publication . Thesis . 2009

Evaluation of linkages between equity indices : evidence from İstanbul Stock Exchange and Dow Jones

Ertan, Aytekin;
Open Access English
  • Published: 01 Jan 2009
  • Publisher: Bilkent University
  • Country: Turkey
Abstract
Ankara : The Department of Management, Bilkent Univiversity, 2009. Thesis (Master's) -- Bilkent University, 2009. Includes bibliographical references leaves 30-33. This study investigates the linkage between the major stock market indices of Turkey (ISE National 100) and USA (Dow Jones Industrial Average). Main purpose of this research is to measure the interdependence and cointegration between these indices and figure out the significance and the direction of short run relationship, if there exists any. Cointegration analyses based on Johansen Method demonstrated that there is not any cointegrating vector between these indices, refuting an integrated long term ...
Subjects
free text keywords: Stock Market Indices, Granger Causality, Cointegration, HG4551 .E78 2009, Stock exchange., Stock markets., Stock price indexes., Stock exchanges--United States., Stock exchanges--Turkey., Dow Jones industrial average.
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