Özet:

This study examines the long-term relationship between the Turkish stock exchange and Emerging Markets stock exchanges. “Emerging Markets” classification is based on Morgan Stanley Capital International (MSCI). Accordingly, stock price index of the following countries are included in the scope of the study: Brazil, Chile, Colombia, Mexico and Peru among Latin American countries; Chez Republic, Egypt, Greece, Hungary, Poland, Russia and South Africa among the European, Middle East and African countries; China, India Indonesia, Korea, Malaysia, Philippines, Taiwan and Thailand among Asian countries. Long-term relationship between the Turkish market and the above-listed markets is analysed via Johansen cointegration test for the period of December 30 1994- September 30 2013. According to the study results, there is a statistically significant relationship between, the Turkish and Columbian and the Turkish and Mexican stock exchanges while no such statistically significant relationship is detected between the Turkish and the remaining study stock exchanges. It can be concluded in the light of these findings that there is possibility of portfolio diversification and arbitrage with the markets which do not cointegrate with Turkey in the long-term.

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