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GELİŞMEKTE OLAN ÜLKELERDE BORSA İLE DÖVİZ KURLARI ARASINDAKİ İLİŞKİ: SİMETRİK ve ASİMETRİK NEDENSELLİK ANALİZİ

Year 2017, Issue: 27, 1 - 15, 30.11.2017

Abstract

Bu
çalışmada gelişmekte olan ülkelerden Arjantin, Brezilya, Çin, Endonezya,
Filipinler, Meksika ve Türkiye için hisse senedi fiyatları ile döviz kuru
arasındaki ilişki incelenmiştir. Kullanılan veri, ülkelerin veri uygunluklarına
göre değişim göstermektedir. Çalışmada nedensellik sonuçları üzerinde
karşılaştırma yapılabilmesi amacıyla değişkenler arasındaki ilişki simetrik ve
asimetrik nedensellik testleri kullanılarak incelenmiştir. Ampirik analiz
sonuçlarına göre, ele alınan ülkeler için değişkenler arasındaki nedensellik
ilişkilerinin farklılaştığı görülmektedir. Çalışmadan elde edilen bir diğer
sonuç ise simetrik testlerin tespit edemediği saklı ilişkilerin asimetrik
testler yardımıyla ortaya çıkarılmış olmasıdır.

References

  • Aggarwal, Raj. (1981), “Exchange Rates and Stock Prices: A Study of U.S.Capital Market under Flaoting Exchange Rates”, Akron Business and Economic Review,Vol.12: 7-12.
  • Dornbush, Rudiger; Fıscher, Stanley (1980), “Exchange Rates and the Current Account”, American Economic Review, Vol.70, No. 5: 960-971.
  • Granger, Clive; Yoon, Gawon (2002), “Hidden Cointegration” , Working Paper, San Diego University of California,Department of Economics.
  • Hacker, Scott; Hatemi-J, Abdulnasser (2006), “Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application”, Applied Economics, Vol.38, No.13: 1489-1500.
  • Hatemi-J, Abdulnasser (2012), “Asymmetric causality tests with an application”, Empirical Economics Vol.43: 447–456.
  • ibrahim, Mansor (2000), “Cointegration and Granger Causality Tests of Stock Prices and Exchange Rates Interactions in Malaysia”, ASEAN Economic Bulletin, Vol. 17, No.1: 36-46.
  • Kim, Ki-Ho. (2003), “Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model” Review of Financial Economics, Vol.12; 301–313.
  • Lee, Wai-Choi (2012), “A Study of the Causal Relationship between Real Exchange Rate of Renminbi and Hong Kong Stock Market Index” Modern Economy, Vol.3; 563-566.
  • Mıshra, Alok (2004), “Stock Market and Foreign Exchange Market in India: Are They Related?”, South Asia Economic Journal, Vol.5, No. 2; 209-232.
  • Muhammad, N aeem; Rasheed, Abdul; Husain, Fazal (2004), “Stock Prices and Exchange Rates: Are They Related? Evidence from South Asian Countries” Pakistan Development Review, Vol. 41, No. 4; 535-549.
  • Nath, Golaka; Samanta, G. (2003), “Dynamic Relation Betwee Exchange Rate an Stock Price – A Case for India”, In 39th Annual Conference paper of Indian Econometric Society also published in NSE News February.
  • Nıeh, Chien; Lee, Cheng (2001), “Dynamic Relationship between Stock Prices and Exchange Rates for G-7 Countries” The Quarterly Review of Economics and Finance, Vol. 41: 477-490.
  • Phylaktıs, Kate; Ravazzolo, Fabiola (2005), “Stock Prices and Exchange Rate Dynamics”, Journal of International Money and Finance, Vol. 24: 1031-1053.
  • Rahman, Lutfur; Uddin, Jashim (2009), “Dynamic Relationship between Stock Prices and Exchange Rates: Evidence from Three South Asian Countries”, International Business Research, Vol. 2, No. 2: 167-174.
  • Sharma, Nishi (2015), “Causal Relation between Stock Return and Exchange Rate:Evidence from India”, Global Journal of Management and Business Research, Vol.15, No.11: 27-32.
  • Vygodına, Anna (2006), “Effects of size and international exposure of the US firms on the relationship between stock prices and exchange rates”, Global Finance Journal, Vol.17: 214–223.
  • Yıldız, Ayşe (2014), “Döviz Kuru ile Sektörel Hisse Senedi Endeksleri Arasındaki İlişki”, Finans Politik & Ekonomik Yorumlar, Vol.51, No.593: 77-91.
  • Zhao, Hua (2010), “Dynamic Relationship Between Exchange Rate And Stock Price: Evidence from China”, Research in International Business and Finance, Vol.24, No.2: 103–112.

Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis

Year 2017, Issue: 27, 1 - 15, 30.11.2017

Abstract

This study
examines the relationship between stock prices and exchange rates for
developing countries from Argentina, Brazil, China, Indonesia, Philippines,
Mexico and Turkey. The data used in this study to be vary according to the data
suitability of the countries. The relationship between variables was examined
using symmetric and asymmetric causality tests in order to compare the results
of causality in this study. According to empirical analysis results, the
causality relations between the variables for the countries are different.
Finally, the hidden relations which cannot be revealed by the symmetric
causality tests are revealed by asymmetric causality tests.

