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Panel causality analysis between exchange rates and stock indexes for fragile five

Author

Listed:
  • Mehmet PEKKAYA

    (Bulent Ecevit University, Turkey)

  • Ersin AÇIKGÖZ

    (Bulent Ecevit University, Turkey)

  • Veli YILANCI

    (Sakarya University, Turkey)

Abstract

Having become too dependent on foreign capital inflows to finance their economies can be expressed for the fragile five countries. The purpose of this study is to determine the existence and direction of casual relationship between stock indexes and exchange rates for the fragile five. According to Dumitrescu-Hurlin’s panel causality test for fragile five countries, bidirectional Granger causality relation is detected for overall data, except before mortgage crisis term, from exchange rate to stock indexes. Dumitrescu-Hurlin’s test and a modified type of sequential panel selection methodology are also conducted for searching the determiners of the casual relationship for each time interval.

Suggested Citation

  • Mehmet PEKKAYA & Ersin AÇIKGÖZ & Veli YILANCI, 2017. "Panel causality analysis between exchange rates and stock indexes for fragile five," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(611), S), pages 33-44, Summer.
    • Handle: RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:33-44
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    References listed on IDEAS

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