Hidden Cointegration among Borsa Istanbul Sector Indices | ||
| Iranian Economic Review | ||
| دوره 25، شماره 2، تابستان 2021، صفحه 337-347 اصل مقاله (573.69 K) | ||
| شناسه دیجیتال (DOI): 10.22059/ier.2021.83455 | ||
| نویسندگان | ||
| Kemal Eyuboglu1؛ Sinem Eyuboglu2 | ||
| 1Faculty of Applied Sciences, Department of Banking and Finance, Tarsus University, Mersin, Turkey | ||
| 2Faculty of Applied Sciences, Department of Custom Administration, Tarsus University, Mersin, Turkey | ||
| چکیده | ||
| In this study, the cointegration relationship between the financial, industrial, services and technology indices in Borsa Istanbul is analyzed by employing the Johansen cointegration test and Hatemi-J and Irandoust (2012) hidden cointegration test. Daily data cover the period January 02, 2012, to September 24, 2018. While the Johansen cointegration test indicates no cointegration, the Hatemi-J and Irandoust test showed that there is a hidden cointegration among the four indices. Accordingly, an increase or decrease in the index prices will be effective in the formation of other index prices. Thus, it is not possible to diversify within the Turkish stock market. | ||
| کلیدواژهها | ||
| Hidden Cointegration؛ Stock Market؛ Sector Indices؛ Portfolio Diversification؛ Turkey | ||
| مراجع | ||
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آمار تعداد مشاهده مقاله: 592 تعداد دریافت فایل اصل مقاله: 834 |
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