The relationship between exchange rates and stock markets for the fragile five countries (Turkey, Brazil, South Africa, India, Indonesia) year (2010- 2019)

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2020

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İstanbul Ticaret Üniversitesi

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info:eu-repo/semantics/openAccess

Özet

ÖZET Bu çalışma, Ocak 2010'dan Aralık 2019'a kadar kırılgan beş ülkede (Güney Afrika, Türkiye, Endonezya, Hindistan ve Brezilya) borsaların ve döviz kurunun önemini ve yönünü belirlemeyi amaçlamaktadır. Bu çalışmada, VAR Analizi ve Granger Nedensellik Testi uygulanmıştır. döviz kurları ile hisse senedi endeksleri arasındaki ilişkiyi belirlemek. Sonuçlar, Güney Afrika ve Türkiye döviz kurlarının ve hisse senedi endekslerinin iki yönlü ilişkiler içinde olduğunu göstermektedir, Hindistan ve Brezilya için, döviz kurundan hisse senedi fiyatına tek yönlü bir nedensellik bulgusu vardır ve Endonezya'nın sonuçları nedensellik göstermemektedir. Anahtar Kelimeler: Döviz Kuru, Hisse Fiyatı, Granger nedensellik. ABSTRACT This paper aims to determine the significance relation and direction of stock markets and exchange rate on Fragile five Countries (South Africa, Turkey, Indonesia, India, and Brazil) from January 2010 to December 2019. This study applied the VAR Analysis and Granger Causality Test to determine the relationship between exchange rates and stock indexes. The results show that South Africa and Turkey exchange rates and stock indexes are in bidirectional relationships, for India and Brazil, there is a one-way causality finding from the exchange rate to stock price, and the results for Indonesia show no causality. Keywords: Exchange Rate, Stock Price, Granger causality TABLE OF CONTENTS ABSTRACT. ii ÖZET . iii ACKNOWLEDGEMENT. iv TABLE OF CONTENTS . v LIST OF TABLES. viii LIST OF FIGURES. ix ABBREVIATIONS AND ACRONYMS. x INTRODUCTION . 1 India. 3 Brazil . 4 Turkey. 5 South Africa. 7 Indonesia. 8 US rate rise to separately impact 'fragile five'. 9 Traditional Approach. 11 Stock-oriented Models. 12 Literature Review . 13 Causality from exchange rates to stock prices. 13 Causality from stock prices to exchange rates. 17 Bidirectional relationship between stock prices and exchange rates. 18 No correlation between stock prices and exchange rates . 19 DATA AND METHODOLOGY . 21 Unit Root Test. 21 3. 1. 1. 1. Dickey-Fuller tests (DF test and ADF test). 21 3. 1. 1. 2. Phillips-Perron test (PP test). 23 3. 1. 1. 3. KPSS test. 24 Vector Autoregressive Models (VAR) Analysis . 25 Impulse Responses. 27 Variance Decompositions. 27 Granger Causality . 28 Empirical Results. 29 Unit Root Test. 29 3. 2. 1. 1. Table1. Unit Root Test for Stock Price . 29 3. 2. 1. 2. Table2. Unit Root Test Results for Exchange Rate. 30 VAR LAG. 30 3. 2. 2. 1. Table 3: VAR Lag Order for Indian Rupee and BSE SENSEX 30. 31 3. 2. 2. 2. Table 4: VAR lag order for Brazilian Real and Bovespa . 31 3. 2. 2. 3. Table 5: VAR lag order for Turkish Lira and BIST100. 32 3. 2. 2. 4. Table 6: VAR lag order for South African Rand and FTSE_JSE Top 40 33 3. 2. 2. 5. Table 7: VAR lag order for Indonesian rupiah and Jakarta Islamic (JKII) 33 Impulse Tests. 34 3. 2. 3. 1. Impulse Response of Indian Rupee and BSE SENSEX 30. 34 3. 2. 3. 2. Impulse Response of Brazilian Real and Bovespa . 35 3. 2. 3. 3. Impulse Response of Turkish Lira and BIST100 . 35 3. 2. 3. 4. Impulse Response of South African Rand and FTSE_JSE Top 40. 36 3. 2. 3. 5. Impulse Response of Indonesian rupiah and Jakarta Islamic (JKII) . 37 Variance Decompositions. 38 3. 2. 4. 1. Variance Decomposition of Indian Rupee and BSE SENSEX 30 . 38 3. 2. 4. 2. Variance Decomposition of Brazilian Real and Bovespa . 39 3. 2. 4. 3. Variance Decomposition of Turkish Lira and BIST100 . 40 3. 2. 4. 4. Variance Decomposition South African Rand and FTSE_JSE Top 40 41 3. 2. 4. 5. Variance Decomposition Indonesian rupiah and Jakarta Islamic (JKII) 42 GRANGER CAUSALITY TEST. 43 3. 2. 5. 1. Table 8. Granger Causality Test Results. 44 3. 2. 5. 2. VAR Granger Causality/Block Exogeneity Wald Tests between Indian Rupee and BSE SENSEX 30. 44 3. 2. 5. 3. VAR Granger Causality/Block Exogeneity Wald Tests Between Brazilian Real and Bovespa. 45 3. 2. 5. 4. VAR Granger Causality/Block Exogeneity Wald Tests between Turkish Lira And BIST100. 46 3. 2. 5. 5. VAR Granger Causality/Block Exogeneity Wald Tests between South African Rand and FTSE_JSE Top 40 . 47 3. 2. 5. 6. VAR Granger Causality/Block Exogeneity Wald Tests between Indonesian rupiah and Jakarta Islamic (JKII). 48 REFERENCE. 52

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