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Analysis of the Relation of Bist 100 and Participation Index With Interest and Exchange Rates

Author

Listed:
  • Serdar Ögel

    (Afyon Kocatepe University)

  • Halil İbrahim Gökgöz

    (Afyon Kocatepe University)

Abstract

In this study, the sensitivity of the participation indexes created for investors who do not want to get interest income and which are sensitive about the return of companies to interest is tried to be analyzed. Within the scope of the study, the relationship between interest, usd / tl and euro / tl variables and bist 100 and participation (participation 30) indexes was tested with one break cointegration analysis and fourier granger causality analysis considering structural breaks. As a result of the analysis, it was determined that there was no cointegration relationship. While there is a causal relationship from usd / tl exchange rate to both indexes; it is observed that there is no causal relationship between euro / tl exchange rate in both indexes. In addition, while it is determined that there is a causal relationship from interest to bist 100 index; there was no causal relationship towards participation index.

Suggested Citation

  • Serdar Ögel & Halil İbrahim Gökgöz, 2020. "Analysis of the Relation of Bist 100 and Participation Index With Interest and Exchange Rates," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 35(114), pages 353-374, October.
    • Handle: RePEc:acc:malfin:v:35:y:2020:i:114:p:353-374
    DOI: https://doi.org/10.33203/mfy.662421
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    More about this item

    Keywords

    Stock Indexes; Financial Markets; Fourier Granger; Fractured Cointegration;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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