Examining the Relationship between BIST Sector Indices and Developed Country Sector Indices

Developments in the field of information technologies and the removal of obstacles to capital movements have accelerated the financial integration process. The increase in financial integration has given importance to studies investigating the relationship between financial markets in terms of international portfolio diversification. For this purpose, the long-term relationship between BIST and Dow Jones, DAX and CAC industry, financial and technology sector indexes is tested by Engle-Granger (1987) cointegration method, taking into account daily dollar based prices for the period 20.05.2010-03.04.2018. The findings show that the industrial index of the 3 countries and the BIST Industry Index, the financial sector index of the 3 countries and the BIST Financial Index, and the technology index of the 3 countries and BIST Technology Index are not moving together in the long-run. Short-run dynamics were examined by the Granger causality test, and BIST and CAC sector indices were found to be suitable for international diversification