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]
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.
|Date of creation:||17 Jun 2013|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Bodnar, Gordon M. & Gentry, William M., 1993. "Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 29-45, February.
- Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-71, December.
- Richard A. Ajayi & Mbodja Mougouė, 1996. "On The Dynamic Relation Between Stock Prices And Exchange Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 193-207, 06.
- Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 539-546.
- Breitung, Jorg, 2001.
"Rank Tests for Nonlinear Cointegration,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 19(3), pages 331-40, July.
- Emirmahmutoglu, Furkan & Kose, Nezir, 2011. "Testing for Granger causality in heterogeneous mixed panels," Economic Modelling, Elsevier, vol. 28(3), pages 870-876, May.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Hooi Hooi Lean & Paresh Narayan & Russell Smyth, 2011. "Exchange Rate And Stock Price Interaction In Major Asian Markets: Evidence For Individual Countries And Panels Allowing For Structural Breaks," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 56(02), pages 255-277.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:50505. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.