Yönetim ve Ekonomi (Jan 2012)
İstanbul Menkul Kıymetler Borsası ve “Dow Jones Industrial” Arasındaki İlişki: Eşbütünleşme Analizi( The Relation Between The Istanbul Stock Exchange And The Dow Jones Industrial: The Cointegration Analysis)
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.
