The effects of the exchange rate movements on the Istanbul stock exchange
AbstractThis study examines the effects of exchange rate movements on the stock market in Turkey using a monthly VAR model for the period from January 1997 to November 2003. The full sample period contains two main changes in the exchange rate policy which happened in January 1990 and December 1999. To account for these changes, two different sub-periods January 1997 to November 1999 and January 2000 to November 2003 are also considered. The first period results indicate that there is a positive relationship between currency depreciation and most of the market indices. However, in the second period, the currency depreciation shows a negative impact in the initial level.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 3 (2007)
Issue (Month): 1 (January)
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