INTERACTION BETWEEN ISE AND EMERGING STOCK MARKETS: COINTEGRATION AND CAUSALITY ANALYSIS

16802

This study primarily aims to examine the interaction between the Istanbul Stock Exchange (ISE) and the stock markets of 7 developing countries (namely Argentina, Brazil, Mexico, India, Malaysia, Hungary and Egypt). To this end, it employs cointegration and causality analyses on the basis of the weekly data between December 1995 and December 2008. The obtained results demonstrate the long-term relationship between the ISE and Brazilian, Indian and Egyptian stock markets, while it also indicates the short-term interaction of the ISE with Mexican and Hungarian stock markets along with the three countries in question. As revealed by the study results, the ISE is still independent from certain emerging stock markets, offering investors international diversification opportunities to a certain extent.

99

Stock Markets , Emerging Markets , Bounds Testing Approach to Cointegration , Toda , Yamamoto Causality Test

Erciyes University Journal Of Economics an‎d Administrative Sciences

118

Erciyes University Journal Of Economics an‎d Administrative Sciences