Long-Run and Short-Run Dynamics among the Sectoral Stock Indices: Evidence from Turkey
Journal Title: Asian Economic and Financial Review - Year 2012, Vol 2, Issue 2
Abstract
This paper investigates the short-run and long-run dynamics among the major sectoral stock indices of the Istanbul Stock Exchange over the period 1997-2011. Long-run relationship among these indices is analyzed by using both conventional Engle and Granger (1987) and Johansen-Juselius (1990) cointegration tests, causal relationship through Vector Error Correction Model (VECM). Likewise, variance decomposition analysis is employed to partition the variance of the forecast error of one sector index into proportions attributable to shocks in each sector index in the system including its own. The findings suggest that all sectors show consistent and strong evidence of a long-run relationship, the short-term causal relationships between the sector indices are considerably limited and, where they exist, especially unidirectional. The variance decomposition analysis confirms that even though a high percentage of error variance is accounted for by the innovations in the same index, innovations in the variance of returns in the Banking sector are able to explain, on average, 63% innovations in the variance of the Chemistry, Petrol and Plastic, 57% of the Basic Metal and 79% of the Holding and Investment sector returns. These results indicate that the Banking sector is the most influential sector in the ISE.
Authors and Affiliations
Gulin Vardar| Department of International Trade and Finance, Izmir University of Economics, Balcova, Izmir, Turkey, Gokce Tunc| Department of International Trade and Finance, Izmir University of Economics, Balcova, Izmir, Turkey, Berna Aydogan| Department of International Trade and Finance, Izmir University of Economics, Balcova, Izmir, Turkey
Keywords
Related Articles
- EP ID EP1778
- DOI -
- Views 584
- Downloads 38
ENTREPRENEURIAL EMPOWERMENT OF AGRICULTURE AND INDUSTRIAL SECTOR IN RURAL AREAS OF SEMARANG REGENCY INDONESIA
Sources of income of farmers not only from the agricultural sector, but farmers often also work in other sectors such as in the non-agricultural sector. In this regard, the economic empowerment of farmers should also con...
IMPACT OF WORKING CAPITAL MANAGEMENT ON FIRM PROFITABILITY: THE CASE OF LISTED MANUFACTURING FIRMS ON HO CHI MINH STOCK EXCHANGE
This study is aimed at investigating the relationship between working capital management and profitability. This study is based on a panel data of 98 manufacturing firms listed on Ho Chi Minh City Stock Exchange for a pe...
ANALYSIS OF MACROECONOMIC FACTORS FOR THE ESTABLISHMENT OF INDUSTRIAL PARKS AND THEIR EFFECTS ON REGIONAL DEVELOPMENT: EMPIRICAL STUDY FROM SLOVAKIA
The aim of this study is to identify and analyze the key macroeconomic factors affecting the establishment and entrepreneurship in industrial parks with positive effects on sustainable regional development in Slovakia as...
POVERTY AND INCOME INEQUALITY IN NIGERIA: ANY CAUSALITY?
The issue of poverty has continued to pose serious threat to the continued cordial existence of an economy like Nigeria. Issues pertaining to poverty and inequality have also continued to receive wider attention among sc...
GAUGING MALAYSIAN CONSUMERS PERSPECTIVES ABOUT CORPORATE SOCIAL RESPONSIBILITY
This research was carried out on the premise that as CSR was becoming popular among corporations in Malaysia, it was important to gauge consumers? beliefs and perspectives about CSR and the CSR issues that mattered to th...