TY  - JOUR
TT  - A Panel Data Analysis on the Mechanics of Stock Market And Exchange Rate
AU  - Akıncı, Gönül Yüce
AU  - Küçükçaylı, Fatma
PY  - 2016
DA  - July
DO  - 10.25095/mufad.396706
JF  - Muhasebe ve Finansman Dergisi
PB  - Muhasebe ve Finansman Öğretim Üyeleri Bilim ve Araştırma Derneği
WT  - DergiPark
SN  - 2146-3042
SP  - 127
EP  - 148
IS  - 71
KW  - Hisse Senedi Piyasaları
KW  - Döviz Kurları
KW  - Panel Veri Analizi.
N2  - In this study, the relationships between stock markets and exchange rates are examined using panel data analysis in the period 1997:07-2013:12 in 12 countries. Pedroni and Kao cointegration analysis are applied to determine the cointegration relationship among the variables and the findings of the analysis show the validity of long-run relationships among the variables. Besides, the causality nexus among the variables is tested using Granger causality analysis and the causal linkages among the variables are found that are compatible with the expectations. The results of the fixed-effect estimation analysis supporting the causality findings point out that the current value of the exchange rate has a statistically significant negative effect on the stock market index. Furthermore, in order to show the robustness of the analysis some control variables are added to the regression models and it is determined that the current and one-lagged values of the interest rate and the current values of inflation rate are the main factors which create a statistically significant positive pressure on the exchange rate.
UR  - https://doi.org/10.25095/mufad.396706
L1  - https://dergipark.org.tr/en/download/article-file/427838
ER  -