Exchange rates’ effect on spot and futures equity index markets: a study on borsa Istanbul

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dc.authoridTR25586en_US
dc.authoridTR175687en_US
dc.contributor.authorKoy, Ayben
dc.contributor.authorErsan, İhsan
dc.date.accessioned2016-11-28T11:59:56Z
dc.date.available2016-11-28T11:59:56Z
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.endpage25en_US
dc.identifier.issn2149-9608
dc.identifier.issue2en_US
dc.identifier.startpage13en_US
dc.identifier.urihttps://hdl.handle.net/11467/1555
dc.identifier.volume2en_US
dc.language.isoenen_US
dc.publisherİstanbul Ticaret Üniversitesien_US
dc.relation.ispartofInternational Journal of Commerce and Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - 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.titleExchange rates’ effect on spot and futures equity index markets: a study on borsa Istanbulen_US
dc.typeArticleen_US

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İşletme Fakültesi, Bankacılık ve Finans (İngilizce) Bölümü Koleksiyonu