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TÜRKİYE BORSASI İLE ASYA ÜLKELERİ BORSALARI ARASINDAKİ ENTEGRASYON İLİŞKİSİ

COINTEGRATION RELATIONSHIP BETWEEN TURKISH STOCK EXCHANGE AND ASIAN COUNTRIES STOCK EXCHANGES

Journal Name:

  • Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Publication Year:

  • 2010

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
In this study, long term relation between Turkish stock market(ISE 100) index and Asian countries stock markets’ indices; Australia (OLL ORDINARIES), China (Shanghai Composite), Hong Kong (Hang Seng), India (BSE 30), Indonesia (Jakarta Composite), Malaysia (KLSE Composite), Japan (Nikkei 225), South Korea (Seoul Composite), Taiwan (Taiwan Weighted), Singapore (Straits Times) is examined. The long term relation between the countries’ stock index values for the period between January 1998 and December 2009 is analysed by Johansen-Juselius Cointegration test. While there exists a significant long term relation between Turkish Stock Exchange and Singapore, Malaysia, Taiwan and South Korea stock exchanges for the period between 1998-2009; there does not exist a significant relation between Turkish Stock Exchange and Japan, China, Hong Kong, India, Australia and Indonesia stock exchanges for the same period.
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Abstract (Original Language): 
Bu çalışmada, Türkiye hisse senedi piyasasının (İMKB 100) ile Asya Ülkeleri hisse senedi piyasaları; Avustralya (OLL ORDINARIES), Çin (Shanghai Composite), Hong Kong (Hang Seng), Hindistan (BSE 30), Endenezya (Jakarta Composite), Malezya (KLSE Composite), Japonya (Nikkei 225), Kore (Seoul Composite), Tayvan (Taiwan Weighted), Singapur (Straits Times) ülkelerinin endeksleri arasındaki uzun dönemli ilişki araştırılmıştır. Ocak 1998 ile Aralık 2009 dönemi için ülkelere ait hisse senedi endeks değerleri arasındaki uzun dönemli ilişki, Johensen-Juselius Eştümleşme testi ile analiz edilmiştir. Türkiye ile Singapur, Malezya, Tayvan ve Kore borsaları arasında 1998– 2009 döneminde uzun dönemli anlamlı bir ilişki mevcut iken, Türkiye borsası ile Japonya, Çin, Hong Kong, Hindistan, Avustralya ve Endonezya borsaları arasında belirtilen dönem için anlamlı bir ilişki mevcut değildir.
FULL TEXT (PDF): 
PDF icon arastirmax-turkiye-borsasi-ile-asya-ulkeleri-borsalari-arasindaki-entegrasyon-iliskisi.pdf
  • 36
57-71
  • Turkish

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