The stock exchange index of Financial Times Stock Exchange Group which represents the share index of the 100 companies listed on London Stock Exchange with respect to highest market capitalization.
Published in Chapter:
The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100
Serdar Ögel (Afyon Kocatepe University, Turkey) and Fatih Temizel (Anadolu University, Turkey)
Copyright: © 2020
|Pages: 19
DOI: 10.4018/978-1-7998-1188-6.ch016
Abstract
This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.