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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/2565

Title: ISE and exchange market pressure
Authors: Feridun, Mete
Keywords: Currency crises
Stock prices
Co-integration
Exchange market pressure
Issue Date: 2006
Abstract: This 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.
Description: This is a working paper. It is also available at: http://ideas.repec.org/p/lbo/lbowps/2006_22.html.
URI: https://dspace.lboro.ac.uk/2134/2565
ISSN: 1750-4171
Appears in Collections:Working Papers (Economics)

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