The cointegration analysis between tourism indices

The aim of this study is to determine the cointegration between the tourism indices of the 25 countries with the highest income in the order of tourism incomes and to assist the decision makers in creating the portfolio among the existing stock exchanges considering the investors. Increasing financial liberalization due to the globalization of the world economy causes countries to interact with each other. In order to reduce the risk of taking investment decisions, the diversified portfolios are composed of more than one investment instrument instead of a single investment instrument. In addition, investors who evaluate diversification in international stock exchanges can be protected from country risks. It is important that the stock exchanges to be selected for investment while creating a portfolio at the international level have no cointegration among each other, in order to reduce the risk. The BIST XTRZM among 25 countries with the highest tourism incomes and this study has been examined the coingtegration analysis. The research data contains are; BIST XTRZM and US DJUSCG, DJUSTT, NQUSB5759, NQUSS5759, Australia's AXHRJ and AXHRK, China's FTXIN45750, UK's FTNMX5750, Spain's BCNR.BC, Italy FTIT5700, Taiwan's THOI and the FTATTRA tourism indices of Greece. The obtained data were analyzed in Eviews-8 program. The Johansen cointegration test was subsequently conducted to examine the relationship between these series at the same level. As a result of the coingregration analysis, the BIST XTRZM indice and the presence of any statistical relationship between the tourism indices of the other countries and the level of the presence were examined. As a result of the analysis, the trace value is higher than critical value were found which means the BIST XTRZM indice, the BCNRBC indice of Spain, the THOI indice of Taiwan, and the FTATTRA indice of Greece were found long-term cointegrated. The Granger causality test was applied to examine short-term relationships of non-cointegrating series. According to the results obtained, one way causality relation has been reached from the UK indice FTNMX5750 to BIST XTRZM. Key Words: Cointegration, BIST XTRZM, Tourism