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Time Series Analysis For The Effect Of Exchange Rate Risk On Bist100 Index: Case Of Turkey

Author

Listed:
  • Nur DÄ°LBAZ ALACAHAN

    (Çanakkale Onsekiz Mart University)

  • YaÄŸmur AKARSU

    (Çanakkale Onsekiz Mart University)

Abstract

The exchange rates having an important effect on the global markets are very important for the developing countries. The changes and advances in money markets affect not only the individuals but also the companies aiming to invest. The objective of this study is to determine if the exchange rate has effect on the BIST 100 index in Turkey. For this purpose, in each dataset, totally 174 observations starting from January 2004 to June 2018 was used. In specification of the model, the mean index values of Borsa Istanbul 100 by the end of month were taken as dependent variable. The independent variable was chosen to be monthly mean USD exchange rate in TurkishLira, and then regressed. According to the analysis results, there is a significant relationship between lagged values of USD exchange rate and BIST 100 index.

Suggested Citation

  • Nur DÄ°LBAZ ALACAHAN & YaÄŸmur AKARSU, 2019. "Time Series Analysis For The Effect Of Exchange Rate Risk On Bist100 Index: Case Of Turkey," JOURNAL OF LIFE ECONOMICS, Holistence Publications, vol. 6(2), pages 133-150, April.
    • Handle: RePEc:jle:journl:v:6:y:2019:i:2:p:133-150
    DOI: 10.15637/jlecon.6.009
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    More about this item

    Keywords

    Exchange rate; BIST 100 Index; Time Series Analysis; Turkey;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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