Efficient Market Hypothesis and Comovement Among Emerging Markets

Taş, Oktay; Tokmakçıoğlu, Kaya

doi:10.31671/dogus.2019.169

Cited by 6 publications

(3 citation statements)

References 28 publications

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“…Çalışmanın sonucuna göre, Türkiye ile 16 gelişmiş ve 21 gelişmekte olan ülkenin hisse senedi piyasalarının uzun dönemde birlikte hareket ettiği yönünde istatistiki olarak anlamlı bulgulara ulaşmışlardır. Taş & Tokmakçıoğlu (2010), 1998 dönemindeki 520 haftalık kapanış verilerini kullanarak gelişmekte olan 11 ülke (Türkiye, Brezilya, Çek Cumhuriyeti, Mısır, Macaristan, Hindistan, Güney Kore ve Meksika) hisse senedi piyasalarının birlikte hareket edip etmediğini Johansen Eşbütünleşme yöntemiyle analiz etmişler ve %5 anlamlılık düzeyinde iki eşbütünleşme vektörü bulmuşlardır. Çalışmanın sonuçlarına göre, birinci eşbütünleşme vektörüne göre, Çek Cumhuriyeti ile Hindistan borsası BIST'i aynı yönde, Arjantin, Endonezya ve Macaristan borsasındaki değişimler ise BIST'i ters yönde etkilemektedir.…”

Section: Literatürunclassified

“…dönemi için aylık endeks değerlerini kullanarak Türkiye ile gelişmiş ve gelişmekte olan ülkelerin hisse senedi piyasaları arasındaki uzun dönemli ilişkileri Johansen ve Gregory-Hansen yapısal kırılmalı eşbütünleşme testleri ile analiz etmişlerdir. Çalışmanın sonucuna göre, Türkiye ile 16 gelişmiş ve 21 gelişmekte olan ülkenin hisse senedi piyasalarının uzun dönemde birlikte hareket ettiği yönünde istatistiki olarak anlamlı bulgulara ulaşmışlardır Taş & Tokmakçıoğlu (2010…”

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Kırılgan Beşli Ülkelerinin Hisse Senedi Piyasaları Arasındaki Eşbütünleşme Analizi

AKEL¹

2015

ijmeb

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The main reasons for this because classification is that of high inflation, weakening growth, large external deficits, and high dependence indirect foreign investment inflows troubled emerging market currencies of this five countries were depreciated against U.S. Dollar in 2013. This study is to examine whether there is stock market integration between, Brazil, India, Indonesia, South Africa and Turkey. The study employs the Johansen and Granger Causality approach to cointegration and recent weekly stock market data spanning from November 2000 to December 2013. The results indicate that the meaningful cointegration and causality relations exist in the short and long run between Fragile Five stock markets.

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Kırılgan Beşli Ülkelerinin Hisse Senedi Piyasaları Arasındaki Eşbütünleşme Analizi

AKEL¹

2015

ijmeb

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“…O. Taş and K. Tokmakçıoğlu (2010) analyzed whether the stock markets of 11 developing countries (Turkey, Brazil, Czech Republic, Egypt, Hungary, India, South Korea and Mexico) were concerted by means of the Johansen Cointegration Method using the weekly data set in the 1998-2008 period or not. According to the research results, the following information was obtained: the stock exchanges of the Czech Republic and India affect BIST in the same direction; the changes in the stock exchanges of Argentina, Indonesia and Hungary affect BIST in the reverse direction, whereas the Brazilian Stock Exchange affects the stock exchanges of Mexico, Israel and India in the same direction and the stock exchanges of South Korea, Indonesia and Hungary in the reverse direction.…”

Section: The Modelmentioning

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Reflection of the cointegration relation among the stock markets on the portfolio choices: An empirical application for fragile five countries

Tuna¹,

Tuna²

2016

Ekon horizonti

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The aim of this study is to examine the long-term relationship between each pair of the countries separate from those in the Stock Markets of Fragile Five Countries and determine the optimal portfolio options for each of the BIITS countries according to the pieces of evidence obtained. Thus, the reflection of the concertedness among financial markets to the optimal portfolio options has been studied. Accordingly, long term relationships between each pair of BIITS countries have been investigated with monthly price value between June 2006 and July 2015 by means of Maki Cointegration Test. Optimal portfolio options have been established according to the Markowitz Model considering the long-term relationships between the markets. The pieces of evidence obtained show that lower-risk portfolios than the ones in their own national markets can be established in BIITS countries by applying international diversification.

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Investigación de mercado sobre el grado de aceptación de mermelada de cocona en Sibundoy, Putumayo

Argote

Vargas²,

Villada

2013

Rev. Guillermo Ockham

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<p>La cocona es una fruta exótica proveniente de la amazonia colombiana de excelentes características sensoriales y nutricionales. Previene enfermedades cardiovasculares, obesidad, diabetes y ciertos tipos de cáncer. Los objetivos desarrollados en la presente investigación fueron valoración de la demanda potencial de mermelada a partir de cocona, evaluación sensorial, determinación de productos sustitutos y diseño de estrategias de mercadeo. El modelo de investigación empleado fue el cuantitativo probabilístico. La recolección de la información se hizo mediante encuesta. La población objeto de estudio del municipio de Sibundoy correspondió a 2.188 hogares, con una muestra representativa de 327 observaciones. El consumo de la mermelada es trimestral, con cantidades de dos unidades de 200 g. Entre los productos sustitutos se encontraron el bocadillo y el arequipe. La demanda potencial para la mermelada de cocona es de alrededor de 13.063 unidades/año. Los catadores no encontraron diferencias significativas para las variables color, sabor y textura, más sí en la de aroma en la prueba del producto en relación con marcas comerciales.</p>

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Efficient Market Hypothesis and Comovement Among Emerging Markets

Cited by 6 publications

References 28 publications

Kırılgan Beşli Ülkelerinin Hisse Senedi Piyasaları Arasındaki Eşbütünleşme Analizi

Kırılgan Beşli Ülkelerinin Hisse Senedi Piyasaları Arasındaki Eşbütünleşme Analizi

Reflection of the cointegration relation among the stock markets on the portfolio choices: An empirical application for fragile five countries

Investigación de mercado sobre el grado de aceptación de mermelada de cocona en Sibundoy, Putumayo

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