Abstract:

The aim of this study is to explore the integration between the capital markets of Argentina, Egypt, Qatar, Pakistan and Turkey, which the international credit rating organization Standard and Poor's (S&P) described as a vulnerable five in November 2017. The data used in the study consists of the daily data of the stock exchanges between 05 January 2009 and 20 March 2018 as an indicator of the capital markets of the vulnerable five countries. For the country’s stock exchange indicators, first the Augmented Dickey Fuller (ADF) unit root test, then the Granger cause analysis is carried out. According to the research results; Turkey BIST 100 and Argentina Merval Index to Qatar QE Index; Turkey BIST 100 and Argentina Merval Index to Egypt Hermes Index; Turkey BIST 100 to Pakistan KSE 100 and Argentina Merval Index to Turkey BIST 100 one-way Granger causality relationship has been identified.

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