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

Home Page
About
Submit A Journal
Submit A Conference
Submit Paper/Book
- Submit a Preprint
- Submit a Book
Contact

Fiscaoeconomia
Volume:2 Issue:1
Linear and Non-Linear Causality Tests of Stock Price and Real Exchange Rate Interactions in Turkey

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

Authors : Gözde YILDIRIM, Zafer ADALI

Pages : 99-118

Doi:10.25295/fsecon.370719

View : 33 | Download : 11

Publication Date : 2018-01-31

Article Type : Research Paper

Abstract :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.
Keywords : Linear and Non Linear Causality Analysis, Stock Price and Real Exchange Rate

ORIGINAL ARTICLE URL

* There may have been changes in the journal, article,conference, book, preprint etc. informations. Therefore, it would be appropriate to follow the information on the official page of the source. The information here is shared for informational purposes. IAD is not responsible for incorrect or missing information.