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      • Theses - Department of Management
      • Dept. of Management - Master's degree
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      Long-run and short-run links among the Turkish stock market and developed markets

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      Author(s)
      Demirtaş, İsmail
      Advisor
      Akdeniz, Levent
      Date
      2002
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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      Abstract
      One of the striking facts about the international economy is the high degree of integration, or linkage, among financial, or capital markets. Careful examination of international stock market movements in recent years suggests that there exists a substantial degree of interdependence among national stock markets. This thesis tests the interdependence among the Turkish stock market and four major stock markets (US, UK, Germany, France) using daily closing index data for the period between January 1997 and June 2002. Results of the tests showed that the French and German stock markets have significant impacts on the Turkish stock market. The European and US stock markets influence each other in the long-run and short-run. US is the most influential market among the four developed markets. Developed markets almost move together. Therefore, International portfolio diversification among these national markets will not greatly reduce the portfolio risk.
      Keywords
      Cointegration
      integration
      Istanbul Stock Exchange
      developed markets
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      http://hdl.handle.net/11693/29204
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      • Dept. of Management - Master's degree 318
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