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Co-Movement and Asymmetric Adjustment in the Istanbul Stock Exchange

Author

Listed:
  • Ebru Yüksel

    (Hacettepe University)

  • Güldal Güleryüz

    (Hacettepe University)

Abstract

The aim of this paper is to examine symmetric and asymmetric relationship among sector indices of Istanbul Stock Exchange (ISE) using Engle Granger cointegration and Enders and Siklos (2001) threshold autoregressive (TAR) and momentum-TAR models. The indices are ISE100, industry, finance, services and technology. It is mainly found that there is no long-run and short-run significant correlation among sector indices. This result shows that there are benefits of portfolio diversification among sector indices in ISE.

Suggested Citation

  • Ebru Yüksel & Güldal Güleryüz, 2010. "Co-Movement and Asymmetric Adjustment in the Istanbul Stock Exchange," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 25(88), pages 97-113, July.
    • Handle: RePEc:acc:malfin:v:25:y:2010:i:88:p:97-113
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