COINTEGRATION ANALYSIS OF BORSA ISTANBUL WITH MENA COUNTRIES

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International Congress on Economics, Finance & Energy (EFE)
EFE2018 Book of Proceedings
COINTEGRATION ANALYSIS OF BORSA ISTANBUL WITH MENA COUNTRIES

COINTEGRATION ANALYSIS OF BORSA ISTANBUL WITH MENA COUNTRIES

Authors : Fatih GÜZEL, Melek ACAR, Okyay UÇAN

Pages : 46-58

View : 94 | Download : 73

Publication Date : 2018-12-31

Abstract :With globalization, the economic borders of the world have been removed and the econ- omy is dominated by liberal thought. Intensive cross-border commercial activity has ac- celerated the integration of the country economy to neighboring countries and the world economic system. Therefore, national economies became more open to global risks and crises, while getting piece in world trade. The purpose of this study is to determine eco- nomic integration between Turkey and the Middle East and North Africa (MENA) coun- tries through stock exchanges. In this context, Borsa Istanbul and stock exchanges of the largest 10 MENA region economies were analyzed. Among the countries and their stock exchanges that were subject to analysis are: Saudi Arabia (Saudi Stock Exchange), Iran (Tehran Stock Exchange), United Arab Emirates (Abu Dhabi Securities Exchange), Egypt (Egyptian Exchange), Israel (Tel Aviv Stock Exchange), Iraq (Iraq Stock Exchange), Qatar (Qatar Stock Exchange), Morocco (Algiers Stock Exchange), Kuwait (Bourse Kuwait) and Morocco (Casablanca Stock Exchange). The study covers monthly index data for the period of 2010-2017. Cointegration tests have been applied to determine the interaction between the MENA countries’ bourses. As a result of the analysis, the existence of a long- term relationship between the MENA countries’ stock exchanges has been determined. Due to the modern portfolio theory, these stock exchanges cannot be an alternative to each other. According to this result, it is not possible to diversify risks among the relevant countries’ stock exchanges in the long run. Another finding is that a long-term relationship between Turkey and the MENA countries is not observed. Turkey is considered as an alter- native to the MENA countries in the international portfolio investments.
Keywords : Borsa Istanbul, MENA Countries’ Stock Exchanges, Cointegration, International Diversification, Economic Integration

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