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

Öz 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.

Kaynakça

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Kaynak Göster

Bibtex @araştırma makalesi { muiibd960267, journal = {Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi}, issn = {2587-2672}, address = {}, publisher = {Marmara Üniversitesi}, year = {2021}, volume = {43}, pages = {42 - 56}, doi = {10.14780/muiibd.960267}, title = {THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS}, key = {cite}, author = {Ürkmez, Emre and Bölükbaşı, Ömer Faruk} }
APA Ürkmez, E , Bölükbaşı, Ö . (2021). THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS . Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi , 43 (1) , 42-56 . DOI: 10.14780/muiibd.960267
MLA Ürkmez, E , Bölükbaşı, Ö . "THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS" . Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 43 (2021 ): 42-56 <
Chicago Ürkmez, E , Bölükbaşı, Ö . "THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS". Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 43 (2021 ): 42-56
RIS TY - JOUR T1 - THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS AU - Emre Ürkmez , Ömer Faruk Bölükbaşı Y1 - 2021 PY - 2021 N1 - doi: 10.14780/muiibd.960267 DO - 10.14780/muiibd.960267 T2 - Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi JF - Journal JO - JOR SP - 42 EP - 56 VL - 43 IS - 1 SN - 2587-2672- M3 - doi: 10.14780/muiibd.960267 UR - Y2 - 2021 ER -
EndNote %0 Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS %A Emre Ürkmez , Ömer Faruk Bölükbaşı %T THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS %D 2021 %J Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi %P 2587-2672- %V 43 %N 1 %R doi: 10.14780/muiibd.960267 %U 10.14780/muiibd.960267
ISNAD Ürkmez, Emre , Bölükbaşı, Ömer Faruk . "THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS". Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 43 / 1 (Temmuz 2021): 42-56 .
AMA Ürkmez E , Bölükbaşı Ö . THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2021; 43(1): 42-56.
Vancouver Ürkmez E , Bölükbaşı Ö . THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2021; 43(1): 42-56.
IEEE E. Ürkmez ve Ö. Bölükbaşı , "THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS", Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, c. 43, sayı. 1, ss. 42-56, Tem. 2021, doi:10.14780/muiibd.960267