Hidden cointegration among borsa istanbul sector indices

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dc.contributor.authorEyuboglu, Kemal
dc.contributor.authorEyuboglu, Sinem
dc.date.accessioned2025-03-17T12:22:53Z
dc.date.available2025-03-17T12:22:53Z
dc.date.issued2021
dc.departmentTarsus Üniversitesi
dc.description.abstractIn 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.
dc.identifier.doi10.22059/IER.2021.83455
dc.identifier.endpage347
dc.identifier.issn1026-6542
dc.identifier.issue2
dc.identifier.scopus2-s2.0-85116270307
dc.identifier.scopusqualityQ4
dc.identifier.startpage337
dc.identifier.urihttps://doi.org/10.22059/IER.2021.83455
dc.identifier.urihttps://hdl.handle.net/20.500.13099/1450
dc.identifier.volume25
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherUniversity of Teheran
dc.relation.ispartofIranian Economic Review
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_Scopus_20250316
dc.subjectHidden Cointegration
dc.subjectPortfolio Diversification
dc.subjectSector Indices
dc.subjectStock Market
dc.subjectTurkey
dc.titleHidden cointegration among borsa istanbul sector indices
dc.typeArticle

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