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Journals / Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi / 2021 / Cilt: 43 - Sayı: 1

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

Emre ÜRKMEZ
Ömer Faruk BÖLÜKBAŞI
Pages
42–56
Publication Date
2021-07-01
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

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.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study investigates the impact of exchange rates on stock indices for Turkey and examines whether these impacts are asymmetric.
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Key Findings & Data: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.
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Conclusion & Impact: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.
🔬Design:Modeling & Simulation
📍Scope:2005-2020 Verileri
⚙️Variables:Sectoral Stock Indices · Exchange Rate · Asymmetry Cointegration

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.

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Cite This Article

ÜRKMEZ, E., BÖLÜKBAŞI, Ö. F. (2021). THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 43 - Sayı: 1, 42–56. https://ajindex.com/articles/217895

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