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ISE and Exchange Market Pressure

Author

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  • Mete Feridun

    (Department of Economics, Loughborough University)

Abstract

This article aims at investigating the long-run relationship between stock prices and speculative pressure in the Turkish exchange market through Granger-causality analysis for the period 1986:01-2006:11. For this purpose an Exchange Market Pressure Index is built using the weighted average of exchange rate changes, interest rate changes and foreign exchange reserve changes. This index is then used in pairwise causality analyses with Istanbul Stock Exchange (ISE) National-100 Index. Results of the ADF unit root tests suggest that the series are stationary. Hence, no-cointegration analysis was carried out before the Granger-causality tests. Results of Granger-causality indicates that there exists no long-run relationship between stock prices and the speculative pressure in the exchange market in Turkey.

Suggested Citation

  • Mete Feridun, 2006. "ISE and Exchange Market Pressure," Discussion Paper Series 2006_22, Department of Economics, Loughborough University, revised Dec 2006.
    • Handle: RePEc:lbo:lbowps:2006_22
    as

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    File URL: http://www.lboro.ac.uk/departments/ec/RePEc/lbo/lbowps/mferidun_wp1.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    currency crises; stock prices; co-integration; exchange market pressure.;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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