 Re-testing for financial integration of the Turkish Stock Market and the US Stock Market: An Evidence from co-integration and error correction modelsTurgut Türsoy and Faisal Faisal Romanian Statistical Review, 2017, vol. 65, issue 2, 43-55 Abstract: This paper investigates financial market integration among U.S. stock market and Turkish stock market using monthly data for the period of 1989 to 2015. The purpose of this article is to examine whether share prices of two countries showing a common trend. Using cointegration analysis, the study provides empirical evidence of common trends among for US and Turkey stock markets. The empirical results of the study highlighted that Turkish and US stock markets are strongly cointegrated and moving together in the long run. Furthermore, the results of Granger causality test confirm the absence of weak causality. However, a uni-directional (strong Granger causality) was found from US stock market to Turkish stock market. The confirmation of significant error correction term also implies the evidence of a long-run relationship. The findings of the study suggested that Turkish stock market which is the local market is strongly integrated with the US stock market. The reliability and stability of the estimations are confirmed by diagnostic checks and CUSUM test. Keywords: Financial integration; Cointegration; Granger Causality; Stock price (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:rsr:journl:v:65:y:2017:i:2:p:43-55 Access Statistics for this article More articles in Romanian Statistical Review from Romanian Statistical Review Contact information at EDIRC. |
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