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      • Theses - Department of Management
      • Dept. of Management - Master's degree
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      Evaluation of linkages between equity indices : evidence from İstanbul Stock Exchange and Dow Jones

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      Author(s)
      Ertan, Aytekin
      Advisor
      Akdeniz, Levent
      Date
      2009
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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      Abstract
      This study investigates the linkage between the major stock market indices of Turkey (ISE National 100) and USA (Dow Jones Industrial Average). Main purpose of this research is to measure the interdependence and cointegration between these indices and figure out the significance and the direction of short run relationship, if there exists any. Cointegration analyses based on Johansen Method demonstrated that there is not any cointegrating vector between these indices, refuting an integrated long term relationship. On the other hand -in this case of no cointegration- Granger Causality studies on the first differenced VAR model pointed out a significant unidirectional effect of Dow Jones to Istanbul Stock Exchange in the short run; which would enable feasible forecasts of ISE via index data from the US. These findings could be valuable to investors holding long and short term investment portfolios in ISE and/or in Dow Jones.
      Keywords
      Stock Market Indices
      Granger Causality
      Cointegration
      Permalink
      http://hdl.handle.net/11693/14843
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      • Dept. of Management - Master's degree 318
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