THE CAUSUALITY RELATIONSHIP BETWEEN THE FRAGILE FIVE COUNTRIES STOCK MARKETS INDEXES: AN EMPIRICAL ANALYSIS

The aim of this study is is to examine casuality relations between “fragile five” countries currencies’ which is defined by the international credit rating agency Standard and Poor s (S P). The data used in the study consist of the daily data of stock indexes between 05 January 2009 and 20 March 2018 as indicators of the capital markets of the fragile five countries. Augmented Dickey Fuller (ADF) unit root test and Granger causality are analysed for the countries’ stock markets indexes. According to the results of the research; There is one-way Granger casuality from Turkey BIST 100 index and Argentina Merval index to Qatar QE index; from Turkey BIST 100 index and Argentina Merval index to Egypt Hermes index; from Turkey BIST 100 index to Pakistan KSE 100 index and from Argentina Merval index to Turkey BIST 100 index.