The effects of the exchange rate movements on the Istanbul stock exchange
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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Volume (Year): 3 (2007)
Issue (Month): 1 (January)
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References listed on IDEAS
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- Willem Thorbecke, 1995.
"On Stock Market Returns and Monetary Policy,"
Economics Working Paper Archive
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- 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.
- 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.
- 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.
- Lastrapes, W. D., 1998. "International evidence on equity prices, interest rates and money," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 377-406, June.
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