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International Journal of Academic Research in Economics and Management Sciences

Open Access Journal

ISSN: 2226-3624

Market Integration: A Sector Level Approach

Serife Ozlen

http://dx.doi.org/10.6007/IJAREMS/v4-i1/1492

Open access

This study aims to find out the long-run associations among emerging Turkish stock market and three developed stock markets (the German, the US and UK stock markets) for portfolio diversification by employing Augmented Dickey Fuller (ADF) Test, Johansen Cointegration Test and Vector Error Correction Model (VECM). The data includes the companies from 11 different sectors of Turkish Stock Market. The results revial five cointegration equations with the selected factors including both micro and macro variables. The paper is concluded with the discussion of identified relationships for each sector.

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(Ozlen, 2015)
Ozlen, S. (2015). Market Integration: A Sector Level Approach. International Journal of Academic Research in Economics and Management Sciences, 4(1), 58–68.