Analysis of the Relationship Between Bist and Brics Stock Markets in Terms of Portfolio Diversification: Cointegration Analysis With Ardl Boundary Test

Abstract

Purpose -The aim of this study is to determine whether it is appropriate to diversify between the Turkish stock exchange and the BRICS stock exchange for individual investors that diversifying internationally and portfolio managers For this purpose, a long and short relationship between the Turkish stock exchange and BRICS stock exchanges was investigated.Methodology -In the study in which monthly data of the stock exchanges of Turkey and BRICS countries of the dates between January 2003 and June 2017 were used, The ARDL boundary test developed by Pesaran et al. (2001), was used as the method. Findings -As a result, it has been determined that the Indian and Brazilian stock markets are short-term and long-term, while the Russian stock market is only short-term cointegrated with the Turkish stock exchange. Whereas, there is no short or long term relationship between the Chinese and South African stock exchanges and the Turkish stock Exchange. Conclusion -When creating a portfolio of investors or portfolio managers in Turkey, they should not include stocks from India and Brazilian stock exchanges if a long-term portfolio is to be created. while preparing a short-term portfolio, they should not add stocks from Russian stock market as well as these two countries. Instead they will be able to diversify stocks from China and South Africa stock exchanges to diversify their basket additions.

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