THE RELATIONSHIP BETWEEN STOCKS AND EXCHANGE RATES: AN ANALYSIS FROM LEHMAN BROTHERS COLLAPSE IN THE USA

Abstract

In this study, we comparatively examine the issue of granger causality between exchange rates and stock index for the United States before and after global financial crisis within the context of Lehman Brothers’ collapse. The analysis includes the monthly stock index and exchange rate data. Euro and Swiss Franc parities against Dollar were selected as exchange rates. After the investigation we found out that Dow Jones Industrial Average and USD/CHF were the Granger cause of USD/EUR exchange rates before the collapse of Lehman Brothers. However, there is no causality after the collapse.

Keywords

• Stock prices
• exchange rates
• granger causality test
• johansen co-integration test
• financial crisis

HİSSE SENETLERİ VE DÖVİZ KURLARI ARASINDAKİ İLİŞKİ: BİRLEŞİK DEVLETLER’DEKİ LEHMAN BROTHERS’IN ÇÖKÜSÜ ÜZERİNE BİR ANALİZ

Abstract

Çalışma küresel finansal kriz öncesi ve sonrası Amerika Birleşik Devletleri için döviz kurları ile hisse senedi endeksi arasındaki granger nedensellik konusunu Lehman Brothers’ın çöküşü kapsamında karşılaştırmalı olarak incelemektedir. Analiz, aylık hisse senedi endeksi ve döviz kuru verilerini içerir. Döviz kuru olarak Dolar karşısındaki Euro ve İsviçre Frangı pariteleri seçilmiştir. Analizin ardından, Dow Jones Industrial Average ve USD/CHF’nin, Lehman Brothers’ın çöküşünden önceki USD/EUR döviz kurunun Granger nedeni olduğu ortaya çıkmıştır. Ancak, Lehman Brothers’ın çöküşünden sonra nedensellik ortadan kalkmaktadır.

Keywords

• Hisse senedi fiyatları
• döviz kuru
• granger nedensellik test
• johansen eşbütünleşme testi
• finansal kriz

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