The purpose of this paper is to examine the relationships among returns of various sub-indexes in the Istanbul Stock Exchange by using various methods. In particular, we look at the extent to which various sub-indexes are cointegrated or not by using three different methods. For the first two, Engle and Granger’s (1987) single equation models and Johansen’s (1988) multivariate cointegration methods are the among the most commonly used methods for assessing long-run relationships. Kamstra, Kramer and Levi (2003) suggest that seasonality does exist in the stock market, and addressing the seasonality in the data could alter the.
