THE IMPACT OF EXCHANGE RATES ON STOCK PRICES FOR TURKEY: AN ASYMMETRIC NON-LINEAR COINTEGRATION ANALYSIS

Year 2021, Volume: 43 Issue: 1, 42 - 56, 01.07.2021

Emre Ürkmez , Ömer Faruk Bölükbaşı

https://doi.org/10.14780/muiibd.960267

Cited By: 1

Abstract

This study investigates the impact of exchange rates on stock indices for Turkey and examines whether these
impacts are asymmetric. For this purpose, the non-linear autoregressive distributed lag (NARDL) model
is used as an asymmetric cointegration method. In the study covering the period 2005-2020, BIST-100,
BIST-100 All Shares and four stock sector indices are included in the models as stock indices representing.
Thus, the response of the stock indices of the firms in different sectors to the movements in exchange rates
is analyzed. The findings indicate that the impacts of exchange rate movements on the BIST-100 All Shares
index and the service, industry, and technology sector indices in the short-term are asymmetrical, and the
impacts on the technology sector index in the long-term are asymmetrical.

Keywords

Sectoral Stock Indices, Exchange Rate, Asymmetry Cointegration

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