The Analysing Capital Market Integration with Parametric and Nonparametric Cointegration Tests among BRIC Countries and Turkey

Bozoklu S., Saydam İ. M.

MALIYE DERGISI, sa.159, ss.416-431, 2010 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2010
  • Dergi Adı: MALIYE DERGISI
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.416-431
  • Anahtar Kelimeler: Capital Market Integration, Portfolio Diversification, Nonparametric Cointegration Test, BRIC Countries
  • İstanbul Üniversitesi Adresli: Evet

Özet

The aim of this study is to analyze what proportion are integrated to each other the Brazilian, China, India, Russia and Turkey capital markets. In this respect, the parametric and nonparametric cointegration tests developed by Johansen (1988, 1991 and 1994) and Bierens (1997 and 2004) are applied. As a result of the study determined that capital markets of these countries are integrated and they do not have long-term profit opportunities.