ISE and Exchange Market Pressure
AbstractThis article aims at investigating the long-run relationship between stock prices and speculative pressure in the Turkish exchange market through Granger-causality analysis for the period 1986:01-2006:11. For this purpose an Exchange Market Pressure Index is built using the weighted average of exchange rate changes, interest rate changes and foreign exchange reserve changes. This index is then used in pairwise causality analyses with Istanbul Stock Exchange (ISE) National-100 Index. Results of the ADF unit root tests suggest that the series are stationary. Hence, no-cointegration analysis was carried out before the Granger-causality tests. Results of Granger-causality indicates that there exists no long-run relationship between stock prices and the speculative pressure in the exchange market in Turkey.
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Bibliographic InfoPaper provided by Department of Economics, Loughborough University in its series Discussion Paper Series with number 2006_22.
Date of creation: Dec 2006
Date of revision: Dec 2006
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More information through EDIRC
currency crises; stock prices; co-integration; exchange market pressure.;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-12-22 (All new papers)
- NEP-CBA-2006-12-22 (Central Banking)
- NEP-CWA-2006-12-22 (Central & Western Asia)
- NEP-MAC-2006-12-22 (Macroeconomics)
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