References

  • Aggarwal, Raj. (1981), “Exchange Rates and Stock Prices: A Study of U.S.Capital Market under Flaoting Exchange Rates”, Akron Business and Economic Review,Vol.12: 7-12.
  • Dornbush, Rudiger; Fıscher, Stanley (1980), “Exchange Rates and the Current Account”, American Economic Review, Vol.70, No. 5: 960-971.
  • Granger, Clive; Yoon, Gawon (2002), “Hidden Cointegration” , Working Paper, San Diego University of California,Department of Economics.
  • Hacker, Scott; Hatemi-J, Abdulnasser (2006), “Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application”, Applied Economics, Vol.38, No.13: 1489-1500.
  • Hatemi-J, Abdulnasser (2012), “Asymmetric causality tests with an application”, Empirical Economics Vol.43: 447–456.
  • ibrahim, Mansor (2000), “Cointegration and Granger Causality Tests of Stock Prices and Exchange Rates Interactions in Malaysia”, ASEAN Economic Bulletin, Vol. 17, No.1: 36-46.
  • Kim, Ki-Ho. (2003), “Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model” Review of Financial Economics, Vol.12; 301–313.
  • Lee, Wai-Choi (2012), “A Study of the Causal Relationship between Real Exchange Rate of Renminbi and Hong Kong Stock Market Index” Modern Economy, Vol.3; 563-566.
  • Mıshra, Alok (2004), “Stock Market and Foreign Exchange Market in India: Are They Related?”, South Asia Economic Journal, Vol.5, No. 2; 209-232.
  • Muhammad, N aeem; Rasheed, Abdul; Husain, Fazal (2004), “Stock Prices and Exchange Rates: Are They Related? Evidence from South Asian Countries” Pakistan Development Review, Vol. 41, No. 4; 535-549.
  • Nath, Golaka; Samanta, G. (2003), “Dynamic Relation Betwee Exchange Rate an Stock Price – A Case for India”, In 39th Annual Conference paper of Indian Econometric Society also published in NSE News February.
  • Nıeh, Chien; Lee, Cheng (2001), “Dynamic Relationship between Stock Prices and Exchange Rates for G-7 Countries” The Quarterly Review of Economics and Finance, Vol. 41: 477-490.
  • Phylaktıs, Kate; Ravazzolo, Fabiola (2005), “Stock Prices and Exchange Rate Dynamics”, Journal of International Money and Finance, Vol. 24: 1031-1053.
  • Rahman, Lutfur; Uddin, Jashim (2009), “Dynamic Relationship between Stock Prices and Exchange Rates: Evidence from Three South Asian Countries”, International Business Research, Vol. 2, No. 2: 167-174.
  • Sharma, Nishi (2015), “Causal Relation between Stock Return and Exchange Rate:Evidence from India”, Global Journal of Management and Business Research, Vol.15, No.11: 27-32.
  • Vygodına, Anna (2006), “Effects of size and international exposure of the US firms on the relationship between stock prices and exchange rates”, Global Finance Journal, Vol.17: 214–223.
  • Yıldız, Ayşe (2014), “Döviz Kuru ile Sektörel Hisse Senedi Endeksleri Arasındaki İlişki”, Finans Politik & Ekonomik Yorumlar, Vol.51, No.593: 77-91.
  • Zhao, Hua (2010), “Dynamic Relationship Between Exchange Rate And Stock Price: Evidence from China”, Research in International Business and Finance, Vol.24, No.2: 103–112.
There are 18 citations in total.

Details

Journal Section Makaleler
Authors

Mücahit Aydın

Publication Date November 30, 2017
Published in Issue Year 2017 Issue: 27

Cite

APA Aydın, M. (2017). Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis. Istanbul University Econometrics and Statistics E-Journal(27), 1-15.
AMA Aydın M. Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis. Istanbul University Econometrics and Statistics e-Journal. November 2017;(27):1-15.
Chicago Aydın, Mücahit. “Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis”. Istanbul University Econometrics and Statistics E-Journal, no. 27 (November 2017): 1-15.
EndNote Aydın M (November 1, 2017) Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis. Istanbul University Econometrics and Statistics e-Journal 27 1–15.
IEEE M. Aydın, “Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis”, Istanbul University Econometrics and Statistics e-Journal, no. 27, pp. 1–15, November 2017.
ISNAD Aydın, Mücahit. “Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis”. Istanbul University Econometrics and Statistics e-Journal 27 (November 2017), 1-15.
JAMA Aydın M. Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis. Istanbul University Econometrics and Statistics e-Journal. 2017;:1–15.
MLA Aydın, Mücahit. “Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis”. Istanbul University Econometrics and Statistics E-Journal, no. 27, 2017, pp. 1-15.
Vancouver Aydın M. Relationship Between Stock Prices and Exchange Rates in Developing Countries: Symmetric and Asymmetric Causality Analysis. Istanbul University Econometrics and Statistics e-Journal. 2017(27):1-15.