An investigation of the short- and long-term relationships between Turkish financial markets
In recent years the importance of emerging stock exchanges has been demonstrated by the number of market studies. Although some of these stock exchanges such as those of Korea and Taiwan have been investigated extensively, there is only limited research on others including the Turkish stock exchange. This study aims to fill this gap by investigating the short- and long-term relationship between Turkish stock prices, and the Turkish lira price of the US dollar. Turkish investors view both of these instruments as investments. The exchange offices in Turkey serve investors who continuously buy and sell foreign currencies. We expect that at least one market would cause the other one, and there could be a feedback relation or in the extreme case, there could even be long-run equilibrium between these two markets. Data for this study are obtained from a foreign exchange office and the Istanbul Stock Exchange for the period January 1988 to December 1994. The data consist of daily closing prices of the Istanbul Stock Exchange index, and the closing ask price of the US dollar. Unit root tests indicate that both series are nonstationary as 1(1). The results show that a long-run equilibrium does not exist, however, the foreign exchange market causes the stock market in the Granger sense.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 2 (1996)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/REJF20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/REJF20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Francis X. Diebold & Javier Gardeazabal & Kamil Yilmaz, 1993.
"On cointegration and exchange rate dynamics,"
93-2, Federal Reserve Bank of Philadelphia.
- Booth, G. Geoffrey & Mustafa, Chowdhury, 1991. "Long-run dynamics of black and official exchange rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 392-405, September.
- Meese, Richard A & Singleton, Kenneth J, 1982. " On Unit Roots and the Empirical Modeling of Exchange Rates," Journal of Finance, American Finance Association, vol. 37(4), pages 1029-35, September.
- Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-81, March.
- Onkal, Dilek & Muradoglu, Gulnur, 1994. "Evaluating probabilistic forecasts of stock prices in a developing stock market," European Journal of Operational Research, Elsevier, vol. 74(2), pages 350-358, April.
- Baillie, R.T. & Bollerslev, T., 1993.
"Cointegration, Fractional Cointegration, and Exchange RAte Dynamics,"
9103, Michigan State - Econometrics and Economic Theory.
- Baillie, Richard T & Bollerslev, Tim, 1994. " Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-45, June.
When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:2:y:1996:i:4:p:305-317. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.