  • Cemal Atakan

    (Ankara University)

Abstract

This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes.

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Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 9 (2005)
Issue (Month): 3 ()
Pages: 5

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Handle: RePEc:bpj:sndecm:v:9:y:2005:i:3:n:5

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Web page: http://www.degruyter.com

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Related research

Keywords: Emerging markets; Stock markets and Cointegration;

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Cited by:
  1. Yilmaz Akdi & Koray Kalafatcilar & Kivilcim Metin-Ozcan, 2010. "Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations," Articles of International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 3-10, April.

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