Öz
Çalışmanın amacı uluslararası borsaların birbirini etkileme gücünü keşfetmektir. Para ve sermaye piyasalarında globalleşme, uluslararası ticaretin artması, uluslararası fonların artışı, teknolojinin gelişmesi ve haberleşme imkânlarının ve hızının artışı borsalar arasında etkileşime imkân veren faktörler olarak karşımıza çıkmaktadır. Bu çalışma ile G-8 ülkelerinden borsa endeksleri ile İMKB100 endeksi arasındaki etkileşim ortaya konmuştur. Araştırmanın uygulama kısmında Japonya’dan Nikkei225, Rusya’dan MICEX, Borsa İstanbul’dan İMKB100, İtalya’dan FTSE/MIB, Almanya’dan DAX, Fransa’dan CAC40, İngiltere’den FTSE100, ABD’den S&P500 ve Kanada’dan S&P/TSX Composite endeksleri incelenmiştir. Araştırmada 2003 ile 2012 yılları arası haftalık ve günlük veriler kullanılmıştır. Çalışmada Johansen Eşbütünleşme metodolojisi uygulanmıştır. ADF ve PP birim kök testlerinin ardından uygulanan Johansen Eşbütünleşme testi Trace (İzdeğer) ve Eigenvalue (Özdeğer) istatistikleri 1 eşbütünleşik vektörü işaret etmektedir. Vektör Hata Düzeltme Modeli uygulanarak borsaların uzun vadede ilişkileri ortaya konmuştur. Eşbütünleşme denkleminin Almanya, İtalya, Fransa ve Japonya Borsaları üzerinde etkisi olduğu sonucuna ulaşılmıştır. Daha sonra Borsa Istanbul ile diğer ülke borsalarının ikili eşbütünleşme testleri gerçekleştirilmiş ve uzun dönem ilişkisi tespit edilememiştir.
Anahtar Kelimeler
Uluslararası Borsalar Entegrasyon Eşbütünleşme VECM Borsa İstanbul G-8 Ülkeleri
Kaynakça
- AKTAR, İsmail; (2009), “Is there any Comovement Between Stock Markets of Turkey, Russia and Hungary?”, International Research Journal of Finance and Economics, pp. 192-200.
- ALEXANDER, Carol; (2001), Market Models: A Guide to Financial Data Analysis, Wiley. ALEXANDER, Carol; (1999), “Correlation and Cointegration in Energy Markets”, ISMA Centre Risk Publications, pp. 2-27
- ALEXANDER Carol, Ian GIBLIN and Wayne WEDDINGTON; (2002), “Cointegration and Asset Allocation: A New Active Hedge Fund Strategy”, Financial Risk and Financial Risk Management, pp. 65-89.
- Al-FAYOUMI Nedal, Basheer KHAMEES and Ali Al-THUNEIBAT; (2009), “Information Transmission among Stock Return Indexes:Evidence from the Jordanian Stock Market”, International Research Journal of Finance and Economics, pp. 194- 208.
- BAHNG, Seungwook and Seung Myo SHIN; (2004), “Interactions of stock markets within the greater China economic bloc”, Global Economic Review, pp. 43-60.
- BEINE Michel, Gunther BLANCARD, and Helena RAYMOND; (2008), “Nonlinear Causality between Stock Markets”, The European Journal of Finance International, pp. 299-312.
- BERUMENT, Hakan and Onur İNCE; (2005), “Effect of S&P500’s Return on Emerging Markets: Turkish Experience”, Applied Financial Economics Letters, pp. 59-64.
- CROCI, Manuela; (2003), An Empirical Analysis of International Equity Market Co–Movements: Implications for Informational Efficiency, Università Politecnica Delle Marche, Dipartimento Di Economia.
- ÇELİK, Tankut T.; (2007), Etkin Piyasa Hipotezi ve Gelişmekte Olan Hisse Senedi Piyasalarında Eşhareketlilik, İstanbul Teknik Üniversitesi, Sosyal Bilimler Enstitüsü, (Doktora Tezi), İstanbul.
- DARRAT, Ali F. and Omar M. BENKATO; (2003), “Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange”, Journal of Business Finance & Accounting, pp. 1089-1114.
