Yıl: 2020 Cilt: 20 Sayı: 2 Sayfa Aralığı: 1 - 16 Metin Dili: İngilizce İndeks Tarihi: 03-05-2021

Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)

Öz:
This study examines the effects of daily US dollar returns on the short-term spill of TEA (Turkish Exporters Assembly) export index (TIMEX) returns. The uniqueness of this empirical paper is investigating the influence of indices of that are specifically designed for exporting companies. First, we concluded that there is no asymmetric spread using the modified general autoregressive conditional heteroscedasticity (GARCH) (1,1)-M model. Then, the existence of asymmetric spread was investigated with GJR-GARCH (1,1)-M model and we obtained strong evidence that there is an asymmetric spread from dollar returns to TEA export index returns.
Anahtar Kelime:

Endeksler Önemli mi? Döviz Kuru Oynaklığının Türkiye İhracat Endeksi (TIMEX) Üzerindeki Etkisi

Öz:
Bu çalışma günlük dolar getirilerinin, TİM ihracat endeksi (TIMEX) getirilerine kısa vadeliyayılma etkilerini incelemektedir. Bu ampirik araştırmayı benzerşerinden farklı kılan en belirgin özelliği sadece ihracat yapan şirketler için tasarlanan bir endekslerin etkisini araştırıyor olmasıdır. İlk olarak değiştirilmiş genel otoregresif koşullu değişen varyans (GARCH)(1,1)-M modeli kullanarak asimetrik bir yayılmanın olmadığı sonucuna vardık. Ardından asimetrik yayılmanın varlığı GJR-GARCH(1,1)-M modeli ile araştırılmış olup, dolar getirilerinden TİM ihracat endeksi getirilerine doğru asimetrik yayılmanın olduğuna dair güçlü kanıtlar elde ettik.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA CANAKCI M, Derindag O (2020). Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). , 1 - 16.
Chicago CANAKCI Mehmet,Derindag Omer Faruk Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). (2020): 1 - 16.
MLA CANAKCI Mehmet,Derindag Omer Faruk Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). , 2020, ss.1 - 16.
AMA CANAKCI M,Derindag O Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). . 2020; 1 - 16.
Vancouver CANAKCI M,Derindag O Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). . 2020; 1 - 16.
IEEE CANAKCI M,Derindag O "Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)." , ss.1 - 16, 2020.
ISNAD CANAKCI, Mehmet - Derindag, Omer Faruk. "Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)". (2020), 1-16.
APA CANAKCI M, Derindag O (2020). Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). Anadolu Üniversitesi Sosyal Bilimler Dergisi, 20(2), 1 - 16.
Chicago CANAKCI Mehmet,Derindag Omer Faruk Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). Anadolu Üniversitesi Sosyal Bilimler Dergisi 20, no.2 (2020): 1 - 16.
MLA CANAKCI Mehmet,Derindag Omer Faruk Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). Anadolu Üniversitesi Sosyal Bilimler Dergisi, vol.20, no.2, 2020, ss.1 - 16.
AMA CANAKCI M,Derindag O Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). Anadolu Üniversitesi Sosyal Bilimler Dergisi. 2020; 20(2): 1 - 16.
Vancouver CANAKCI M,Derindag O Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX). Anadolu Üniversitesi Sosyal Bilimler Dergisi. 2020; 20(2): 1 - 16.
IEEE CANAKCI M,Derindag O "Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)." Anadolu Üniversitesi Sosyal Bilimler Dergisi, 20, ss.1 - 16, 2020.
ISNAD CANAKCI, Mehmet - Derindag, Omer Faruk. "Do Indices Matter? The Influence of Exchange Volatility on Turkish Export Index (TIMEX)". Anadolu Üniversitesi Sosyal Bilimler Dergisi 20/2 (2020), 1-16.