Dynamics of Stock Prices and Exchange Rate with Structural Breaks and Asymmetry: Evidence From Türkiye

Almıla Burgaç Çil and Burhan Biçer

Journal of Research in Economics, Politics & Finance, 2024, vol. 9, issue 3, 438-461

Abstract: This study investigates the impacts of the nominal exchange rate on Turkish stock prices using a structural break cointegration test with endogenously determined multiple structural breaks and an asymmetric cointegration test for the period of 2002-2021. The study differs from previous research on this relation in two respects. First, it takes into account structural breaks in relation to both regimes and trends (C/S/T). Second, it extends the asymmetric cointegration with multiple structural breaks. The findings of structural break cointegration capture the break dates in line with the Turkish economics dynamics and reveal the negative effects of the exchange rates on stocks, with their significance and magnitude differing in regimes. Similarly, NARDL results indicate that negative and positive exchange rate shocks exhibit asymmetric effects on stocks for both the whole period and regimes. The overall findings demonstrate that exchange rate variations have distinctive impacts on stock prices when considering structural break and asymmetrical dynamics. In this background, policymakers and foreign investors need to take into account these dynamics when dealing with Turkish financial markets.

Keywords: Stock Prices; Exchange Rate; Cointegration with Multiple Structural Breaks; NARDL (search for similar items in EconPapers)
JEL-codes: E44 F31 G11 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/tr/download/article-file/4073571 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ahs:journl:v:9:y:2024:i:3:p:438-461

DOI: 10.30784/epfad.1516880

Access Statistics for this article

More articles in Journal of Research in Economics, Politics & Finance from Ersan ERSOY
Bibliographic data for series maintained by Ersan Ersoy ().