International Stock Market Dependencies: The Causality Approach
The research explores interconnections among the nation's stock exchanges over a more extensive time frame using indices. Factor analysis and Granger causality analysis were conducted on the weekly returns of the stock market index for selected countries. When factor analysis is applied to the...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Atatürk University
2025-04-01
|
| Series: | Trends in Business and Economics |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/download/article-file/3893534 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850149662608064512 |
|---|---|
| author | Hilal Öztürk Savaş M. Koray Çetin |
| author_facet | Hilal Öztürk Savaş M. Koray Çetin |
| author_sort | Hilal Öztürk Savaş |
| collection | DOAJ |
| description | The research explores interconnections among the nation's stock exchanges over a more extensive time frame using indices. Factor analysis and Granger causality analysis were conducted on the weekly returns of the stock market index for selected countries. When factor analysis is applied to the stock markets of countries, the first observation is that the first cluster comprises the stock markets of developed countries. Emerging and vulnerable economies comprise the third group, while Asian markets represent the second category. Next, the causal relationships between countries are examined and it is found that there are significant integration relationships, both in the level of integration within each factor and in the integration between countries selected from different factors. As anticipated, dominant markets were present within each factor group, and the USA and UK held a dominant position in nearly all countries regardless of their factor distinctions. |
| format | Article |
| id | doaj-art-fad052d4203241d6ad2f1cfc026589f2 |
| institution | OA Journals |
| issn | 2822-2652 |
| language | English |
| publishDate | 2025-04-01 |
| publisher | Atatürk University |
| record_format | Article |
| series | Trends in Business and Economics |
| spelling | doaj-art-fad052d4203241d6ad2f1cfc026589f22025-08-20T02:26:50ZengAtatürk UniversityTrends in Business and Economics2822-26522025-04-0139220821910.16951/trendbusecon.147552855International Stock Market Dependencies: The Causality ApproachHilal Öztürk Savaş0https://orcid.org/0000-0002-1996-5297M. Koray Çetin1https://orcid.org/0000-0002-0363-2973Alanya ÜniversitesiAkdeniz ÜniversitesiThe research explores interconnections among the nation's stock exchanges over a more extensive time frame using indices. Factor analysis and Granger causality analysis were conducted on the weekly returns of the stock market index for selected countries. When factor analysis is applied to the stock markets of countries, the first observation is that the first cluster comprises the stock markets of developed countries. Emerging and vulnerable economies comprise the third group, while Asian markets represent the second category. Next, the causal relationships between countries are examined and it is found that there are significant integration relationships, both in the level of integration within each factor and in the integration between countries selected from different factors. As anticipated, dominant markets were present within each factor group, and the USA and UK held a dominant position in nearly all countries regardless of their factor distinctions.https://dergipark.org.tr/tr/download/article-file/3893534international financial dependenciesfinancial marketsfactor analysisgranger causality testuluslararası finansal bağımlılıklarfinansal piyasalarfaktör analizigranger nedensellik testi |
| spellingShingle | Hilal Öztürk Savaş M. Koray Çetin International Stock Market Dependencies: The Causality Approach Trends in Business and Economics international financial dependencies financial markets factor analysis granger causality test uluslararası finansal bağımlılıklar finansal piyasalar faktör analizi granger nedensellik testi |
| title | International Stock Market Dependencies: The Causality Approach |
| title_full | International Stock Market Dependencies: The Causality Approach |
| title_fullStr | International Stock Market Dependencies: The Causality Approach |
| title_full_unstemmed | International Stock Market Dependencies: The Causality Approach |
| title_short | International Stock Market Dependencies: The Causality Approach |
| title_sort | international stock market dependencies the causality approach |
| topic | international financial dependencies financial markets factor analysis granger causality test uluslararası finansal bağımlılıklar finansal piyasalar faktör analizi granger nedensellik testi |
| url | https://dergipark.org.tr/tr/download/article-file/3893534 |
| work_keys_str_mv | AT hilalozturksavas internationalstockmarketdependenciesthecausalityapproach AT mkoraycetin internationalstockmarketdependenciesthecausalityapproach |