Is the Turkish equity market integrated with European North American and emerging markets

Download

index.pdf

Date

2010

Author

Özberki, İzzet

Metadata

Show full item record

Item Usage Stats

126
views

67
downloads

Modern portfolio theory stipulates that an investor can reduce systemic risk simply by diversifying its assets across national boundaries. Therefore, the issue of whether stock markets are cointegrated carries important implications for portfolio diversification. This study aims to identify and model a relationship between four equity markets namely, Turkish, European, North American and emerging markets using cointegration technique. We investigated the existence of cointegrating equation between four stock market indices and also the existence of a structural break. During our investigation, we constructed a vector error correction model (VECM) to observe short and long run relationships between the four markets. We used daily data from the October 23, 1995 until November 20, 2009 and relevant Morgan Stanley Capital International (MSCI) indices, namely MSCI Turkey, MSCI North America, MSCI Europe and MSCI Emerging Markets. Our first finding was that the Turkish equity markets are cointegrated with European, North American and emerging markets indicates that investing in the Turkish equity market does not provide an opportunity for risk diversification for international investors in the long run. It is only possible to benefit from the discrepancies which may occur in the short run. Furthermore, we identified a structural break contemporaneous with crisis of November 2000.

Subject Keywords

Economics.

URI

http://etd.lib.metu.edu.tr/upload/12611962/index.pdf
https://hdl.handle.net/11511/19581

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

Multiregional social accounting matrix and multiplier analysis: an application for Turkish economy Erdoğan, Eda; Voyvoda, Ebru; Department of Economics (2011) Social accounting matrix (SAM) is one of the tools used in regional economic analysis, enabling understanding the structure of the economy as well as analyzing the impacts of policies or exogenous shocks. In this thesis, a two-region SAM of Turkey is constructed for the year 2002 and the findings of multiplier analysis are presented. To this end, first, a two-region input-output (I-O) table is constructed using location quotient (LQ) method and using this two-region I-O table, a two-region SAM is compiled. ...
Stochastic optimization applied to self-financing portfolio: does bequest matter? Gazioglu, Saziye; Bastiyali-Hayfavi, Azize (Informa UK Limited, 2010-01-01) The article studies stochastic optimization of an intertemporal consumption model to allocate financial assets between risky and risk-free assets. We use a stochastic optimization technique, in which utility is maximized subject to a self-financing portfolio constraint. The papers in literature have estimated the errors of Euler equations using data from financial markets. It has been shown that it is sufficient to test the first order Euler equation implied by the model. However, they all assume a constant...
Financial dollarization, monetary policy stance and institutional structure : the experience of Latin America and Turkey Uzun, Arzu; Özmen, Erdal; Department of Economics (2005) Financial dollarization, defined as the substantial presence of foreign currency denominated assets and liabilities in the balance sheets of the main sectors of an economy, is a widespread phenomenon among developing economies, especially in Latin America and Turkey. Since financial dollarization often causes financial fragility and limits the effectiveness of monetary policy, the causes and consequences of it and dedollarization strategies have been placed at the forefront of policy debates especially in d...
Macroeconomic impact of workers' remittances on output growth: evidence from Turkey Yaşar, Pınar; Tansel, Aysıt; Department of Economics (2005) In this study, a demand oriented simultaneous equation macroeconometric model with a dynamic perspective is constructed in order to investigate the impact of workers̕ remittances on output growth via their effects on key macro variables such as private consumption, investment and imports for Turkey. The study covers the period of 1964-2003 on an annual basis. Results of the analysis suggest that workers̕ remittances affect output growth in a positive manner through the multiplier process. It is found that t...
Fiscal sustainability, banking fragility and balance sheets : 2000-2001 financial crises in Turkey Koğar, Çiğdem İzgi; Özmen, Erdal; Department of Economics (2004) The aim of this thesis is to identify and assess the reasons of the Turkish financial crises based on various crises model explanations including the first, the second and the third generation models. It is argued that following factors played a crucial role in triggering crises in Turkey. Firstly, under the weak sustainable fiscal policies, implementation of the exchange rate based stabilization program caused the increase in vulnerabilities in the sectoral balance sheets and thus increased the prospective...

Citation Formats

İ. Özberki, “Is the Turkish equity market integrated with European North American and emerging markets,” M.S. - Master of Science, Middle East Technical University, 2010.