TY  - JOUR
TI  - VOLATILITY STRUCTURE OF STOCK PRICE INDEX AND EXCHANGE RATES: CASUALITY ANALYSIS FOR TURKEY
AB  - Volatility in finance is used as a concept of uncertainty, change and fluctuation as well as a measure of risk.Recently, rapid rises and falls of exchange rates and BIST Stock Index unfold the concept of volatility. The purposeof the study is to reveal the volatility structure of Turkish stock exchange market and exchange rates and also todetermine the relationship between the stock exchange index and exchange rates. In the studies conducted in thefield of finance, there is usually a one-way or two-way relationship between stock markets and exchange rates.However, there is no consensus on the structure of this relationship. The aim of this study is to determine therelationship between stock price index and exchange rates. Two hypothesis will be tested in the study: Is there acointegration relationship (long‐term equilibrium) and causality between the exchange rate and stock prices inTurkey? ARCH family models which are widely used in literature are tested using BIST 100 index, EURO/TLselling rate and USD/TL selling rate. Results of the study show that there is volatility in all of the series.Furthermore, causality test show that the value of the variables are linked each other.
AU  - BAŞARIR, ÇAĞATAY
PY  - 2018
JO  - Gümüşhane Üniversitesi Sosyal Bilimler Dergisi
VL  - 9
IS  - 24
SN  - 1309-7423
SP  - 330
EP  - 349
DB  - TRDizin
UR  - http://search/yayin/detay/308859
ER  -