Interdependency between Istanbul Stock Exchange and New York Stock Exchange

Abstract

Globalization of world stock markets and international diversification of securities portfolios are topics that are widely discussed in the recent years. Many markets were analyzed for interdependencies in the literature. This study tests the interdependence between Istanbul Stock Exchange and New York Stock Exchange for the period between April 1992 and December 1993 using daily return indexes. Results of the tests showed that stock price indexes in both markets were nonstationary and that they are interdependent. Therefore, they point out the possibility that the price movements in Istanbul Stock Exchange are affected from the price movements in NewYork Stock Exchange.