DETERMINING OF THE DYNAMIC RELATIONSHIP BETWEEN BORSA ISTANBUL 100 INDEX AND EXCHANGE RATES
BORSA İSTANBUL 100 ENDEKSİ İLE DÖVİZ KURLARI ARASINDAKİ DİNAMİK İLİŞKİNİN BELİRLENMESİ

Author : Emre ÜRKMEZ -- Togan KARATAŞ
Number of pages : 393-409

Abstract

In this study, aim to determine the dynamic relationship between XU100 index and Dollar (USD/TRY) and Euro exchange rate (EUR/TRY). In this study firstly, dynamics of Turkish Economy’s financial structure are clarified in historical perspective. This study uses the monthly data between the 2002-2015 period to analyze the relationship between the series with Gregory and Hansen (1996) causality test and Toda-Yamamoto (1995) granger causality test. According to the results our study reported that there is no long-term relationship between XU100 and USD series, but demonstrate the existence of a unidirectional granger causal relationship. There is no granger causality relationship from XU100 to EUR rates.

Keywords

Turkish Economy, Stock Prices, Exchange Rates, Cointegration, Causality.

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