Abstract:

The aim of this study is to examine the existence of a long-term integration relationship between the seven countries’ stock exchanges, which have an important place in the foreign trade of Turkey under structural breakdowns. Method - The long-term relationship between Turkey and the seven country stock index for the period of January 2000-May 2019 was studied by the unit root test and Hatemi-J (2008) matching test, which allowed two structural breakdown. The findings - Dickey-Fuller (ADF;1981), Phillips-Perron (PP;1988) and Lee and Strazicich (2003) unit root test results determined the integration degrees of the series as I(1) . Hatemi-J (2008) structural breakable integration test shows that there is a long-term relationship between BIST100 and DAX 30, FTSE 100, IMOEX, CAC 40 and S&P 500, but there is no long-term relationship with FTMIB and IBEX. Discussions - The integration test results indicate that there are different relationships for different breakdown dates between the five exchanges (DAX 30, FTSE 100, IMOEX, CAC 40 and S&P 500) examined with BIST 100, indicating that the structural changes occurring during the examined period have an impact on the relationship between the exchanges. In addition, investors will be able to invest in long-term relationships and reduce their risks by making portfolio diversification.