Journal of Yaşar University

Yazarlar: Ayşe GENÇ, Cemal ÖZTÜRK

Konular:Sosyal

DOI:10.19168/jyasar.816375

Anahtar Kelimeler:Stock Prices,BIST100,Foreign Exchange Rate,Markov Regime Switching Model,Asymmetric Causality

Özet: In recent years, as a result of the financial liberalization policies implemented it is observed that the relationship between stock prices and exchange rates has increased. With these developments, the importance of studies examining the relationship between stock market and exchange rate has increased. In this study, using historical data for daily basis from 2009: 01-2020: 06 period was to investigate the relationship between the exchange rate and the stock market in Turkey help of the Asymmetric Causality Analysis and Markov Regime Switching Model. In the study, in which the BIST100 Index and the USD/TRY exchange rate were used as variables, there were examined the validity of the "Good Market" and "Portfolio Balance" theories. Markov Regime Switching Model findings showed that a significant relationship between exchange rate and stock prices in both periods of expansion and contraction in Turkey's economy. Hatemi-J (2012) asymmetric causality test findings, there is a causality from positive and negative shock in the BIST100 to positive and negative shock in the exchange rate, and there was a found that the Portfolio Balance theory validity in Turkey. In addition, the existence of causality from from positive shocks in the exchange rate to positive shocks in the BIST100 index demonstrates the validity of the Goods Market theory, and there is no causality relationship between negative shocks. 

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