ANALYSIS OF THE RELATIONSHIP BETWEEN THE PARTICIPATION INDEX AND EXCHANGE RATE, GOLD AND OIL IN TURKIYE

Authors : Ethem KILIÇ, Yavuz TÜRKAN

Pages : 335-344

Doi:10.29106/fesa.1198521

View : 48 | Download : 74

Publication Date : 2023-06-30

Article Type : Research Paper

Abstract :The main purpose of this study is to investigate the relationship in Türkiye between the participation index and the exchange rate, gold, and oil. The research has been carried out using Johansen cointegration and Toda-Yamamoto causality tests by using weekly data for the period 03.01.2016 – 26.12.2021. All of the series were found to be stationary at the first difference, and then Johansen cointegration and Toda-Yamamoto tests were applied. As a result of the analysis, it has been determined that the participation index, exchange rate, gold and oil series are cointegrated in the long term. According to the Toda-Yamamoto causality test, it was determined that there is one-way causality from exchange rate and oil to the participation index.
Keywords : Katılım Endeksi, Döviz Kuru, Altın, Petrol