Atıf Sayısı
13
Görüntüleme
119
İndirme
45
The objective of this study is to examine the existence and level of cointegration between the Morgan Stanley emerging market index and BIST index. Therefore, monthly closing indices in the period between January 1990 and December 2011 are used. In this study, unit root tests are applied to test for stationary and two stages Engle- Granger approach and Error Correction model are conducted to examine cointegration between the indices. Also, 1994, 1998, 2001 and 2008 crises represented by dummy variables are integrated into the model. According to the results of the cointegration analysis, the series move together in the long run, that, they are cointegrated. In the short run, the error correction term works and after 16 periods convergence of indices occurs. As a result, these emerging market indices do not offer any good opportunities for the efficient portfolio diversification Dummy variables representing the crises are not found statistically significant.
the aim of this study is to examine the potential and level of cointegration between the morgan stanley advanced market index and bist index therefore monthly distributed within the period between the january 1990 and december 2011 are used in this study unit root tests are applied to test for stationary and two categories of mostgle granger approach and error correction model model are conducted to examine cointegration between the provisions also 1994 1998 2001 and 2008 crisesification by dummy variables are integrated into the model according to the implementation of the implementation of the implementation of the positive results of the implementation of the longitude of the implementation of the implementation of the implementation of the implementation of the implementation of the longitude of the implementation of the implementation of the implementation of the implementation of the implementation of the positive results of the implementation of the implementation of the implementation of the implementation of the implementation of the implementation of the implementation of the implementation of the implementation of the longitude of the solution of the implementation of the implementation of the implementation of the longitude of the implementation of the implementation of the implementation of the implementation of the solution of the longitude of the implementation of the implementation of the implementation of the implementation of the implementation of the implementation of the implementation of
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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