Borsa Birleşmelerinin Endeksler Üzerine Etkisi: Nasdaq Omx Örneği
The Impact of Stock Market Integration on Indices: Nasdaq Omx Case

Summary/Abstract: Purpose – The aim of this study is to explore the relationship between the main indices of Northern European stock exchanges within Nasdaq OMX. The relationship between the stock exchanges of different countries operating under the same roof will guide investors to control portfolio risk. Design/methodology/approach – For this purpose, daily market closing data between 05.11.2013-10.10.2018 was used as data set in the study. The main indices of the 8 different countries, NordicALL40 and Baltic10 group indices belonging to the Nasdaq group are listed in the analysis. In the study, Lee Strazicich unit root test, which takes into account the structural breaks of the series, was applied. The optimal lag length was then determined and then the Toda-Yamamoto Model was applied to determine if there was any causality between the variables and the direction of the relationship. Findings – As a result, there is a causal relationship from the Baltic10 index to the NordicALL40 index. The Oslo20 index is also influenced by both NordicALL40 and Baltic10 indices.

• Details
• Contents