Bilgi teknolojileri alanındaki ilerlemeler ve sermaye hareketlerinin önündeki engellerin kalkması, finansal entegrasyon sürecini hızlandırmıştır. finansal entegrasyonun artması uluslararası portföy çeşitlendirmesi açısından piyasalar arasındaki ilişkileri araştıran çalışmalara önem kazandırmıştır. Bu amaçla çalışmada 20.05.2010-03.04.2018 dönemi için günlük dolar bazlı fiyatlar kullanılarak BIST ile Dow Jones, DAX ve CAC sanayi, mali ve teknoloji sektör endeksleri arasındaki uzun dönemli ilişkinin varlığı Engle-Granger (1987) eşbütünleşme yöntemiyle analiz edilmiştir. Sonuçlar uzun dönemde 3 ülkenin sanayi endeksi ile BIST sanayi endeksinin, 3 ülkenin mali sektör endeksi ile BIST mali endeksinin ve 3 ülkenin teknoloji endeksi ile BIST teknoloji endeksinin birlikte hareket etmediklerini ortaya koymuştur. Kısa dönem dinamikleri ise Granger nedensellik testi ile incelenmiş ve BIST ile CAC sektör endekslerinin uluslararası çeşitlendirme için uygun oldukları tespit edilmiştir.
The advances in information technology and the emergence of barriers to capital movements have accelerated the process of financial integration. Increased financial integration has given importance to studies that investigate the relations between markets in terms of international portfolio diversification. For this purpose in the study, the existence of a long-term relationship between BIST and Dow Jones, DAX and CAC industry, financial and technology sectors, using the daily dollar-based prices for the period 20.05.2010-03.04.2018 was analyzed by the engle-Granger (1987) synergy method. In the long term, the results showed that the 3 countries' industrial index and the BIST industrial index, the 3 countries' financial sector index and the BIST financial index and the 3 countries' technology index and the BIST technology index did not work together. The short-term dynamics have been studied by the Granger causality test and the BIST and CAC industry index have been found to be appropriate for international diversification.
Developments in the field of information technologies and the removal of obstacles to capital movements have accelerated the financial integration process. The increase in financial integration has given importance to studies investigating the relationship between financial markets in terms of international portfolio diversification. For this purpose, the long-term relationship between BIST and Dow Jones, DAX and CAC industry, financial and technology sector indexes is tested by Engle-Granger (1987) cointegration method, taking into account daily dollar based prices for the period 20.05.2010-03.04.2018. The findings show that the industrial index of the 3 countries and the BIST Industry Index, the financial sector index of the 3 countries and the BIST Financial Index, and the technology index of the 3 countries and BIST Technology Index are not moving together in the long-run. Short-run dynamics were examined by the Granger causality test, and BIST and CAC sector indices were found to be suitable for international diversification.
Dergi Türü : Uluslararası
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