The Relationship Between Exchange Rates, Equity Index And Equity Index Futures: A Study On Borsa Istanbul

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dc.contributor.authorKoy, Ayben
dc.contributor.authorErsan, İhsan
dc.date.accessioned2019-03-27T12:47:08Z
dc.date.available2019-03-27T12:47:08Z
dc.date.issued2016en_US
dc.departmentFakülteler, İşletme Fakültesi, Bankacılık ve Finans Bölümüen_US
dc.description.abstractThis 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.en_US
dc.identifier.citationKoy, 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.256-269en_US
dc.identifier.endpage269en_US
dc.identifier.startpage256en_US
dc.identifier.urihttps://hdl.handle.net/11467/2550
dc.language.isoenen_US
dc.publisherInternational Institute of Social and Economic Sciencesen_US
dc.relation.ispartof23rd International Academic Conference, Venice, 27 April 2016en_US
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectExchange Ratesen_US
dc.subjectEquity Indexen_US
dc.subjectEquity Index Futuresen_US
dc.subjectCausalityen_US
dc.titleThe Relationship Between Exchange Rates, Equity Index And Equity Index Futures: A Study On Borsa Istanbulen_US
dc.typeConference Objecten_US

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