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

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.

___

  • ADENIYI, O., Kumeka, T. (2019). Exchange Rate and Stock Prices in Nigeria: Firm-Level Evidence, Journal of African Business, 21(2): 235-263.
  • AJAZ, T., Zulquar Nain, Md., Kamaiah, B., Sharma, N. K. (2017). Stock prices, Exchange Rate and Interest Rate: Evidence Beyond Symmetry, Journal of Financial Economic Policy, 9(1): 2-19.
  • ALIREZA, S., Zahra, H., Samira, Z. (2020). Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model, Munich Personal RePEc Archive, 101554.
  • ANJUM, N., Ghumro, N. H., Husain, B. (2017). Asymmetric Impact of Exchange Rate Changes on Stock Prices: Empirical Evidence from Germany, International Journal of Economics and Financial Research, 3(11): 240-245.
  • AYDEMİR, O., Demirhan, E. (2009). The Relationship between Stock Prices and Exchange Rates Evidence from Turkey, International Research Journal of Finance and Economics, 23: 207-215.
  • AYVAZ, Ö. (2006). Döviz Kuru ve Hisse Senetleri Fiyatları Arasındaki Nedensellik İlişkisi, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2): 1-14.
  • BAHMANI-OSKOOEE, M., Saha, S. (2015). On the Relation Between Stock Prices and Exchange Rates: a Review Article, Journal of Economic Studies, 42(4): 707-732.
  • BAHMANI-OSKOOEE, M., Saha, S. (2016). Asymmetry Cointegration Between the Value of the Dollar and Sectoral Stock Indices in the US, International Review of Economics and Finance, 46: 78-86.
  • BAHMANI-OSKOOEE, M., Saha, S. (2016). Do Exchange Rate Changes Have Symmetric or Asymmetric Effects on Stock Prices?, Global Finance Journal, 31: 57-72.
  • BAHMANI-OSKOOEE, M., Saha, S. (2017). On the Relation Between Exchange Rates and Stock Prices: A Nonlinear ARDL Approach and Asymmetry Analysis, Journal of Economics and Finance, 42: 112-137.
  • BELEN, M., Karamelikli, H. (2016). Türkiye’de Hisse Senedi Getirileri ile Döviz Kuru Arasındaki İlişkinin İncelenmesi: ARDL Yaklaşımı, Istanbul University Journal of the School of Business, 45(1): 34-42.
  • BENLİ, M., Durmuşkaya, S., Bayramoğlu, G. (2019). Asymmetric Exchange Rate Pass-Through and Sectoral Stock Price Indices: Evidence from Turkey, International Journal of Business and Management, 7(1): 25-47.
  • BHUTTO, N. A., Chang, B. H. (2019). The Effect of the Global Financial Crisis on the Asymmetric Relationship Between Exchange Rate and Stock Prices, High Frequency, 2(3-4): 175-183.
  • COŞKUN, M., Kiracı, K., Muhammed, U. (2016). Seçilmiş Makroekonomik Değişkenlerle Hisse Senedi Fiyatları Arasındaki İlişki: Türkiye Üzerine Ampirik Bir İnceleme, Finans Politik & Ekonomik Yorumlar, 53(616): 61-74.
  • CUESTAS, J. C., Tang, B. (2015). Asymmetric Exchange Rate Exposure of Stock Returns: Empirical Evidence from Chinese Industries, Studies in Nonlinear Dynamics & Econometrics, 21(4): 1-21.
  • EFFIONG, E. L., Bassey, G. E. (2019). Stock Prices and Exchange Rate Dynamics in Nigeria: An Asymmetric Perspective, The Journal of International Trade & Economic Development, 28(3): 299-316.
  • ELMAS, B., Esen, Ö. (2011). Hisse Senedi Fiyatları İle Döviz Kuru Arasındaki Dinamik İlişkinin Belirlenmesi; Farklı Ülke Piyasaları İçin Bir Araştırma, Muhasebe ve Finansman Dergisi, 52: 153-170.
  • KASMAN, S. (2003). The Relationship between Exchange Rates and Stock Prices: A Causality Analysis, Dokuz Eylül Üniversitsi Sosyal Bilimler Dergisi, 5(2): 70-79.
  • KAYA, H., Soybilgen, B. (2019). Evaluating the Asymmetric Effects of Production, Interest Rate and Exchange Rate on the Turkish Stock Prices, Ege Akademik Bakış, 19(2): 293-300.
  • LEE, G., Ryu, D. (2018). Asymmetry in the Stock Prıce Response to Macroeconomıc Shocks: Evidence from the Korean Market, Journal of Business Economics and Management, 19(2): 343-359.
  • LUQMAN, R., Kouser, R. (2018). Asymmetrical Linkages between Foreign Exchange and Stock Markets: Empirical Evidence through Linear and Non-Linear ARDL, Journal of Risk and Financial Management, 11(3): 1-13.
  • MOUSSA, W., Bejaoui, A., Mgadmi, N. (2020). Asymmetric Effect and Dynamic Relationships between Stock Prices and Exchange Rates Volatility, Annals of Data Science, 2020.
  • MULLER, A., Verschoor, W. F. C. (2006). Asymmetric Foreign Exchange Risk Exposure: Evidence from U.S. Multinational Firms, Journal of Empirical Finance, 13(4-5): 495-518.
  • ÖZMEN, M. (2007). Farklı Döviz Kuru Rejimleri Altında Hisse Senetleri Fiyatları İle Döviz Kurları Arasındaki İlişkinin Ekonometrik Analizi, Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 16(1): 519-538.
  • PESARAN, M. H., Shin, Y. Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, 16(3): 289-326.
  • SHIN Y., Yu B., Greenwood-Nimmo M. (2014) Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In: Sickles R., Horrace W. (eds) Festschrift in Honor of Peter Schmidt. Springer, New York, 281-314.
  • TİRYAKİ, A., Ceylan, R., Erdoğan, L. (2019). Asymmetric Effects of Industrial Production, Money Supply and Exchange Rate Changes on Stock Returns in Turkey, Applied Economics, 51(20): 2143-2154.
  • TÜRSOY, T. (2017). Causality Between Stock Prices and Exchange Rates in Turkey: Empirical Evidence from the ARDL Bounds Test and a Combined Cointegration Approach, International Journal of Finacial Studies, 5(8): 1-10.
  • YACOUBA, K., Altıntaş, H. (2019). The Asymmetric Impact of Macroeconomic Shocks on Stock Returns in Turkey: a Nonlinear ARDL Approach, Romanian Journal of Economic Forecasting, 22(2): 98-116.