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.
Sectoral Stock Indices Exchange Rate Asymmetry Cointegration
Birincil Dil | İngilizce |
---|---|
Konular | Ekonomi |
Bölüm | Makaleler |
Yazarlar | |
Yayımlanma Tarihi | 1 Temmuz 2021 |
Gönderilme Tarihi | 9 Şubat 2021 |
Yayımlandığı Sayı | Yıl 2021 Cilt: 43 Sayı: 1 |
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