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An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes

Author

Listed:
  • Berument Hakan

    (Bilkent University)

  • Akdi Yilmaz

    (Ankara University)

  • Atakan Cemal

    (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.

Suggested Citation

  • Berument Hakan & Akdi Yilmaz & Atakan Cemal, 2005. "An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(3), pages 1-14, September.
    • Handle: RePEc:bpj:sndecm:v:9:y:2005:i:3:n:5
    DOI: 10.2202/1558-3708.1229
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    Cited by:

    1. Trofimov, Ivan D., 2013. "Nonparametric Approach to Portfolio Diversification: The Case of Australian Equity Market - Un approccio non-parametrico alla diversificazione del portafoglio: il caso del mercato azionario australian," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(1), pages 87-112.
    2. Lucia BALDI & Massimo PERI & Daniela VANDONE, 2010. "Is wine a financial parachute?," Departmental Working Papers 2010-01, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    3. Yilmaz Akdi & Koray Kalafatcilar & Kivilcim Metin-Ozcan, 2010. "Application of Periodogram-Based Cointegration Test for the Analysis of the Services and Goods Sector Inflations," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 3-10, April.
    4. Akdi, Yilmaz & Berument, Hakan & Mümin Cilasun, Seyit, 2006. "The relationship between different price indices: Evidence from Turkey," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 483-492.

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