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


Bozoklu S. , Saydam I. M.

MALIYE DERGISI, no.159, pp.416-431, 2010 (Journal Indexed in ESCI) identifier

  • Publication Type: Article / Article
  • Publication Date: 2010
  • Title of Journal : MALIYE DERGISI
  • Page Numbers: pp.416-431
  • Keywords: Capital Market Integration, Portfolio Diversification, Nonparametric Cointegration Test, BRIC Countries

Abstract

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.