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

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buir.advisorAkdeniz, Levent
dc.contributor.authorErtan, Aytekin
dc.date.accessioned2016-01-08T18:09:24Z
dc.date.available2016-01-08T18:09:24Z
dc.date.issued2009
dc.departmentDepartment of Managementen_US
dc.descriptionAnkara : The Department of Management, Bilkent Univiversity, 2009.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2009.en_US
dc.descriptionIncludes bibliographical references leaves 30-33.en_US
dc.description.abstractThis 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.en_US
dc.description.degreeM.B.Aen_US
dc.description.statementofresponsibilityErtan, Aytekinen_US
dc.format.extentvii, 62 leavesen_US
dc.identifier.urihttp://hdl.handle.net/11693/14843
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectStock Market Indicesen_US
dc.subjectGranger Causalityen_US
dc.subjectCointegrationen_US
dc.subject.lccHG4551 .E78 2009en_US
dc.subject.lcshStock exchange.en_US
dc.subject.lcshStock markets.en_US
dc.subject.lcshStock price indexes.en_US
dc.subject.lcshStock exchanges--United States.en_US
dc.subject.lcshStock exchanges--Turkey.en_US
dc.subject.lcshDow Jones industrial average.en_US
dc.titleEvaluation of linkages between equity indices : evidence from İstanbul Stock Exchange and Dow Jonesen_US
dc.typeThesisen_US

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