Relationships Between Stock Markets: Causality Between G8 Countries and Turkey


Ünlü K. D. , POTAS KAYA N. , YILMAZ M.

6th International Symposium on Chaos, Complexity and Leadership, ICCLS 2018, Ankara, Turkey, 11 - 12 December 2018, pp.67-76 identifier identifier

  • Publication Type: Conference Paper / Full Text
  • Doi Number: 10.1007/978-3-030-27672-0_5
  • City: Ankara
  • Country: Turkey
  • Page Numbers: pp.67-76
  • Keywords: Istanbul stock exchange, G8 countries, Cointegration, Causality, Generalized variance decomposition, Impulse response, COINTEGRATION, INFERENCE, TESTS

Abstract

© 2020, Springer Nature Switzerland AG.This study investigated relationships between stock markets in the Group of Eight (G8) countries (Canada, France, Germany, Italy, Japan, Russia, the UK, and the USA) and the İstanbul Stock Exchange (ISE) by estimating eight different vector autoregressions (VARs). We applied the Johansen and Juselius cointegration test to identify the long-run relations between the indices. The modified Granger causality test proposed by Toda and Yamamoto was conducted to identify the causality, then forecast variance decomposition and impulse response analysis were employed to explore the impacts of unexpected shocks in the G8 countries’ stock markets on the ISE. The results showed that there was no cointegration between the ISE and the G8 countries’ markets, but they still affected the ISE to different degrees, and the DAX–ISE 100, CAC 40–ISE 100, and FTSE MIB–ISE 100 causal relationships were bidirectional.