Table I

Descriptive statistics of weekly index returns

BET CRO EU EUROPE ISE100 SOFIX SP500
Mean 0.0092 0.0032 -0.0011 -0.0013 0.0033 0.0078 -0.0005
Median 0.0072 0.0026 0.0014 0.0013 0.0078 0.0044 0.0014
Maximum 0.1192 0.0752 0.1127 0.1200 0.2578 0.2940 0.0749
Minimum -0.1588 -0.1192 -0.0928 -0.0972 -0.3037 -0.1827 -0.1233
Std. Dev. 0.0345 0.0270 0.0253 0.0256 0.0621 0.0430 0.0237
Skewness -0.3449 -0.4137 -0.1856 -0.0796 -0.2946 1.0388 -0.6290
Kurtosis 5.2449 5.4116 5.2535 5.5859 7.3895 12.0778 6.3732
Exc. Kurtosis 2.2449 2.4116 2.2535 2.5859 4.3895 9.0778 3.3732
Kolmogorov-Smirnov 0.061 0.084 0.068 0.071 0.080 0.098 0.066
Significance 0.026 0.000 0.006 0.004 0.000 0.000 0.009
Observations 252 252 252 252 252 252 252

Table II

Correlation Matrix of stock market index returns

BET CRO EU EUROPE ISE100 SOFIX SP500
BET 1.000
CRO 0.101 1.000
EU 0.035 0.235 1.000
EUROPE 0.031 0.246 0.988 1.000
ISE100 0.189 0.052 0.279 0.255 1.000
SOFIX 0.081 0.103 -0.055 -0.054 0.098 1.000
SP500 0.044 0.209 0.819 0.802 0.219 -0.023 1.000

Table III

Unit Root Tests

ADF PP
levels first differences levels first differences
BET -2.4715 -14.3808 -2.8676 -14.4293
CRO -1.7351 -8.8527 -1.7582 -15.1527
EU -1.1712 -10.3823 -1.0793 -15.1211
EUROPE -1.1474 -10.3306 -1.0702 -15.6139
ISE 100 -3.7190 -6.1468 -3.2602 -15.9781
SOFIX -3.3814 -17.4670 -3.3699 -17.3922
SP500 -1.8718 -4.5388 -1.8174 -16.2752

Table IV

Johansen Cointegration Analyses with Europe Index

Panel A: bivariate cointegration with Europe
Hypothesis 5% critical values 1% critical values
H0 HA Trace test BET CRO ISE100 SOFIX
r = 0 r > 1 15.41 20.04 5.625 7.250 10.603 12.324
r< 1 r > 2 3.76 6.65 0.003 0.015 4.050 2.053
Maximum Eigenvalue
r=0 r=1 14.07 18.63 5.621 7.236 6.553 10.271
r<1 r=2 3.76 6.65 0.003 0.015 4.050 2.053
Panel B: multivariate cointegration with Europe
Hypothesis 5% critical values 1% critical values
H0 HA Trace test BET-CRO-ISE100-SOFIX
r = 0 r > 1 68.52 76.07 67.324
r< 1 r > 2 47.21 54.46 31.996
H0 HA Maximum Eigenvalue
r = 0 r=1 33.46 38,77 35.329
r< 1 r=2 27.07 32.24 15.175

Table V

Johansen Cointegration Analyses with EU Index

Panel A: bivariate cointegration with EU
Hypothesis 5% critical values 1% critical values
H0 HA Trace test BET CRO ISE100 SOFIX
r = 0 r > 1 15.41 20.04 5.610 7.367 10.071 12.100
r< 1 r > 2 3.76 6.65 0.000 0.010 3.665 1.909
Maximum Eigenvalue
r=0 r=1 14.07 18.63 5.610 7.356 6.405 10.191
r<1 r=2 3.76 6.65 0.000 0.010 3.665 1.909
Panel B: multivariate cointegration with EU
Hypothesis 5% critical values 1% critical values
H0 HA Trace test BET-CRO-ISE100-SOFIX
r = 0 r > 1 68.52 76.07 65.059
r< 1 r > 2 47.21 54.46 31.652
Maximum Eigenvalue
r = 0 r=1 33.46 38,77 33.406
r< 1 r=2 27.07 32.24 14.958

