Abstract:

In this study, it has been aimed to determine the sensitivity of the ISE100 stock index in terms of interest rate, exchange rate and gold prices. For this purpose, by applying Johansen-Juselius cointegration analysis, Granger causality test, variance decomposition and impulse-response analysis for daily data covering the period January 4, 2000-June 28, 2021; it has been investigated how the long and short term relationships regarding the entire sample among the variables follow a route when compared to the COVID-19 period. According to the findings, in case the dependent variable for the cointegration analysis is the ISE100 index return, a long-term relationship has been detected among the variables; however, no significant effect of gold prices on ISE100 has been found. Besides, Granger causality analysis reveals a unidirectional causality relationship from ISE100 to gold prices, while detecting the existence of a bidirectional causality relationship between the ISE100 index and both the exchange rate & the interest rate series for the period under consideration. Considering the COVID-19 period, no long-term relationship has been found at the 5% significance level and for a cointegrating relationship detected at 10% level, the error correction mechanism has only worked when the dependent variable is the interest rate. Additionally, in this period, contrary to the short-term relationships in the general period, the variable explaining the change in the ISE100 index the most after the series itself is the gold prices, and unidirectional causality relationships have been obtained from gold prices to ISE100 and from ISE100 to interest rates.

Keywords: