Long-run and short-run links among the Turkish stock market and developed markets
Author(s)
Advisor
Akdeniz, LeventDate
2002Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
156
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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.