ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES
Yıl: 2015 Cilt: 16 Sayı: 2 Sayfa Aralığı: 155 - 164 Metin Dili: Türkçe İndeks Tarihi: 29-07-2022
ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES
Öz: Bu çalışma BRICS ülkelerinde ve Türkiye'de hisse senedi fiyatları ve döviz kurları arasındaki doğrusal olmayan simetrik ve asimetrik nedensellik ilişkisini araştırmaktadır. Bu amaçla, ilgili değişkenlerin geri bildirimlerinin türlerini saptayarak doğrusal olmayan simetrik ve asimetrik nedensellik ilişkisinin test edilmesine imkân sağlayan Mackey-Glass modeli kullanılmıştır. Doğrusal olmayan simetrik nedensellik testinin sonuçları ilişkinin varlığına ilişkin zayıf kanıtlar sunarken, testin asimetrik biçimi güçlü bir nedensellik ilişkisi olduğunu göstermektedir. Sonuç olarak, bu bulgular döviz ve hisse senedi piyasısında gürültülü işlemlerin ve spekülatif davranışların olduğunu ifade etmektedir.
Anahtar Kelime: Konular:
SEÇİLMİŞ GELİŞMEKTE OLAN ÜLKELER İÇİN HİSSE SENEDİ FİYATLARI VE DÖVİZ KURLARI ARASINDAKİ DOĞRUSAL OLMAYAN SİMETRİK VE ASİMETRİK NEDENSELLİK İLİŞKİSİNİN ANALİZİ
Öz: This study investigates the symmetric and asymmetric nonlinear causal relationship between exchange rates and stock prices in BRICS and Turkey. To this end, the Mackey-Glass model allowing to test the symmetric and asymmetric nonlinear causality by identifying the types of feedbacks of the related variables has been employed. While the results of the symmetric form of the test present little evidence, the results of asymmetric counterpart indicates strong evidence for the causal relationship. In conclusion, these findings imply the existence of the noisy tradings and speculative behaviours in both exchange rate and stock markets.
Anahtar Kelime: Konular:
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Yilanci V, Bozoklu S (2015). ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. , 155 - 164. |
| Chicago | Yilanci Veli,Bozoklu Seref ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. (2015): 155 - 164. |
| MLA | Yilanci Veli,Bozoklu Seref ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. , 2015, ss.155 - 164. |
| AMA | Yilanci V,Bozoklu S ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. . 2015; 155 - 164. |
| Vancouver | Yilanci V,Bozoklu S ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. . 2015; 155 - 164. |
| IEEE | Yilanci V,Bozoklu S "ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES." , ss.155 - 164, 2015. |
| ISNAD | Yilanci, Veli - Bozoklu, Seref. "ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES". (2015), 155-164. |
| APA | Yilanci V, Bozoklu S (2015). ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. Doğuş Üniversitesi Dergisi, 16(2), 155 - 164. |
| Chicago | Yilanci Veli,Bozoklu Seref ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. Doğuş Üniversitesi Dergisi 16, no.2 (2015): 155 - 164. |
| MLA | Yilanci Veli,Bozoklu Seref ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. Doğuş Üniversitesi Dergisi, vol.16, no.2, 2015, ss.155 - 164. |
| AMA | Yilanci V,Bozoklu S ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. Doğuş Üniversitesi Dergisi. 2015; 16(2): 155 - 164. |
| Vancouver | Yilanci V,Bozoklu S ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES. Doğuş Üniversitesi Dergisi. 2015; 16(2): 155 - 164. |
| IEEE | Yilanci V,Bozoklu S "ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES." Doğuş Üniversitesi Dergisi, 16, ss.155 - 164, 2015. |
| ISNAD | Yilanci, Veli - Bozoklu, Seref. "ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES". Doğuş Üniversitesi Dergisi 16/2 (2015), 155-164. |
