Cointegration of MENA Stock Markets Turkey Egypt and Israel
Yazarlar (3)
Prof. Dr. Mine AKSOY KAVALCI
Yalova Üniversitesi, Türkiye
Faruk Akın
Bilecik Şeyh Edebali Üniversitesi, Türkiye
Nuriye Zeytunlu
Ise Settlement And Custody Bank Inc, Amerika Birleşik Devletleri
| Makale Türü | Özgün Makale (SCOPUS dergilerinde yayınlanan tam makale) | ||
| Dergi Adı | International Research Journal of Finance and Economics | ||
| Dergi ISSN | 1450-2887 | ||
| Dergi Tarandığı Indeksler | Scopus | ||
| Makale Dili | İngilizce | Basım Tarihi | 11-2011 |
| Cilt / Sayı / Sayfa | 76 / 1 / 47–66 | DOI | – |
| Özet |
| This paper first analyzes long and short-term co-movements between Turkish, Egypt and Israel stock markets based on cointegration and correlation analysis. Second it uses GARCH(1,1) model to examine the index return volatilities. The data used in this study was obtained from S&P IFC, Datastream. The actual time period under study ranges from 2002 to 2010. There is low return correlations among markets. Cointegration is not detected and strong GARCH effects exist in these markets. © EuroJournals Publishing, Inc. 2011. |
| Anahtar Kelimeler |
| Cointegration | Correlation | MENA | Volatility |
