THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS

Emre ÜRKMEZ; Ömer Faruk BÖLÜKBAŞI

doi:https://doi.org/10.14780/muiibd.960267

Article Details

THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS

Authors:

Emre ÜRKMEZ | Ömer Faruk BÖLÜKBAŞI

Publisher:

Marmara University

Main Topics:

Economics and Finance

Journal:

Marmara University Journal of Economic and Administrative Sciences 2021 Vol.43 Issue 1, pp.42-56

Document Type:

Article

Publication Date:

6/2021

Document Language:

English

Document ID (Org No.):

2000535415

Frequency:

Bi-Annual

pISSN:

2587-2672

DOI:

https://doi.org/10.14780/muiibd.960267

Abstract:

 

This study investigates the impact of exchange rates on stock indices for Turkey and examines whether these
impacts are asymmetric. For this purpose, the non-linear autoregressive distributed lag (NARDL) model
is used as an asymmetric cointegration method. In the study covering the period 2005-2020, BIST-100,
BIST-100 All Shares and four stock sector indices are included in the models as stock indices representing.
Thus, the response of the stock indices of the firms in different sectors to the movements in exchange rates
is analyzed. The findings indicate that the impacts of exchange rate movements on the BIST-100 All Shares
index and the service, industry, and technology sector indices in the short-term are asymmetrical, and the
impacts on the technology sector index in the long-term are asymmetrical.

Article Details

THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS

Authors: Emre ÜRKMEZ | Ömer Faruk BÖLÜKBAŞI

Publisher: Marmara University

Main Topics: Economics and Finance

Journal: Marmara University Journal of Economic and Administrative Sciences 2021 Vol.43 Issue 1, pp.42-56

Document Type: Article

Publication Date: 6/2021

Document Language: English

Document ID (Org No.): 2000535415

Frequency: Bi-Annual

pISSN: 2587-2672

DOI: https://doi.org/10.14780/muiibd.960267

Issues

Authors:

Emre ÜRKMEZ | Ömer Faruk BÖLÜKBAŞI

Publisher:

Marmara University

Main Topics:

Economics and Finance

Journal:

Marmara University Journal of Economic and Administrative Sciences 2021 Vol.43 Issue 1, pp.42-56

Document Type:

Article

Publication Date:

6/2021

Document Language:

English

Document ID (Org No.):

2000535415

Frequency:

Bi-Annual

pISSN:

2587-2672

DOI:

https://doi.org/10.14780/muiibd.960267