Abstract:

The integration of financial markets has caused the country's economy and stock markets to interact more and more. The global crisis, which started in 2008 and whose effects are still unavailable, has also affected other countries' stock exchanges due to the fact that it originated in developed countries. Negative indicators created by the contagion effect on financial markets negatively affected the economies with the decrease of portfolio investments and the decrease of trade volumes. In this process, many studies have been carried out to investigate how integrated the markets are. The effects of the crisis in US and the dollar exchange rate on developing country currencies are still under investigation. In the study in order to reveal the relationship between financial markets, Turkey and between BRICS countries stock indexes, short- and long-run equilibrium relationship was examined. For this purpose, between January 2003 and March 2016, index values of country stock exchanges were examined by Engle Granger, Johansen and Gregory Hansen cointegration test. Keywords: Contagion, BRICs, Cointegration, Econometrics, Finance.

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