- ELMAS, Bekir and Sinan TEMURLENK; (2009), “Hisse Senedi Fiyatı-İşlem Hacmi Arasındaki Granger Nedensellik: İMKB’de Hisse Bazlı Bir Analiz”, 10. Ekonometri ve İstatistik Sempozyumu, ss. 1-11.
- ENGLE Robert, Ito TAKATOSHI and Ling Lin WEN; (1990), “Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market”, Econometrica, pp. 525-542.
- HASSAN Taufig, Annuar Bin NASSIR and Shamsher MOHAMAD; (2006), “The Heat Waves or Meteor Showers Hypothesis: Test on Selected Asian Emerging and Developed Stock Markets”, Investment Management and Financial Innovations, pp. 120-131.
- KASA, Kenneth; (1992), “Common stochastic trends in international stock markets”, Journal of Monetary Economics, pp. 95-124.
- KOHONENY, Anssi; (2012), “Explaining meteor showers in stock markets: New test for transmission effects and estimation of signal-extraction model for simultaneously open markets”, Department of Political and Economic Studies, University of Helsinki, and HECER, pp. 1-28.
- MAVRAKIS, Emmanouil and Christos ALEXAKIS; (2008), “Stock Markets’ Linkages: An Empirical Investigation for LongTerm International Diversification Benefits”, International Research Journal of Finance and Economics, pp. 163-178.
- PENA J. Ignacio; (1992), “On meteor showers in stock markets: New York vs Madrid”, Investigaciones Economicas, pp. 225-234.
- Quantitative Micro Software, (2004), Eviews 5 User’s Guide, USA.
- RATANAPAKORN, Orawan and Subhash C. SHARMA; (2002), “Interrelationships Among Regional Stock Indices”, Review of Financial Economics, pp. 91-108.
- SHARKASI Adel, Heather RUSKIN and Martin CRANE; (2004), “Interdependence between emerging and major Markets”, 16th Symposium of IASC, pp. 1-6.
- TAN, Adelaine; (2012), “Stock Market Integration: Case of the Philippines”, Philippine Management Review, pp. 75-90.
- VALADKHANI Abbas, Surachai CHANCHARAT and Charles HAVIE; (2006), The Interplay between the Thai and Several Other International Stock Markets, University of Wollongong Economics Working Paper Series.
- www.borsaistanbul.com (05.05.2014), Borsa İstanbul. http://www.imkb.gov.tr/Publications/AnnualReports.aspx (09.10.2010), Borsa İstanbul.
Öz
The aim of this study is to discover the interdependence among international stock markets. The globalization of money and capital markets, increasing scale of international trade, increase of global funds, technological improvements and increase in opportunities and high speed of communication give opportunity for interdependence among stock markets. With this study it is aimed to display the interdependence among market indices of G-8 countries and İMKB100. Market indices; Nikkei225 from Japan, MICEX from Russia, IMKB100 from Borsa Istanbul, FTSE/MIB from Italy, DAX from Germany, CAC40 from France, FTSE100 from England, S&P500 from USA and S&P/TSX Composite from Canada were included in the implementation of the research. Daily and weekly data for the period 2003 and 2012 were used in the research. Johansen Cointegration Methodology is used. After unit root tests ADF and PP, Johansen Cointegration test is applied. Both Trace and Eigenvalue Statistics indicate 1 cointegration vector. And then VECM is applied in order to find interdependence among the indices for long term relations. Cointegration equation has effect on German, Italian, French and Japanese stock markets. Later bilateral cointegration tests were done among Borsa Istanbul and other exchanges. It is not detected a long run relationship.
Anahtar Kelimeler
International Stock Markets Integration Cointegration VECM Borsa İstanbul G-8 Countries
Kaynakça
- AKTAR, İsmail; (2009), “Is there any Comovement Between Stock Markets of Turkey, Russia and Hungary?”, International Research Journal of Finance and Economics, pp. 192-200.
- ALEXANDER, Carol; (2001), Market Models: A Guide to Financial Data Analysis, Wiley. ALEXANDER, Carol; (1999), “Correlation and Cointegration in Energy Markets”, ISMA Centre Risk Publications, pp. 2-27
- ALEXANDER Carol, Ian GIBLIN and Wayne WEDDINGTON; (2002), “Cointegration and Asset Allocation: A New Active Hedge Fund Strategy”, Financial Risk and Financial Risk Management, pp. 65-89.
