Evaluation of linkages between equity indices : evidence from İstanbul Stock Exchange and Dow Jones
Author(s)
Advisor
Akdeniz, LeventDate
2009Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
158
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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.