TAILIEUCHUNG - Studies in Nonlinear Dynamics & Econometrics

The above is an assessment and warning by The Economist in the context of the collapse of Enron, placed 5th in the latest Fortune 500 rankings of American companies. A number of other disclosures including that of Tyco International, Adelphia Communications, Computer Associates, Qwest Communications, Global Crossing and now WorldCom further deepened the scepticism about the state of affairs in corporate America. Managements, auditors and intermediaries are under the scanner. According to Fortune, Arthur Levitt, former head of the US Securities and Exchange Commission (SEC), said: "America's investors have been ripped off as massively as a. | Studies in Nonlinear Dynamics Econometrics Volume 9 Issue 3 2005 Article 5 An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes Hakan Berument Yilmaz Akdi Cemal Atakan Bilkent University berument@ Í Ankara University akdi@ Ankara University atakan@ Studies in Nonlinear Dynamics Econometrics is produced by The Berkeley Electronic Press bepress . http snde Copyright 2005 by the authors. All rights reserved. No part of this publication may be reproduced stored in a retrieval system or transmitted in any form or by any means electronic mechanical photocopying recording or otherwise without the prior written permission of the publisher bepress which has been given certain exclusive rights by the author. An Empirical Analysis of Istanbul Stock Exchange Sub-Indexes Hakan Berument Yilmaz Akdi and Cemal Atakan Abstract This paper analyzes possible cointegration relations among the sub-indexes of the Istanbul Stock Exchange series - services sector industry sector and financial sector - for the period from February 1 1997 to September 24 2003. The data is analyzed by using various methods initiated by Engle and Granger 1987 Johansen 1988 and Akdi 1995 . The basic finding of this study is that none of these methods suggest the presence of cointegrating relationships among these indexes. Berument et al. Empirical Analysis of Istanbul Stock Exchange Sub-Indexes 1 1. Introduction The purpose of this paper is to examine the relationships among returns of various sub-indexes in the Istanbul Stock Exchange by using various methods. In particular we look at the extent to which various sub-indexes are cointegrated or not by using three different methods. For the first two Engle and Granger s 1987 single equation models and Johansen s 1988 multivariate cointegration methods are the among the most commonly used methods for assessing long-run relationships. Kamstra Kramer and Levi 2003 suggest that .

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