YILDIZ, Ayşe Gazi Üniversitesi - İİBF İşletme Bölümü, Turkey , AKSOY, Emine Ebru Gazi Üniversitesi - İşletme Bölümü, Turkey

Analysis of Cointegration Between Morgan Stanley Emerging Market Index and BIST Index

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The objective of this study is to examine the existence and level of co- integration between the Morgan Stanley emerging market index and BIST index. Therefore, monthly closing indices in the period between January 1990 and December 2011 are used. In this study, unit root tests are applied to test for stationary and Engle- Granger approach and Error Correction model are conducted to examine cointegration between the indices. Also 1994, 1998, 2001 and 2008 crises represented by dummy variables are integrated into the model. According to the results of the cointegration analysis, the series move together in the long run, that, they are cointegrated. In the short run, the error correction term works and after 16 periods convergence of indices occurs. As a result, these emerging market indices do not offer any good opportunities for the efficient portfolio diversification Dummy variables representing the crises are not found statistically significant.

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Cointegration , Engle , Granger Approach , Error Correction Model , BIST , Morgan Stanley Emerging Market Index

Journal Of Economics and Administrative Sciences, Ataturk University

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