Title of article
Hidden Cointegration among Borsa Istanbul Sector Indices
Author/Authors
Eyuboglua, Kemal Department of Banking and Finance - Tarsus University, Mersin, Turkey , Eyuboglu, Sinem Department of Custom Administration - Tarsus University, Mersin, Turkey
Pages
311
From page
37
To page
347
Abstract
In this study, the cointegration relationship between the financial, industrial, services and technology indices in Borsa Istanbul is analyzed by employing the Johansen cointegration test and Hatemi-J and Irandoust (2012) hidden cointegration test. Daily data cover the period January 02, 2012, to September 24, 2018. While the Johansen cointegration test indicates no cointegration, the Hatemi-J and Irandoust test showed that there is a hidden cointegration among the four indices. Accordingly, an increase or decrease in the index prices will be effective in the formation of other index prices. Thus, it is not possible to diversify within the Turkish stock market.
Farsi abstract
فاقد چكيده فارسي
Keywords
Hidden Cointegration , Stock Market , Sector Indices , Portfolio Diversification , Turkey
Journal title
Iranian Economic Review (IER)
Serial Year
2021
Record number
2700928
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