Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki Nedensellik İlişkisi
Causal Relationship between Share Prices and Exchange Rate

Author(s): Yunus Yılmaz, Yıldız Yıldız
Subject(s): Economic history, International relations/trade, Transformation Period (1990 - 2010), Present Times (2010 - today), Financial Markets
Published by: Özgür Yayın Dağıtım Ltd. Şti.
Keywords: Exchange Rate; Share Prices; BIST Trade Index;
Summary/Abstract: In this study, it is aimed to investigate the relationship between the dollar rate and the BIST Trade Index by using the data for the 2003:01-2022:03 periods. For this purpose, ARDL bounds test was applied for the cointegration relationship between the variables and then Granger causality test was applied for the causality relationship between the variables. As a result of the analysis, a cointegration relationship was found between the variables. In addition, according to the results of the causality test, a one-way Granger causality relationship was determined from the exchange rate to the BIST Trade Index. As a result of the analysis, it has been determined that there is a long-term relationship between the BIST Trade Index and the USD rate. In the short term, it was determined that an increase in exchange rates negatively affected the relevant BIST sector index. In this context, it is thought that the volatility in exchange rates may affect the costs, and accordingly, the profitability may be affected and it will be reflected in the stocks. As a result of the causality test, it has been revealed that the goods market theory, in which it is asserted that the local currency, which appreciates, harms the exporters, so that such company shares will become relatively less desirable, is valid.

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