Co-Movement and Asymmetric Adjustment in the Istanbul Stock Exchange

Ebru Yüksel and Güldal Güleryüz
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Ebru Yüksel: Hacettepe University
Güldal Güleryüz: Hacettepe University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2010, vol. 25, issue 88, 97-113

Abstract: The aim of this paper is to examine symmetric and asymmetric relationship among sector indices of Istanbul Stock Exchange (ISE) using Engle Granger cointegration and Enders and Siklos (2001) threshold autoregressive (TAR) and momentum-TAR models. The indices are ISE100, industry, finance, services and technology. It is mainly found that there is no long-run and short-run significant correlation among sector indices. This result shows that there are benefits of portfolio diversification among sector indices in ISE.

Keywords: Asymmetric Adjustment; Cointegration; Istanbul Stock Exchange (ISE); Sector Index (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:25:y:2010:i:88:p:97-113

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