Long-run and short-run links among the Turkish stock market and developed markets

Date
2002
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Bilkent University
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Language
English
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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.

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Keywords
Cointegration, integration, Istanbul Stock Exchange, developed markets
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Published Version (Please cite this version)