The Impacts of Exchange Rate on Stock Prices: The Case of BRICS Countries and Turkey

Ömer Faruk Bölükbaşı; Emre Ürkmez

Makale detayları

The Impacts of Exchange Rate on Stock Prices: The Case of BRICS Countries and Turkey

Yazarlar:

Ömer Faruk Bölükbaşı | Emre Ürkmez

Yayıncı:

Hacettepe University

Ana Başlıklar:

Panel Veri Analizi

Dergi:

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.42 Issue 4, pp.569-582

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001334105

pISSN:

1301-8752

Anahtar kelimeler:

Özet:

 This study investigates the asymmetric impacts of exchange rates on stock prices in the short and long term for BRICS countries and Turkey using monthly data from January 2013 to October 2023. The study estimated error correction models based on the linear and nonlinear ARDL method with the DCCEMG estimator developed by Chudik and Pesaran 2015. According to the estimation results, there is a long-term relationship between stock prices and exchange rates. According to the asymmetric test results, it has been determined that the impacts of the exchange rate on stock prices are asymmetric in both the short and long term. In this study, it was concluded that the appreciation of the currencies of BRICS countries and Turkey against the dollar increased the stock prices of these countries in the long term.

 This study investigates the asymmetric impacts of exchange rates on stock prices in the short and long term for BRICS countries and Turkey using monthly data from January 2013 to October 2023. The study estimated error correction models based on the linear and nonlinear ARDL method with the DCCEMG estimator developed by Chudik and Pesaran 2015. According to the estimation results, there is a long-term relationship between stock prices and exchange rates. According to the asymmetric test results, it has been determined that the impacts of the exchange rate on stock prices are asymmetric in both the short and long term. In this study, it was concluded that the appreciation of the currencies of BRICS countries and Turkey against the dollar increased the stock prices of these countries in the long term.

 This study investigates the asymmetric impacts of exchange rates on stock prices in the short and long term for BRICS countries and Turkey using monthly data from January 2013 to October 2023. The study estimated error correction models based on the linear and nonlinear ARDL method with the DCCEMG estimator developed by Chudik and Pesaran 2015. According to the estimation results, there is a long-term relationship between stock prices and exchange rates. According to the asymmetric test results, it has been determined that the impacts of the exchange rate on stock prices are asymmetric in both the short and long term. In this study, it was concluded that the appreciation of the currencies of BRICS countries and Turkey against the dollar increased the stock prices of these countries in the long term.

 Bu çalışmanın amacı Ocak 2013 ile Ekim 2023 dönemleri arası aylık veriler kullanılarak kısa ve uzun dönemde döviz kurunun hisse senedi fiyatları üzerindeki asimetrik etkilerini BRICS ülkeleri ve Türkiye için incelemektir. Çalışmada doğrusal ve doğrusal olmayan ARDL yöntemine dayalı hata düzeltme modelleri Chudik ve Pesaran 2015 tarafından geliştirilen DCCEMG tahmincisi ile tahmin edilmiştir. Elde edilen tahmin sonuçlarına göre hisse senedi fiyatları ile döviz kurları arasında uzun dönemli bir ilişki vardır. Asimetrik test sonuçlarına göre hem kısa hem de uzun dönemde döviz kurunun hisse senedi fiyatları üzerindeki etkilerinin asimetrik olduğu tespit edilmiştir. Bu çalışmada BRICS ülkeleri ve Türkiyenin para birimlerinin dolar karşısında değerlenmesinin bu ülkelerin hisse senedi fiyatlarını uzun dönemde arttırdığı sonucuna ulaşılmıştır.

Makale detayları

The Impacts of Exchange Rate on Stock Prices: The Case of BRICS Countries and Turkey

Yazarlar:

Ömer Faruk Bölükbaşı | Emre Ürkmez

Yayıncı:

Hacettepe University

Ana Başlıklar:

Panel Veri Analizi

Dergi:

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.42 Issue 4, pp.569-582

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001334105

pISSN:

1301-8752

Stock Prices

Exchange Rate

BRICS

Panel NARDLHisse Senedi Fiyatları

Döviz Kuru

BRICS

Panel NARDL

Sayı

Makale detayları

Yazarlar: Ömer Faruk Bölükbaşı | Emre Ürkmez

Yayıncı: Hacettepe University

Ana Başlıklar: Panel Veri Analizi

Dergi: Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.42 Issue 4, pp.569-582

Belge Tipi: Makale

Yayın Tarihi: 12/2024

Belge Dili: Türkçe

Document ID (Org No.): 2001334105

pISSN: 1301-8752

Sayı

Yazarlar:

Ömer Faruk Bölükbaşı | Emre Ürkmez

Yayıncı:

Hacettepe University

Ana Başlıklar:

Panel Veri Analizi

Dergi:

Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.42 Issue 4, pp.569-582

Belge Tipi:

Makale

Yayın Tarihi:

12/2024

Belge Dili:

Türkçe

Document ID (Org No.):

2001334105

pISSN:

1301-8752