Abstract
This study empirically investigates the dynamic relationship between the Turkish stock price and the exchange rates, and also considers the US stock prices as a world market, in the long- and short-run. The study analyzes the period of floating exchange rate in Turkey which spans from 2001:08 to 2009:08 via applying cointegration, Granger causality and impulse response tests. The result from the cointegration reveals that the long run relationship is maintained. Granger causality shows that there are bidirectional relationships between exchange rate and Turkish stock prices. The impulse response results indicate the shocks of Turkish stock price, exchange rates, and US stock price response within a short time; in other words, the shocks are temporary. Key words: Exchange rate, stock price, vector autoregression (VAR).
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
