The Relationship of BIST 100 Index with International Stock Indices

Ferit Karahan

Makale detayları

The Relationship of BIST 100 Index with International Stock Indices

Yazarlar:

Ferit Karahan

Yayıncı:

Kütahya Dumlupinar University

Ana Başlıklar:

Uluslararası Finans

Dergi:

Dumlupınar Üniversitesi Sosyal Bilimler Dergisi Issue 78, pp.448-458

Belge Tipi:

Makale

Yayın Tarihi:

10/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001302338

pISSN:

1302-1842

Anahtar kelimeler:

Özet:

 International markets act interconnectedly with the influence of globalization. As a result of this connection, the information flow that occurs in one market can have an impact on a different market. In order to investigate whether important stock market indices in different geographies are related to each other, in this study, Turkiye BIST 100 stock market and Germany DAX, England FTSE 100, Japan NIKKEI 225, China SHANGHAI, USA SP500. -DOW30-NASDAQ l00 long-term relationship between country stock market indices was investigated. 623 observation values at a weekly frequency covering the period 01.04.2009-06.12.2020 were used in the application. The long-term relationship was analyzed with the Johensen-Juselius cointegration test. As a result of the application, there is a long-term significant relationship between Turkey BIST100 and Germany DAX, England FTSE 100, Japan NIKKEI 225, USA SP500- DOW30- NASDAQl00, while there is a long-term significant relationship between Turkey BIST100 and China SHANGHAI. No significant relationship was found for the specified period.

 International markets act interconnectedly with the influence of globalization. As a result of this connection, the information flow that occurs in one market can have an impact on a different market. In order to investigate whether important stock market indices in different geographies are related to each other, in this study, Turkiye BIST 100 stock market and Germany DAX, England FTSE 100, Japan NIKKEI 225, China SHANGHAI, USA SP500. -DOW30-NASDAQ l00 long-term relationship between country stock market indices was investigated. 623 observation values at a weekly frequency covering the period 01.04.2009-06.12.2020 were used in the application. The long-term relationship was analyzed with the Johensen-Juselius cointegration test. As a result of the application, there is a long-term significant relationship between Turkey BIST100 and Germany DAX, England FTSE 100, Japan NIKKEI 225, USA SP500- DOW30- NASDAQl00, while there is a long-term significant relationship between Turkey BIST100 and China SHANGHAI. No significant relationship was found for the specified period.

 International markets act interconnectedly with the influence of globalization. As a result of this connection, the information flow that occurs in one market can have an impact on a different market. In order to investigate whether important stock market indices in different geographies are related to each other, in this study, Turkiye BIST 100 stock market and Germany DAX, England FTSE 100, Japan NIKKEI 225, China SHANGHAI, USA SP500. -DOW30-NASDAQ l00 long-term relationship between country stock market indices was investigated. 623 observation values at a weekly frequency covering the period 01.04.2009-06.12.2020 were used in the application. The long-term relationship was analyzed with the Johensen-Juselius cointegration test. As a result of the application, there is a long-term significant relationship between Turkey BIST100 and Germany DAX, England FTSE 100, Japan NIKKEI 225, USA SP500- DOW30- NASDAQl00, while there is a long-term significant relationship between Turkey BIST100 and China SHANGHAI. No significant relationship was found for the specified period.

 Uluslararası piyasalar küreselleşmenin de etkisiyle birbirlerine bağlantılı bir şekilde hareket etmektedirler. Bu bağlantının sonucu olarak bir piyasada oluşan bilgi akışı, farklı bir piyasa üzerinde etkili olabilmektedir. Farklı coğrafyalarda bulunan önemli borsa endekslerinin birbirleriyle ilişki içerisinde olup olmadığını araştırmak amacıyla, bu çalışmada Türkiye BIST 100 hisse senedi piyasası ile Almanya DAX, İngiltere FTSE 100, Japonya NIKKEI 225, Çin SHANGHAI, ABD SP500 - DOW30 - NASDAQ l00 ülke hisse senedi piyasa endeksleri arasında uzun dönemli ilişki araştırılmıştır. 01.04.2009-06.12.2020 dönemini kapsayan haftalık frekansta 623 adet gözlem değeri uygulamada kullanılmıştır. Uzun dönemli ilişkiyi ise Johensen-Juselius eşbütünleşme testi ile analiz edilmiştir. Analiz sonucunda Türkiye BIST100 ile Almanya DAX, İngiltere FTSE 100, Japonya NIKKEI 225, ABD SP500- DOW30- NASDAQl00 arasında uzun dönemli anlamlı bir ilişki mevcut iken Türkiye BISTl00 ile Çin SHANGHAI arasında belirtilen dönem için anlamlı bir ilişki bulunamamıştır.

Makale detayları

The Relationship of BIST 100 Index with International Stock Indices

Yazarlar:

Ferit Karahan

Yayıncı:

Kütahya Dumlupinar University

Ana Başlıklar:

Uluslararası Finans

Dergi:

Dumlupınar Üniversitesi Sosyal Bilimler Dergisi Issue 78, pp.448-458

Belge Tipi:

Makale

Yayın Tarihi:

10/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001302338

pISSN:

1302-1842

Cointegration

BIST 100

world indicesEşbütünleşme

BIST 100

dünya endeksleri

Sayı

Makale detayları

The Relationship of BIST 100 Index with International Stock Indices

Yazarlar: Ferit Karahan

Yayıncı: Kütahya Dumlupinar University

Ana Başlıklar: Uluslararası Finans

Dergi: Dumlupınar Üniversitesi Sosyal Bilimler Dergisi Issue 78, pp.448-458

Belge Tipi: Makale

Yayın Tarihi: 10/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001302338

pISSN: 1302-1842

Cointegration

BIST 100

world indicesEşbütünleşme

BIST 100

dünya endeksleri

Sayı

Yazarlar:

Ferit Karahan

Yayıncı:

Kütahya Dumlupinar University

Ana Başlıklar:

Uluslararası Finans

Dergi:

Dumlupınar Üniversitesi Sosyal Bilimler Dergisi Issue 78, pp.448-458

Belge Tipi:

Makale

Yayın Tarihi:

10/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001302338

pISSN:

1302-1842