Evaluation of linkages between equity indices : evidence from İstanbul Stock Exchange and Dow Jones

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Bilkent University

This study investigates the linkage between the major stock market indices of Turkey (ISE National 100) and USA (Dow Jones Industrial Average). Main purpose of this research is to measure the interdependence and cointegration between these indices and figure out the significance and the direction of short run relationship, if there exists any. Cointegration analyses based on Johansen Method demonstrated that there is not any cointegrating vector between these indices, refuting an integrated long term relationship. On the other hand -in this case of no cointegration- Granger Causality studies on the first differenced VAR model pointed out a significant unidirectional effect of Dow Jones to Istanbul Stock Exchange in the short run; which would enable feasible forecasts of ISE via index data from the US. These findings could be valuable to investors holding long and short term investment portfolios in ISE and/or in Dow Jones.

Ankara : The Department of Management, Bilkent Univiversity, 2009.
Thesis (Master's) -- Bilkent University, 2009.
Includes bibliographical references leaves 30-33.
Stock Market Indices, Granger Causality, Cointegration