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

Date

2002

Editor(s)

Advisor

Akdeniz, Levent

Supervisor

Co-Advisor

Co-Supervisor

Instructor

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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.

Source Title

Publisher

Course

Other identifiers

Book Title

Degree Discipline

Business Administration

Degree Level

Master's

Degree Name

MBA (Master of Business Administration)

Citation

Published Version (Please cite this version)

Language

English

Type