The Relationship Between Exchange Rates, Equity Index And Equity Index Futures: A Study On Borsa Istanbul
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Tarih
2016
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
International Institute of Social and Economic Sciences
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This paper examines the linkages between the foreign exchange rates, spot equity index and equity index futures. The study aims to investigate whether there is difference between the spot and futures markets in the scope of relation with the foreign exchange rates’ returns and which leads the other. The relationships are examined by using the vector autoregression (VAR) model, impulse-response functions, variance decomposition and Granger Causality tests. The sample of the study consists of US dollar to Turkish Lira rate (USD/TRY), Euro to Turkish Lira rate (EUR/TRY), BIST 30 Index and BIST 30 Index Futures. The data of the study includes the period between January 2011 and December 2014 with daily data range. Our results have evidence that the foreign exchange rate markets in Turkey are driven by the equity market.
Açıklama
Anahtar Kelimeler
Exchange Rates, Equity Index, Equity Index Futures, Causality
Kaynak
23rd International Academic Conference, Venice, 27 April 2016
WoS Q Değeri
Scopus Q Değeri
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Sayı
Künye
Koy, A., Ersan, İ. (27 April 2016) The Relationship Between Exchange Rates, Equity Index And Equity Index Futures: A Study On Borsa Istanbul. 23rd International Academic Conference, Venice , p.256-269