- Al-FAYOUMI Nedal, Basheer KHAMEES and Ali Al-THUNEIBAT; (2009), “Information Transmission among Stock Return Indexes:Evidence from the Jordanian Stock Market”, International Research Journal of Finance and Economics, pp. 194- 208.
- BAHNG, Seungwook and Seung Myo SHIN; (2004), “Interactions of stock markets within the greater China economic bloc”, Global Economic Review, pp. 43-60.
- BEINE Michel, Gunther BLANCARD, and Helena RAYMOND; (2008), “Nonlinear Causality between Stock Markets”, The European Journal of Finance International, pp. 299-312.
- BERUMENT, Hakan and Onur İNCE; (2005), “Effect of S&P500’s Return on Emerging Markets: Turkish Experience”, Applied Financial Economics Letters, pp. 59-64.
- CROCI, Manuela; (2003), An Empirical Analysis of International Equity Market Co–Movements: Implications for Informational Efficiency, Università Politecnica Delle Marche, Dipartimento Di Economia.
- ÇELİK, Tankut T.; (2007), Etkin Piyasa Hipotezi ve Gelişmekte Olan Hisse Senedi Piyasalarında Eşhareketlilik, İstanbul Teknik Üniversitesi, Sosyal Bilimler Enstitüsü, (Doktora Tezi), İstanbul.
- DARRAT, Ali F. and Omar M. BENKATO; (2003), “Interdependence and Volatility Spillovers Under Market Liberalization: The Case of Istanbul Stock Exchange”, Journal of Business Finance & Accounting, pp. 1089-1114.
- ELMAS, Bekir and Sinan TEMURLENK; (2009), “Hisse Senedi Fiyatı-İşlem Hacmi Arasındaki Granger Nedensellik: İMKB’de Hisse Bazlı Bir Analiz”, 10. Ekonometri ve İstatistik Sempozyumu, ss. 1-11.
- ENGLE Robert, Ito TAKATOSHI and Ling Lin WEN; (1990), “Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market”, Econometrica, pp. 525-542.
- HASSAN Taufig, Annuar Bin NASSIR and Shamsher MOHAMAD; (2006), “The Heat Waves or Meteor Showers Hypothesis: Test on Selected Asian Emerging and Developed Stock Markets”, Investment Management and Financial Innovations, pp. 120-131.
- KASA, Kenneth; (1992), “Common stochastic trends in international stock markets”, Journal of Monetary Economics, pp. 95-124.
- KOHONENY, Anssi; (2012), “Explaining meteor showers in stock markets: New test for transmission effects and estimation of signal-extraction model for simultaneously open markets”, Department of Political and Economic Studies, University of Helsinki, and HECER, pp. 1-28.
- MAVRAKIS, Emmanouil and Christos ALEXAKIS; (2008), “Stock Markets’ Linkages: An Empirical Investigation for LongTerm International Diversification Benefits”, International Research Journal of Finance and Economics, pp. 163-178.
- PENA J. Ignacio; (1992), “On meteor showers in stock markets: New York vs Madrid”, Investigaciones Economicas, pp. 225-234.
- Quantitative Micro Software, (2004), Eviews 5 User’s Guide, USA.
- RATANAPAKORN, Orawan and Subhash C. SHARMA; (2002), “Interrelationships Among Regional Stock Indices”, Review of Financial Economics, pp. 91-108.
- SHARKASI Adel, Heather RUSKIN and Martin CRANE; (2004), “Interdependence between emerging and major Markets”, 16th Symposium of IASC, pp. 1-6.
- TAN, Adelaine; (2012), “Stock Market Integration: Case of the Philippines”, Philippine Management Review, pp. 75-90.
- VALADKHANI Abbas, Surachai CHANCHARAT and Charles HAVIE; (2006), The Interplay between the Thai and Several Other International Stock Markets, University of Wollongong Economics Working Paper Series.
- www.borsaistanbul.com (05.05.2014), Borsa İstanbul. http://www.imkb.gov.tr/Publications/AnnualReports.aspx (09.10.2010), Borsa İstanbul.
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Research Article |
| Yazarlar | |
| Yayımlanma Tarihi | 1 Ağustos 2014 |
| Yayımlandığı Sayı | Yıl 2014 Sayı: 594 |