TY  - JOUR
TT  - Causality Test between Exchange Rate and Stock Prices: An Analysis onUSD/YTL, ISE 100 and S&P 500
AU  - Pekkaya, Mehmet
AU  - Bayramoğlu, M. Fatih
PY  - 2008
DA  - April
JF  - Muhasebe ve Finansman Dergisi
PB  - Muhasebe ve Finansman Öğretim Üyeleri Bilim ve Araştırma Derneği
WT  - DergiPark
SN  - 2146-3042
SP  - 163
EP  - 176
IS  - 38
KW  - Granger nedensellik ilişkisi
KW  - Döviz kuru
KW  - İMKB 100.
N2  - (Causality Test between Exchange Rate and Stock Prices: An Analysis on USD/YTL, ISE 100 and S&P 500)  Türkiye was influenced 1994 and 2001 currency and 1997 Asian crisis. In this study, we focused on granger causality relation between YTL/USD exchange rate, ISE 100 index and S&P 500 index by using 1990-2007 data for each instrument. There is Granger cause from ISE 100 and S&P 500 indexes to exchange rate for the period of 1990-2007. Bidirectional Granger cause has exists between exchange rate and ISE 100 index. S&P 500 index has unidirectional Granger cause of ISE 100 index and exchange rate. However, only S&P 500 index is usually common effective without being effected during all periods and crises except 1994 crises. According to Granger causality tests after the crises period, S&P 500 index common effective and exchange rate is affected by the indexes.
UR  - https://dergipark.org.tr/en/pub/mufad/issue//395707
L1  - https://dergipark.org.tr/en/download/article-file/426478
ER  -