IDEAS home Printed from
   My bibliography  Save this article

An Empirical Analysis On The Integration Of The Stock Exchanges Of The Ise With Those Of European Union Mediterranean Countries


  • Mustafa Ibicioglu
  • Ayhan Kapusuzoglu

    () (Türkiye Cumhuriyeti Merkez Bankası
    Yildirim Beyazit University)


The present study examines the relationship between Turkey’s stock market and the stock markets of the EU Mediterranean countries using various econometric techniques. Covering the period from 01.07.2002 to 01.03.2010 and consisting of 1922-day data, the study found that there is a cointegration relationship among the stock markets of all countries as analyzed by Johansen cointegration test; in other words, there exists a long-term relation among them. The results of Granger causality analysis revealed that Paris Stock Exchange is highly determinant among all stock markets under examination and that there is no stock market that is causal to the Istanbul Stock Exchange. The variance decomposition and impulse-response function were performed, which supported the result that Paris stock exchange is highly determinant, identified the contributions of the variables upon themselves and one another, and revealed the effects of possible shocks in the variables upon themselves and each other. It could be argued that the study’s results are significant with regard to the integration of the national stock markets under study and international portfolio diversification.

Suggested Citation

  • Mustafa Ibicioglu & Ayhan Kapusuzoglu, 2011. "An Empirical Analysis On The Integration Of The Stock Exchanges Of The Ise With Those Of European Union Mediterranean Countries," Anadolu University Journal of Social Sciences, Anadolu University, vol. 11(3), pages 85-102, September.
  • Handle: RePEc:and:journl:v:11:y:2011:i:3:p:85-102

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    Stock markets; international portfolio diversity; co-integration; causality;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:and:journl:v:11:y:2011:i:3:p:85-102. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Social Sciences Institute). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.