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Hidden Cointegration among Borsa Istanbul Sector Indices | ||
| Iranian Economic Review | ||
| مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 21 دی 1398 | ||
| شناسه دیجیتال (DOI): 10.22059/ier.2020.74563 | ||
| نویسندگان | ||
Kemal Eyuboglu 1؛ Sinem Eyuboglu  2
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| 1Faculty of Applied Sciences, Department of Banking and Finance, Tarsus University, Mersin, Turkey. | ||
| 2Vocational High School, Department of Banking-Finance and Insurance, 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 & Irandoust (2012) hidden cointegration test. Daily data cover the period 2nd January 2012 to 24th September 2018. While the Johansen cointegration test indicates no cointegration, the Hatemi-J & 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 | ||
| Keywords: Hidden Cointegration؛ Stock Market؛ Sector Indices؛ Portfolio Diversification؛ Turkey. JEL Classification: C58؛ G11؛ G32 | ||
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آمار تعداد مشاهده مقاله: 133 |
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