Author/Authors
BULUT, Şahin Adnan Menderes Üniversitesi, Turkey , ÖZDEMİR, Abdullah Adnan Menderes Üniversitesi - İİBF - İktisat Bölümü, Turkey
Title Of Article
The Relation Between The Istanbul Stock Exchange And The Dow Jones Industrial: The Cointegration Analysis
شماره ركورد
25623
Abstract
In this study, the relationship between the İstanbul Stock Exchange and the Dow Jones Industrial is analyzed by taking into consideration the closing prices for weekly in the period between 05.01.2001 -30.12.2010. The causal relationship between the series is analyzed through the Granger test, long-short term and cointegration analysis; the Johansen and VEC methods. Research findings points out that the DJI causes the Granger of the ISE for three-lags. According to the results of the cointegration analysis, the series act together in the long term, that is, they are cointegrated. In the short term, the error correction term works and for three terms the DJI significantly affects the ISE.
From Page
211
NaturalLanguageKeyword
DJI , ISE , Causality , Cointegration
JournalTitle
Journal Of Management and Economics
To Page
224
JournalTitle
Journal Of Management and Economics
Link To Document