The Effects of G-7 Countries’ Stock Markets on the Istanbul Stock Exchange

Nildag Ceylan

Istanbul Stock Exchange Review, 2006, vol. 8, issue 32, 37-56

Abstract: In this paper, the effects of G-7 countries’ stock market indices, DAX (Germany), CAC 40 (France), FTSE (United Kingdom), S&P TSX Composite (Canada), NIKKEI 225 (Japan), S&P 500 (USA), DOW JONES (USA), NASDAQ (USA), and MIBTEL (Italy), on the stock market of Turkey, Istanbul Stock Exchange (ISE-100), have been examined by using a block recursive VAR model. The findings of the study suggest that all the indices except for NIKKEI 225, have positive and significant effects on the ISE-100. As a result of the analysis, it is reported that the effects of the other stock market indices on the ISE-100 have decreased for the period between 01.01.1995-31.10.2000 in which there exist no financial crisis for Turkey, however after September 11, as the effects of the globalization have increased, the effects of the stock market indices on the ISE-100 have increased.

Keywords: Time Series Analysis; Stock Market Integration; G-7 countries. (search for similar items in EconPapers)
JEL-codes: C22 G10 G15 (search for similar items in EconPapers)
Date: 2006
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