An empirical analysis of Istanbul stock exchange sub-indexes

Berument H., AKDİ Y., ATAKAN C.

STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, vol.9, no.3, 2005 (SSCI) identifier

  • Publication Type: Article / Article
  • Volume: 9 Issue: 3
  • Publication Date: 2005
  • Journal Name: STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Ankara University Affiliated: Yes

Abstract

This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector, industry sector and financial sector - for the period from February 1, 1997 to September 24, 2003. The data is analyzed by using various methods initiated by Engle and Granger (1987), Johansen (1988) and Akdi (1995). The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes.