Hısse senedı pıyasalarının korelasyonlarının cografyası

It is important to understand the interactions and interdependencies between stock markets across the world, for theoretical and practical reasons such as for portfolio managers and active investors. In this thesis, we examine how the information flow around the globe interact with the non-synchronously operating stock markets in generating interdependencies between countries. Furthermore, using correlation coefficients as a measure of the co-movements among the world stock markets, we study the role of time zone differences in cross-county correlations and develop a methodology to adjust correlations to remove the impact of non-synchronous trading. As our first hypothesis, we tested the price movements of stock markets which have just closed, to see the effect of the information flow, which have already reflected by the historical prices, on the stock markets which are going to open. As our second hypothesis, correlation coefficients were cleared in terms of time differences between stock market operating hours. Our results indicated that understanding the role played by non-synchronous trading hours is import for stock market prediction studies and to understand co-movements among countries.