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The effects of the exchange rate movements on the Istanbul stock exchange

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  • Nukhet Dogan
  • Yeliz Yalcin

Abstract

This 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 Info

Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 3 (2007)
Issue (Month): 1 (January)
Pages: 39-46

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Handle: RePEc:taf:apfelt:v:3:y:2007:i:1:p:39-46

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  1. Berument, Hakan, 2007. "Measuring monetary policy for a small open economy: Turkey," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 411-430, June.
  2. R. Smyth & M. Nandha, 2003. "Bivariate causality between exchange rates and stock prices in South Asia," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 699-704.
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  4. Willem Thorbecke, 1995. "On Stock Market Returns and Monetary Policy," Economics Working Paper Archive wp_139, Levy Economics Institute.
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  7. Friberg, Richard & Nydahl, Stefan, 1999. "Openness and the Exchange Rate Exposure of National Stock Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(1), pages 55-62, January.
  8. Bruce Morley & Eric Pentecost, 2000. "Common trends and cycles in G-7 countries exchange rates and stock prices," Applied Economics Letters, Taylor & Francis Journals, vol. 7(1), pages 7-10.
  9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  10. Frederic S. Mishkin, 2001. "The Transmission Mechanism and the Role of Asset Prices in Monetary Policy," NBER Working Papers 8617, National Bureau of Economic Research, Inc.
  11. Issam Abdalla & Victor Murinde, 1997. "Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 25-35.
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