Hisse Senedi Fiyatları ile Döviz Kuru İlişkisi: Gelişmekte Olan Ülkeler Üzerine Ampirik Bir Uygulama

Year 2007, Volume: 1 Issue: 1, 77 - 89, 01.06.2007

Erman Erbaykal H. Aydın Okuyan

Keywords

Döviz Kurları, Hisse Senedi Fiyatları, Sınır Testi, Toda Yamamoto Nedensellik Analizi

The Relationship Between Stock Prices and Exchange Rates: An Empirical Study on Emerging Markets

Keywords

Exchange Rates, Stock Prices, Bounds Test, Toda Yamamoto Causality

References

• Engel, R.F., Granger, C.W.J. (1987). Co-integration and Error Correction Repre- sentation, Estimation and Testing, Econometrica, Vol. 55, No.2, pp. 251-276.
• Giles, J.A., Mirza, S., (1998). Some Pretesting Issues on Testing for Granger Non-Causality. Econometric Working Papers, EWP9914, Department of Econo- mics, University of Victoria, Canada.
• Giles, J.A., Williams, C.I., (1999). Export-led Growth: A Survey of the Empi- rical Literature and Some Non-Causality Results. Econometric Working Pa- per EWP9901, Department of Economics, University of Victoria, Canada.
• Granger, C.W.J. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods, Econometrica, 37 (3) August, pp.424-438.
• Gündüz L., Hatemi-J, A., (2002). On the Causal Relationship Between Stock Pri- ces and Exchange Rates Evidence from MENA Region, FMA European Confe- rence, 5-8 June, Copenhagen
• Johansen, S. (1988). Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, Vol. 12, No. 2/3, pp. 231-254.
• Johansen, S. And Juselius, K. (1990). Maximum Likelihood Estimation and Infe- rence on Cointegration-With Applications to the Demand For Money, Oxford Bulletin of Economics and Statistics, Vol. 52, No. 2, pp.169-210.
• Hatemi-J A., Irandoust M., (2002). On the Causality between Exchange Rates and the Current Account”, American Economic Review, Bulletin of Economic Research, vol 54(2), 197-203
• He J., Ng L.K., (1998). The Foreign Exchange Exposure of Japanese Multinatio- nal Corporations, Journal of Finance, vol 53, 733-753
• Granger C.W.J., Bwo-Nung H., Yang C., (2000). A Bivariate Causality between Stock Prices and Exchange Rates: Evidence From Recent Asia Flu, The Quarterly Review of Economics and Finance, vol. 40, 337-354
• Jorion P., (1990). The Exchange Rate Exposure of U.S. Multinationals, Journal of Business, vol. 63, 331-345
• Jorion P., (1991). The Pricing of Exchange Rate Risk in the Stock Market, Jour- nal Financial and Quantitive Analysis, vol. 26, 363-376
• Ma J.K., Kao G.W., (1990). On Exchange Rate Changes and Stock Price Reacti- ons, Journal of Business Finance & Accounting, vol 17(3), 441-449
• Mavrotas, G., Kelly, R., (2001). Old Wine In New Bottle: Testing Causality Bet- ween Savings And Growth, The Manchester School Supplement, pp. 97–105.
• Nagayasu J. (2001). Currency Crisis and Contagion: Evidence from Exchange Rate and Sectoral Indices of the Philippines and Thailand, Journal of Asian Bu- siness, vol. 12, 529-546
• Pesaran, M. H. Shın, Y. Smith, R.J., (2001). Bounds Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, 16, pp.289-326
• Phillips, P.C.B., Perron, P. (1988). Testing For A Unit Root In Time Series Regres- sion. Biomètrika, 75 (2) 336-346.
• Popper H., Chamberlain S., Howe J.S., (1996). The Exchange Rate Exposure of U.S. and Japanese Banking Institutions, Journal of Banking and Finance, vol 21, 871-892
• Stavarek D. (2005). Linkages between Stock Prices and Exchange Rates in the EU and the United States, Czech Journal of Economics and Finance, vol. 55 (3-4), 141-161
• Tang, T.C., (2003). Japanese Aggregate Import Demand Function: Reassess- ment from the Bounds Testing Approach, Japan and the World Economy, 15,419-436.
• Toda, H.Y., Yamamoto, T., (1995). Statistical inference in vector auto regressi- ons with possibly integrated process. Journal of Econometrics, 66, 225-250.
• EK 1 BİRİM KÖK TESTİ SONUÇLARI