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ISE and exchange market pressure
preprint
posted on 2007-01-08, 12:12 authored by Mete FeridunThis article aims at investigating the long-run relationship between stock prices and speculative pressure in the Turkish exchange market through Granger-causality analysis for the period 1986:01-2006:11. For this purpose an Exchange Market Pressure Index is built using the weighted average of exchange rate changes, interest rate changes and foreign exchange reserve changes. This index is then used in pairwise causality analyses with Istanbul Stock Exchange (ISE) National-100 Index. Results of the ADF unit root tests suggest that the series are stationary. Hence, no-cointegration analysis was carried out before the Granger-causality tests. Results of Granger-causality indicates that there exists no long-run relationship between stock prices and the speculative pressure in the exchange market in Turkey.
History
School
- Business and Economics
Department
- Economics
Pages
192802 bytesPublication date
2006Notes
This is a working paper. It is also available at: http://ideas.repec.org/p/lbo/lbowps/2006_22.html.ISSN
1750-4171Language
- en