Author/Authors
YILANCI, Veli İstanbul Üniversitesi - İktisat Fakültesi - Ekonometri Bölümü, Turkey , ÖZTÜRK, Zehra Ayça İstanbul Üniversitesi - İktisat Fakültesi - Ekonometri Bölümü, Turkey
Title Of Article
ANALYSIS OF INTEGRATION RELATIONSHIP BETWEEN EQUITY MARKETS OF TURKEY AND ITS MAJOR TRADING PARTNERS’: UNIT ROOT AND COINTEGRATION TESTS WITH STRUCTURAL BREAKS
شماره ركورد
16784
Abstract
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.
From Page
261
NaturalLanguageKeyword
Structural Change , Unit Root Test , Cointegration Test , Integration
JournalTitle
Erciyes University Journal Of Economics and Administrative Sciences
To Page
279
JournalTitle
Erciyes University Journal Of Economics and Administrative Sciences
Link To Document