IDEAS home Printed from https://ideas.repec.org/a/ris/buecrj/0158.html
   My bibliography  Save this article

The Relationship between Exchange Rate-Interest Rate and Stock Return in Turkey: An Empirical Analysis

Author

Listed:
  • Şentürk, Mehmet

    (Kilis 7 Aralık University)

  • Dücan, Engin

    (Kilis 7 Aralık University)

Abstract

In this study, interest rate and exchange rate dynamics and their impact on stock returns were examined in Turkey between the periods of 1997:01-2013:05 with ADF, PP and KPSS unit root tests, impulse-response and variance decomposition analysis build upon VAR model and Granger causality analysis. Accordingly, exchange rate and interest rates affect stock returns are negative for about three months. Here, interest rate on stock returns, rather than the exchange rate is effective. In other words, while increase the interest rate and exchange rate, stock return are diminishing. However, stock return, are more sensitive to changes in the interest rates relative to exchange rate. In addition, there are unidirectional causality relationships from exchange rate to stock returns and from interest rate to exchange rate.

Suggested Citation

  • Şentürk, Mehmet & Dücan, Engin, 2014. "The Relationship between Exchange Rate-Interest Rate and Stock Return in Turkey: An Empirical Analysis," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 5(3), pages 67-80, July.
    • Handle: RePEc:ris:buecrj:0158
    as

    Download full text from publisher

    File URL: http://www.berjournal.com/the-relationship-between-exchange-rate-interest-rate-and-stock-return-in-turkey-an-empirical-analysis
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Stock returns; interest rate; exchange rate; VAR; Granger causality;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:buecrj:0158. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Adem Anbar (email available below). General contact details of provider: https://edirc.repec.org/data/iiulutr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.