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Türki̇ye’De Hi̇sse Senedi̇ Fi̇yatlari Ve Dövi̇z Kuru Arasinda Doğrusal Ve Doğrusal Olmayan Eş Bütünleşme İli̇şki̇si̇
[Linear and Nonlinear Cointegration Relationship between Stock Prices and Exchange Rates in Turkey]

Author

Listed:
  • Dogru, Bülent
  • Recepoglu, Mursit

Abstract

The aim of this study is to analyze both the linear and nonlinear co-integration relationship between Euro and U.S. Dollar exchange rates and stock price index with monthly time-series data covering the time period 1980 - 2013 for Turkish Economy. Linear co-integration test is analyzed by the bound test approach, developed by Pesaran, Shin and Smith (2001), that does not need to be applied to the series that are stationary at the same level. Whereas, nonlinear co-integration analysis is investigated by Breitung (2001) rank test. Additionaly, because series has a structural break in trend in February 2001, analyzes are also employed for sub-periods. The empirical findings suggest there is a co-integration relationship between exchange rates and stock price index in the long run. This relationship is positive in long run and negative in short run. The direction of the relationship is from exchange rates to stock prices. Therefore, for Turkish Economy the "traditional approach” describing the relationship between stock prices and exchange rates is valid.

Suggested Citation

  • Dogru, Bülent & Recepoglu, Mursit, 2013. "Türki̇ye’De Hi̇sse Senedi̇ Fi̇yatlari Ve Dövi̇z Kuru Arasinda Doğrusal Ve Doğrusal Olmayan Eş Bütünleşme İli̇şki̇si̇ [Linear and Nonlinear Cointegration Relationship between Stock Prices and Excha," MPRA Paper 50505, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:50505
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    References listed on IDEAS

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    More about this item

    Keywords

    Linear and Non Linear Co-integration; Bound Test; Rank Test; Exchange rates; Stock Price Index;
    All these keywords.

    JEL classification:

    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • E69 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Other

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