Özet:

This study examined the relationship between the exchange rate and stock prices that could affect economic activity by showing sensitive changes in the face of social, economic and political factors. This relationship is based on two approaches in literature: traditional and portfolio. In the traditional approach, there is a causal relationship from exchange rates to stock prices. In the portfolio approach, there is a reverse causal relationship from stock prices to exchange rates. In the study, 03:01:2003-04:11:2019 period (weekly) was taken. For this purpose, the traditional Granger causality test for Turkey, the traditional effect reaction analysis, Diks-Panchenko nonlinear causality test, the MS-VAR model, the MS-Granger causality test and the regime-related effect reaction analysis were predicted. According to the findings, the relationship between the dollar currency and stock prices is represented by the two-regime MS-VAR model, the low and high game period. According to the MS-VAR model, there was a reverse and meaningful relationship between the variables. The non-true causality test and the MS-Granger test have determined the direction of the relationship in a one-way way, from stock prices to the dollar rate. It shows that the portfolio approach in Turkey is valid for this study period.

Özet:

In this study; the relationship between exchange rate and stock prices, which may affect economic activity by showing sensitive changes against social, economic and political factors, is examined. In the literatüre, this relationship is based on two approaches, traditional and portfolio. There is a positive causal relationship between the variables from exchange rates to stock prices in the traditional approach. There is a negative causal relationship between the variables from stock prices to exchange rates in the portfolio approach. In the study, the period 03:0:2003-04:11:2019 (weekly) were investigated for Turkey. For this purpose, traditional Granger test, traditional impulse-response analyzes, Diks-Panchenko nonlinear causality test, MS-VAR model, MS-Granger test and impulse-response analyzes based on regimes were estimated. According to the results, it is appropriate to use two-regime MS-VAR model, low and high volatility period, for the relationship between exchange rate and stock prices. MS-VAR test results showed that there was a negative and significant relationship between the variables. Both nonlinear test and MS-Granger test showed that the direction of causality was unidirectional from stock prices to exchange rate. The findings shows that, in the studied period, the portfolio approach is valid for Turkey

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