Yıl 2018, Cilt 2, Sayı 1, Sayfalar 99 - 118 2018-01-31

Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey

Gözde YILDIRIM [1] , Zafer ADALI [2]

176 163

The purpose of this study is to determine whether there is a causality relationship between stock price and real exchange rates in Turkey. Within this context, the study employs monthly data for real exchange rates based on consumer price index and BIST 100 index as representing stock prices that cover the periods from January 2005 to August 2017. On the other side, Granger causality test, Toda-Yamamoto causality analysis and Diks and Panchenko nonlinear causality test used for this purpose. As a result, Linear Granger causality, Toda-Yamamoto and Nonlinear Granger causality tests reveal that there is a casual relationship between real exchange rate and stock price in Turkish economy for the period of 2005:01 - 2017:08 and the direction of the causality is from stock price to exchange rate. This evidence can be interpreted as the changes in stock prices may strongly have influences on the success of foreign exchange rate policies.
Linear and Non-Linear Causality Analysis, Stock Price and Real Exchange Rate
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Birincil Dil en
Konular Ekonomi ve İşletme
Dergi Bölümü Makaleler
Yazarlar

Yazar: Gözde YILDIRIM (Sorumlu Yazar)
Kurum: Anadolu Üniversitesi
Ülke: Turkey


Yazar: Zafer ADALI (Sorumlu Yazar)
Kurum: Artvin Çoruh Üniversitesi
Ülke: Turkey


Bibtex @araştırma makalesi { fsecon370719, journal = {Fiscaoeconomia}, issn = {}, eissn = {2564-7504}, address = {Ahmet Arif EREN}, year = {2018}, volume = {2}, pages = {99 - 118}, doi = {10.25295/fsecon.370719}, title = {Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey}, key = {cite}, author = {ADALI, Zafer and YILDIRIM, Gözde} }
APA YILDIRIM, G , ADALI, Z . (2018). Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey. Fiscaoeconomia, 2 (1), 99-118. DOI: 10.25295/fsecon.370719
MLA YILDIRIM, G , ADALI, Z . "Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey". Fiscaoeconomia 2 (2018): 99-118 <http://dergipark.gov.tr/fsecon/issue/34876/370719>
Chicago YILDIRIM, G , ADALI, Z . "Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey". Fiscaoeconomia 2 (2018): 99-118
RIS TY - JOUR T1 - Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey AU - Gözde YILDIRIM , Zafer ADALI Y1 - 2018 PY - 2018 N1 - doi: 10.25295/fsecon.370719 DO - 10.25295/fsecon.370719 T2 - Fiscaoeconomia JF - Journal JO - JOR SP - 99 EP - 118 VL - 2 IS - 1 SN - -2564-7504 M3 - doi: 10.25295/fsecon.370719 UR - http://dx.doi.org/10.25295/fsecon.370719 Y2 - 2017 ER -
EndNote %0 Fiscaoeconomia Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey %A Gözde YILDIRIM , Zafer ADALI %T Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey %D 2018 %J Fiscaoeconomia %P -2564-7504 %V 2 %N 1 %R doi: 10.25295/fsecon.370719 %U 10.25295/fsecon.370719
ISNAD YILDIRIM, Gözde , ADALI, Zafer . "Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey". Fiscaoeconomia 2 / 1 (Ocak 2018): 99-118. http://dx.doi.org/10.25295/fsecon.370719