Effects of FX on ETF Prices: Evidence from BIST

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Sosyoekonomi
Volume:32 Issue:59
Effects of FX on ETF Prices: Evidence from BIST

Effects of FX on ETF Prices: Evidence from BIST

Authors : Tayfur Bayat, Altuğ Murat Köktaş, Selim Kayhan, Gökhan Konat

Pages : 207-222

Doi:10.17233/sosyoekonomi.2024.01.09

View : 71 | Download : 53

Publication Date : 2024-01-31

Article Type : Research Paper

Abstract :This study better investigates the possible relationship between exchange rates and ETF prices in the BIST to understand ETF investors\' behaviour in the Turkish economy. Conventional and Fourier-based co-integration and causality analysis methods were employed to test models. According to findings, although the exchange rate has no direct effect on ETF prices in Türkiye, it is effective on ETF prices indirectly via the risk and share of foreign investors. The originality of the study lies in models built with additional control variables. In doing so, we measure the direct and indirect effects of the exchange rate on the Turkish economy.
Keywords : BYF, MSCI Türkiye, Fourier Toda Yamamoto Nedensellik Testi

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