Abstract:

(Causality Test between Exchange Rate and Stock Prices: An Analysis on USD/YTL, ISE 100 and S&P 500) Türkiye was influenced 1994 and 2001 currency and 1997 Asian crisis. In this study, we focused on granger causality relation between YTL/USD exchange rate, ISE 100 index and S&P 500 index by using 1990-2007 data for each instrument. There is Granger cause from ISE 100 and S&P 500 indexes to exchange rate for the period of 1990-2007. Bidirectional Granger cause has exists between exchange rate and ISE 100 index. S&P 500 index has unidirectional Granger cause of ISE 100 index and exchange rate. However, only S&P 500 index is usually common effective without being effected during all periods and crises except 1994 crises. According to Granger causality tests after the crises period, S&P 500 index common effective and exchange rate is affected by the indexes.

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