The aim of this paper is to investigate the existence of both linear and non-linear cointegration relations between Euro and U.S. Dollar exchange rates and stock price index by using the closing price of the national Borsa Istanbul 100 index as well as the closing prices of the national industrial index, financial index and services index. The U.S. dollar and Euro exchange rates selling prices in TL is consider as exchange rates. For this purpose, Linear co-integration test is analyzed by bound test, developed by Pesaran, Shin and Smith (2001) and nonlinear cointegration is analyzed by Breitung (2001) rank test.
Findings show that there is a co-integration relationship between stock prices and exchange rates in the long run term and short run term and mentioned relationship is positive in long run and negative in short run which means traditional approach describing the relationship between stock prices and exchange rates is exist in Turkey.
| Subject : | : | AFEP Paper |
| Language of text | : | English |
| Comment | : | Hello dear sir / madam ı would like to share my paper with your congress and if ı am accepted, I will be financially supported by my university but they demand me an invitation letter with the phrase such as PEER REVIEW OR BLIND REVİEW. could you give an information about this situation. And Can ı get letter before 30 th of January 2019 Regards Assoc.Prof.Dr.utku Altunöz |
| Keywords | : | Stock returns ; Exchange rate ; ARDL cointegration ; Breitung |
| PDF version | : |  PDF version |
