Evaluating the Relationship between Tehran Stock Exchange and Istanbul Stock Exchange: Causality and Co-Integration

Subject Areas : Journal of Investment Knowledge

Javad Shekar Khah ¹ , Sina Enayatollahi ² , Ahmad Moiedfard ³

1 - Associated Professor, Financial Mangment Department and Accounting, Allameh Tabataba'i University, Tehran,
2 - Ph.D. student of financial engineering, Islamic Azad University, Yazd
3 - Masters, Economics Department, Shiraz University, Shiraz,

Received: 2017-04-21 Accepted : 2017-09-11 Published : 2019-03-21

Keywords: Tehran Stock Exchange, Istanbul Stock Exchange, and Johansen Cointegration Tes, Granger Causality Test,

Abstract :

Stock markets are one of the most important parts of each economy. Identifying the effective factors on them helps to have an economy with good indicators. Identifying these factors leads to better policymaking and investment in the capital market. This paper evaluates the relationship between Tehran Stock Exchange and Istanbul Stock Exchange during March 13, 2001 to November 6, 2015 by daily data. Granger causality method and Johansen cointegration test were used for investigating the causality and cointegration between two stocks respectively. The result showed that there was a unidirectional Granger causality from Istanbul Exchange Stock to Tehran Stock Exchange. Also, the descriptive statistics showed the high correlation between two stocks. Finally, the result of Johansen cointegration test didn't confirm the existence of cointegration vector and long-run relationship between two stocks.    

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