An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes
AbstractThis 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 InfoArticle provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.
Volume (Year): 9 (2005)
Issue (Month): 3 ()
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Web page: http://www.degruyter.com
Other versions of this item:
- Hakan Berument & Yýlmaz Akdi & Cemal Atakan, 2006. "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Departmental Working Papers 0602, Bilkent University, Department of Economics.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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- 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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