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- Title
Morgan Stanley Gelişmekte Olan Borsa Endeksi ile BIST Endeksi Arasındaki Eşbütünleşme İlişkisinin Analiz Edilmesi.
- Authors
YILDIZ, Ayşe; AKSOY, Emine Ebru
- Abstract
The objective of this study is to examine the existence and level of co- integration between the Morgan Stanley emerging market index and BIST index. Therefore, monthly closing indices in the period between January 1990 and December 2011 are used. In this study, unit root tests are applied to test for stationary and Engle- Granger approach and Error Correction model are conducted to examine cointegration between the indices. Also 1994, 1998, 2001 and 2008 crises represented by dummy variables are integrated into the model. According to the results of the cointegration analysis, the series move together in the long run, that, they are cointegrated. In the short run, the error correction term works and after 16 periods convergence of indices occurs. As a result, these emerging market indices do not offer any good opportunities for the efficient portfolio diversification Dummy variables representing the crises are not found statistically significant.
- Subjects
TURKEY; COINTEGRATION; EMERGING markets; ERROR correction (Information theory); PORTFOLIO management (Investments); MARKETING research; DUMMY variables; STOCK exchanges
- Publication
Ataturk University Journal of Economics & Administrative Sciences, 2014, Vol 28, Issue 1, p1
- ISSN
1300-4646
- Publication type
Article