Hidden cointegration among borsa istanbul sector indices
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Tarih
2021
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
University of Teheran
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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. © University of Tehran.
Açıklama
Anahtar Kelimeler
Hidden Cointegration, Portfolio Diversification, Sector Indices, Stock Market, Turkey
Kaynak
Iranian Economic Review
WoS Q Değeri
Scopus Q Değeri
Q4
Cilt
25
Sayı
2
