ISE and Exchange Market Pressure

Mete Feridun ()
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Mete Feridun: Department of Economics, Loughborough University

Discussion Paper Series from Department of Economics, Loughborough University

Abstract: This article aims at investigating the long-run relationship between stock prices and speculative pressure in the Turkish exchange market through Granger-causality analysis for the period 1986:01-2006:11. For this purpose an Exchange Market Pressure Index is built using the weighted average of exchange rate changes, interest rate changes and foreign exchange reserve changes. This index is then used in pairwise causality analyses with Istanbul Stock Exchange (ISE) National-100 Index. Results of the ADF unit root tests suggest that the series are stationary. Hence, no-cointegration analysis was carried out before the Granger-causality tests. Results of Granger-causality indicates that there exists no long-run relationship between stock prices and the speculative pressure in the exchange market in Turkey.

Keywords: currency crises; stock prices; co-integration; exchange market pressure. (search for similar items in EconPapers)
JEL-codes: E44 F3 (search for similar items in EconPapers)
Date: 2006-12, Revised 2006-12
New Economics Papers: this item is included in nep-cba, nep-cwa and nep-mac
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