An empirical analysis of Istanbul stock exchange sub-indexes

Date

2005

Editor(s)

Advisor

Supervisor

Co-Advisor

Co-Supervisor

Instructor

BUIR Usage Stats
1
views
9
downloads

Series

Abstract

This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes.

Source Title

Studies in Nonlinear Dynamics and Econometrics

Publisher

Walter de Gruyter GmbH

Course

Other identifiers

Book Title

Keywords

Degree Discipline

Degree Level

Degree Name

Citation

Published Version (Please cite this version)

Language

English