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Cointegration Analysis of BIST 30 Index and MSCI Emerging Markets Index: Pre and Post Global Financial Crisis

Journal: Business and Economics Research Journal (BERJ) (Vol.9, No. 1)

Publication Date:

Authors : ;

Page : 109-121

Keywords : Istanbul Stock Exchange; MSCI Emerging Markets Index; Cointegration; Johansen Test; Global Financial Crisis;

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This study examines the cointegration between BIST 30 index and MSCI emerging market index from January 2003 to July 2017 by employing Johansen cointegration test. The MSCI emerging markets index is created by Morgan Stanley Capital International and consists of indices from 24 emerging countries. Since the MSCI index is considered as a benchmark in emerging markets, the relationship between Borsa Istanbul and this index is very important for portfolio managers. In addition, to analyze the long-term impact of the recent global financial crisis between Borsa Istanbul and emerging markets, the sample period is divided into two sub-periods : pre and post crisis. For the whole period, there does exist a significant long term relation between Borsa Istanbul and MSCI emerging market index while there is no evidence of cointegration in the pre-crisis period. However, the results for the post crisis period indicate that Borsa Istanbul and MSCI index are cointegrated that means they move together in the long run. This may suggest that there are limited benefits for portfolio diversification between these markets due to increased globalization of financial markets in recent years.

Last modified: 2018-02-25 04:55:55