AN EMPIRICAL ANALYSIS ON THE INTEGRATION OF THE STOCK EXCHANGES OF THE ISE WITH THOSE OF EUROPEAN UNION MEDITERRANEAN COUNTRIES

Mustafa İbicioğlu and Ayhan Kapusuzoglu

Anadolu University Journal of Social Sciences, 2011, vol. 11, issue 3, 85-102

Abstract: The present study examines the relationship between Turkey’s stock market and the stock markets of the EU Mediterranean countries using various econometric techniques. Covering the period from 01.07.2002 to 01.03.2010 and consisting of 1922-day data, the study found that there is a cointegration relationship among the stock markets of all countries as analyzed by Johansen cointegration test; in other words, there exists a long-term relation among them. The results of Granger causality analysis revealed that Paris Stock Exchange is highly determinant among all stock markets under examination and that there is no stock market that is causal to the Istanbul Stock Exchange. The variance decomposition and impulse-response function were performed, which supported the result that Paris stock exchange is highly determinant, identified the contributions of the variables upon themselves and one another, and revealed the effects of possible shocks in the variables upon themselves and each other. It could be argued that the study’s results are significant with regard to the integration of the national stock markets under study and international portfolio diversification.

Keywords: Stock markets; international portfolio diversity; co-integration; causality (search for similar items in EconPapers)
JEL-codes: C32 E44 F36 G15 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:and:journl:v:11:y:2011:i:3:p:85-102

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