YILANCI, Veli İstanbul Üniversitesi - İktisat Fakültesi - Ekonometri Bölümü, Turkey , ÖZTÜRK, Zehra Ayça İstanbul Üniversitesi - İktisat Fakültesi - Ekonometri Bölümü, Turkey

ANALYSIS OF INTEGRATION RELATIONSHIP BETWEEN EQUITY MARKETS OF TURKEY AND ITS MAJOR TRADING PARTNERS’: UNIT ROOT AND COINTEGRATION TESTS WITH STRUCTURAL BREAKS

16784

In this paper, we analyzed the relationship between Turkey and its major trading partners over the period January 1995-December 2009. Since there are two important crises between these dates which may have influenced these markets and relations between the markets, we use unit root and cointegration tests which allow two structural breaks. The results show that there is not any long run relationship between ISE 100 and FTSE 100, SP 500, AEX which show that investors who invest in ISE 100, should invest in these markets to reduce their risk and increase their return.

261

Structural Change , Unit Root Test , Cointegration Test , Integration

Erciyes University Journal Of Economics an‎d Administrative Sciences

279