Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki Dinamik İlişkinin Belirlenmesi; Farklı Ülke Piyasaları İçin Bir Araştırma
Muhasebe ve Finansman Dergisi
The stock price has a close relationship with some macroeconomic variables. As examples of the main macroeconomic variables can be shown that exchange rates, inflation, interest rate, growth rates. This paper empirically examined the relationship between the local stock market indexes and exchange rate (USD) in six Europe/Asia countries namely Turkey, Germany, France, Netherlands, Russia, France and India. The paper set out by testing existence of a long- term relationship between considered two variables using the Engle-Granger (1987), Johansen (1988, 1995) and Johansen- Juselius (1990) cointegration methods. Results of Engle- Granger cointegration test showed that there is a long-term relationship between variables in the one country. Furthermore, The Johansen cointegration test found that there is a long- term relationship between variables in the two countries. Under the VAR (Vector Autoregressive) and VEC (Vector Error Correction) models appllied the Granger causality test, revealed an unidirectional casual relationship between two variables in each of the six countries. In addition as regards the relationship While there is a unidirectional causal relationship running from exchange rate to stock market for four countries. However this relation is casual running from stock market to exchange rate for other two countries. According to the direction of the relationship these results that relationship between stock prices and exchange rate in four countries supports for the “Traditional Approach”. Furthermore, this relation also supports for the “Portfolio Approach” for other two countries..