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ARE INTERNATIONAL STOCK MARKETS INTEGRATED WELL?: EVIDENCE FROM THE US, GERMANY AND TURKEY

Sekerci, Naciye (2009)
Department of Economics
Abstract
This paper examines the interactions among the three stock markets of the US, Germany and Turkey by applying Vector Autoregressive Model (VAR). Besides causality, impulse response and variance decomposition analyses are done. One of the main findings is that between the US and German stock markets information is transmitted fast and they are quite well integrated. Another result is that, as expected, there is no influence of Turkish index both on the US and German market; on the other hand, these two are exogenous to Turkey. The test results also indicate that the US market affects Turkey more than German index does. Further, it is found that German market can also influence the US index to some extent.
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@misc{1436746,
  abstract     = {This paper examines the interactions among the three stock markets of the US, Germany and Turkey by applying Vector Autoregressive Model (VAR). Besides causality, impulse response and variance decomposition analyses are done. One of the main findings is that between the US and German stock markets information is transmitted fast and they are quite well integrated. Another result is that, as expected, there is no influence of Turkish index both on the US and German market; on the other hand, these two are exogenous to Turkey. The test results also indicate that the US market affects Turkey more than German index does. Further, it is found that German market can also influence the US index to some extent.},
  author       = {Sekerci, Naciye},
  keyword      = {"financial integration","Vector Autoregressive Model (VAR)","causality","impulse response","variance decomposition",Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {eng},
  note         = {Student Paper},
  title        = {ARE INTERNATIONAL STOCK MARKETS INTEGRATED WELL?: EVIDENCE FROM THE US, GERMANY AND TURKEY},
  year         = {2009},
}