ANALYSIS OF THE RELATIONSHIP BETWEEN BIST AND BRICS STOCK MARKETS IN TERMS OF PORTFOLIO DIVERSIFICATION: COINTEGRATION ANALYSIS WITH ARDL BOUNDARY TEST

Muslum POLAT; Eray GEMİCİ

doi:https://doi.org/10.17261/Pressacademia.2017.749

Makale detayları

ANALYSIS OF THE RELATIONSHIP BETWEEN BIST AND BRICS STOCK MARKETS IN TERMS OF PORTFOLIO DIVERSIFICATION: COINTEGRATION ANALYSIS WITH ARDL BOUNDARY TEST

Yazarlar:

Muslum POLAT | Eray GEMİCİ

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economics Finance and Accounting 2017 Vol.4 Issue 4, pp.393-403

Belge Tipi:

Makale

Yayın Tarihi:

12/2017

Belge Dili:

Türkçe

Document ID (Org No.):

2000738764

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2017.749

Özet:

 


Purpose - The aim of
this study is to determine whether it is appropriate to diversify between the
Turkish stock exchange and the BRICS stock exchange for individual investors
that diversifying internationally and portfolio managers For this purpose, a
long and short relationship between the Turkish stock exchange and BRICS stock
exchanges was investigated.

Methodology - In the study in which monthly data of the stock
exchanges of Turkey and BRICS countries of the dates between January



2003 and June 2017 were used, The ARDL boundary test developed by Pesaran et al. (2001), was used
as the method. 


Findings - As a result, it has been determined that the Indian
and Brazilian stock markets are short-term and long-term, while the Russian
stock market is only short-term cointegrated with the Turkish stock exchange.
Whereas, there is no short or long term relationship between the Chinese and
South African stock exchanges and the Turkish stock Exchange. 


Conclusion - When creating a portfolio of investors or portfolio
managers in Turkey, they should not include stocks from India and Brazilian
stock exchanges if a long-term portfolio is to be created. while preparing a
short-term portfolio, they should not add stocks from Russian stock market as
well as these two countries. Instead they will be able to diversify stocks from
China and South Africa stock exchanges to diversify their basket additions. 













 


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Makale detayları

ANALYSIS OF THE RELATIONSHIP BETWEEN BIST AND BRICS STOCK MARKETS IN TERMS OF PORTFOLIO DIVERSIFICATION: COINTEGRATION ANALYSIS WITH ARDL BOUNDARY TEST

Yazarlar: Muslum POLAT | Eray GEMİCİ

Yayıncı: PressAcademia

Ana Başlıklar: Sosyoloji & antropoloji

Dergi: Journal of Economics Finance and Accounting 2017 Vol.4 Issue 4, pp.393-403

Belge Tipi: Makale

Yayın Tarihi: 12/2017

Belge Dili: Türkçe

Document ID (Org No.): 2000738764

Sıklık: Üç Aylık

eISSN: 2148-6697

DOI: https://doi.org/10.17261/Pressacademia.2017.749

Sayı

Yazarlar:

Muslum POLAT | Eray GEMİCİ

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Journal of Economics Finance and Accounting 2017 Vol.4 Issue 4, pp.393-403

Belge Tipi:

Makale

Yayın Tarihi:

12/2017

Belge Dili:

Türkçe

Document ID (Org No.):

2000738764

Sıklık:

Üç Aylık

eISSN:

2148-6697

DOI:

https://doi.org/10.17261/Pressacademia.2017.749