Table VI

Johansen Cointegration Analyses with S&P500 Index

Panel A: bivariate cointegration with S&P500
Hypothesis 5% critical values 1% critical values
H0 HA Trace test BET CRO ISE100 SOFIX
r = 0 r > 1 15.41 20.04 5.742 7.897 8.120 10.467
r< 1 r > 2 3.76 6.65 0.000 0.006 1.757 0.408
Maximum Eigenvalue
r=0 r=1 14.07 18.63 5.742 7.89 6.364 10.059
r<1 r=2 3.76 6.65 0.000 0.006 1.757 0.408
Panel B: multivariate cointegration with S&P500
Hypothesis 5% critical values 1% critical values
H0 HA Trace test BET-CRO-ISE100-SOFIX
r = 0 r > 1 68.52 76.07 63.241
r< 1 r > 2 47.21 54.46 30.239
Maximum Eigenvalue
r = 0 r=1 33.46 38,77 33.002
r< 1 r=2 27.07 32.24 15.103

Table VII

Granger Causality Test Results

Pairwise Granger Causality Tests
Panel A: Europe and BET,CRO,ISE100,SOFIX F-Statistic Probability
BET does not Granger Cause EUROPE 1.47594 0.23059
EUROPE does not Granger Cause BET 0.17095 0.84297
CRO does not Granger Cause EUROPE 0.90294 0.40672
EUROPE does not Granger Cause CRO 6.9758 0.00113*
ISE100 does not Granger Cause EUROPE 0.7998 0.45059
EUROPE does not Granger Cause ISE100 1.37616 0.25449
SOFIX does not Granger Cause EUROPE 0.89801 0.40872
EUROPE does not Granger Cause SOFIX 0.32093 0.72578
Panel B: EU and BET,CRO,ISE100,SOFIX
BET does not Granger Cause EU 1.1689 0.31244
EU does not Granger Cause BET 0.17942 0.83587
CRO does not Granger Cause EU 0.65718 0.51922
EU does not Granger Cause CRO 7.56004 0.00065*
ISE100 does not Granger Cause EU 0.45454 0.63528
EU does not Granger Cause ISE100 1.53998 0.21645
SOFIX does not Granger Cause EU 1.31242 0.27105
EU does not Granger Cause SOFIX 0.51797 0.59638
Panel C: S&P500 and BET,CRO,ISE100,SOFIX
BET does not Granger Cause SP500 0.99376 0.37167
SP500 does not Granger Cause BET 0.35289 0.70301
CRO does not Granger Cause SP500 0.8893 0.41227
SP500 does not Granger Cause CRO 3.07396 0.04803*
ISE100 does not Granger Cause SP500 1.34451 0.26258
SP500 does not Granger Cause ISE100 2.20273 0.11268
SOFIX does not Granger Cause SP500 1.91024 0.15024
SP500 does not Granger Cause SOFIX 0.55465 0.57499
Panel D: BET,CRO,ISE100,SOFIX
CRO does not Granger Cause BET 0.77879 0.46009
BET does not Granger Cause CRO 2.37379 0.09527
ISE100 does not Granger Cause BET 0.01564 0.98448
BET does not Granger Cause ISE100 0.04103 0.95981
SOFIX does not Granger Cause BET 0.60435 0.54724
BET does not Granger Cause SOFIX 0.11789 0.88884
ISE100 does not Granger Cause CRO 2.04711 0.13131
CRO does not Granger Cause ISE100 0.39028 0.67728
SOFIX does not Granger Cause CRO 0.47562 0.62207
CRO does not Granger Cause SOFIX 2.07047 0.12833
SOFIX does not Granger Cause ISE100 1.8326 0.16218
ISE100 does not Granger Cause SOFIX 6.63262 0.00157*

*significant at 5% level.

©2006 by Ceylan Onay
formated and tagged by KH, 3.8.2006