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Detection Of Interdependence Among Borsa Istanbul Stock Exchanges

Author

Listed:
  • Turan KOCABIYIK

    (Süleyman Demirel University)

  • Türker TEKER

    (Süleyman Demirel University)

Abstract

Causality analysis in finance and economic areas are frequently used to measure thelong-term relationship between variables.Both in the World and inTurkey, there are many studies about the power of interdependence among stockmarkets. In these studies, it was tried to measure the relation between important indices of different countries’stockmarkets. In this study, it has been tried to determine whether the stock market indices within the Istanbul Stock Exchange have interdependence and which indice shave opposite direction or which indices have same direction. 192ort his reason, it is thought that this research willcontribute to the literature.The purpose of this study is to discover whether there is a causal relationship between the important indices in the Istanbul Stock Exchange. Istanbul Stock Exchange 100 index (XU100)and some other stock indices such as; BISTAll Shares Index(XUTUM), Istanbul Stock Exchange 30 Index(XU030), Financial Index(XUMAL), Industrial Index(XUSIN)and Services Index(XUHIZ)were included in the survey.Daily closing data between the years 2010-2017 of Istanbul Stock Exchange indices were used in the study.Firstly, unit root tests were applied to 6 time series data.First differences became stationary when all of the series were not stationary at level values.Hence, Johansen cointegration methodology was applied to the series. Thelagorder of the model was found 3 and Johansen Cointegration test was performed.1 cointegrated vector is encountered. The relationship between indices has been examined in detail by Vector Error Correction Model.

Suggested Citation

  • Turan KOCABIYIK & Türker TEKER, 2018. "Detection Of Interdependence Among Borsa Istanbul Stock Exchanges," JOURNAL OF LIFE ECONOMICS, Holistence Publications, vol. 5(4), pages 191-202, October.
    • Handle: RePEc:jle:journl:v:5:y:2018:i:4:p:191-202
    DOI: 10.15637/jlecon.269
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    More about this item

    Keywords

    Borsa Istanbul; Causality; Johansen; VECM;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • P4 - Political Economy and Comparative Economic Systems - - Other Economic Systems
    • G1 - Financial Economics - - General Financial Markets

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