TÜRKİYE’DE HİSSE SENEDİ FİYATLARI VE DÖVİZ KURU ARASINDA DOĞRUSAL VE DOĞRUSAL OLMAYAN EŞ BÜTÜNLEŞME İLİŞKİSİ

Linear and Nonlinear Cointegration Relationship between Stock Prices and Exchange Rates in Turkey

Bülent Dogru and Mursit Recepoglu

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this study is to analyze both the linear and nonlinear co-integration relationship between Euro and U.S. Dollar exchange rates and stock price index with monthly time-series data covering the time period 1980 - 2013 for Turkish Economy. Linear co-integration test is analyzed by the bound test approach, developed by Pesaran, Shin and Smith (2001), that does not need to be applied to the series that are stationary at the same level. Whereas, nonlinear co-integration analysis is investigated by Breitung (2001) rank test. Additionaly, because series has a structural break in trend in February 2001, analyzes are also employed for sub-periods. The empirical findings suggest there is a co-integration relationship between exchange rates and stock price index in the long run. This relationship is positive in long run and negative in short run. The direction of the relationship is from exchange rates to stock prices. Therefore, for Turkish Economy the "traditional approach” describing the relationship between stock prices and exchange rates is valid.

Keywords: Linear and Non Linear Co-integration; Bound Test; Rank Test; Exchange rates; Stock Price Index (search for similar items in EconPapers)
JEL-codes: E60 E69 (search for similar items in EconPapers)
Date: 2013-06-17
New Economics Papers: this item is included in nep-ara
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/50505/1/MPRA_paper_50505.pdf original version (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:pra:mprapa:50505

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().