Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)

Mehmet Çanakcı; Ömer Faruk Derindağ

doi:10.18037/ausbd.758022

Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)

Öz

This study examines the effects of daily US dollar returns on the short-term spill of TEA (Turkish Exporters Assembly) export index (TIMEX) returns. The uniqueness of this empirical paper is investigating the influence of indices of that are specifically designed for exporting companies. First, we concluded that there is no asymmetric spread using the modified general autoregressive conditional heteroscedasticity (GARCH) (1,1)-M model. Then, the existence of asymmetric spread was investigated with GJR-GARCH (1,1)-M model and we obtained strong evidence that there is an asymmetric spread from dollar returns to TEA export index returns.

Anahtar Kelimeler

TIMEX,MV-GARCH,Volatility Spillover

Kaynakça

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Ayrıntılar

Birincil Dil

İngilizce

Konular

-

Bölüm

Araştırma Makalesi

Yazarlar

Mehmet Çanakcı Bu kişi benim
Türkiye

Ömer Faruk Derindağ Bu kişi benim
Türkiye

Yayımlanma Tarihi

25 Haziran 2020

Gönderilme Tarihi

13 Kasım 2019

Kabul Tarihi

27 Nisan 2020

Yayımlandığı Sayı

Yıl 2020 Cilt: 20 Sayı: 2

DOI

https://doi.org/10.18037/ausbd.758022

IZ

https://izlik.org/JA34JA54ZW

Kaynak Göster

RIS / Bibtex

APA

Çanakcı, M., & Derindağ, Ö. F. (2020). Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). Anadolu Üniversitesi Sosyal Bilimler Dergisi, 20(2), 1-16. https://doi.org/10.18037/ausbd.758022

AMA

1.Çanakcı M, Derindağ ÖF. Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). AÜSBD. 2020;20(2):1-16. doi:10.18037/ausbd.758022

Chicago

Çanakcı, Mehmet, ve Ömer Faruk Derindağ. 2020. “Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)”. Anadolu Üniversitesi Sosyal Bilimler Dergisi 20 (2): 1-16. https://doi.org/10.18037/ausbd.758022.

EndNote

Çanakcı M, Derindağ ÖF (01 Haziran 2020) Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). Anadolu Üniversitesi Sosyal Bilimler Dergisi 20 2 1–16.

IEEE

[1]M. Çanakcı ve Ö. F. Derindağ, “Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)”, AÜSBD, c. 20, sy 2, ss. 1–16, Haz. 2020, doi: 10.18037/ausbd.758022.

ISNAD

Çanakcı, Mehmet - Derindağ, Ömer Faruk. “Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)”. Anadolu Üniversitesi Sosyal Bilimler Dergisi 20/2 (01 Haziran 2020): 1-16. https://doi.org/10.18037/ausbd.758022.

JAMA

1.Çanakcı M, Derindağ ÖF. Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). AÜSBD. 2020;20:1–16.

MLA

Çanakcı, Mehmet, ve Ömer Faruk Derindağ. “Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)”. Anadolu Üniversitesi Sosyal Bilimler Dergisi, c. 20, sy 2, Haziran 2020, ss. 1-16, doi:10.18037/ausbd.758022.

Vancouver

1.Mehmet Çanakcı, Ömer Faruk Derindağ. Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). AÜSBD. 01 Haziran 2020;20(2):1-16. doi:10.18037/ausbd.758022