Abstract:

The study aims to study the integration between the index of the stock markets of Mexico, Indonesia, South Korea and Turkey known as the MIST countries. For the period 2000-2016, the daily closing values of the country’s stock index for the period 2000-2016, Johansen’s integration and VECM Granger’s causal analysis were conducted. Johansen’s integration test results reveal the existence of a long-term balance between the stock markets of the MIST countries. Furthermore, the validity of the short-term causal relationship between these markets has been studied with the Vector Error Correction Model (VECM). According to the Causability Analysis results, the existence of a one-way causal relationship from Indonesia to South Korea and from Turkey to Mexico has been identified. For a long time, the existence of the MIST economies identified the integration relationship indicates the diversification of portfolios and the limitation of arbitration opportunities between the stock markets of these economies.

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