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Dokuz Eylül Üniversitesi
Sosyal Bilimler Enstitüsü Dergisi
Cilt 5, Sayı:2, 2003
The Relationship Between Exchange Rates and Stock Prices: A
Causality Analysis
Saadet Kasman*
Abstract: This paper analyzes empirically the relationship between stock prices
and exchange rates by using high-frequency data of exchange rates and
aggregate stock indices of Turkey. With time-series techniques, this study
provides evidence that a long-run stable relationship between stock indices and
exchange rate exist. But our results indicate that causality relationship exists
only from exchange rate to industry sector index.
Keywords: Stock prices, exchange rates, causality
Özet: Bu çalışma, hisse senetleri fiyatları ve döviz kuru arasındaki ilişkiyi
günlük döviz kuru ve hisse senetleri indekslerini kullanarak ampirik olarak
analiz etmektedir. Zaman serileri tekniklerinin sonuçları hisse senetleri
indeksleri ve döviz kuru arasında uzun dönemde istikrarlı bir ilişki olduğunu
kanıtlamıştır. Fakat, bulduğumuz sonuçlar nedensellik ilişkisinin sadece döviz
kuru ve endüstri indeksi arasında varolduğunu ortaya koymaktadır.
Anahtar Kelimeler: Hisse senetleri fiyatları, döviz kuruları, nedensellik
* Dr., Department of Economics, Faculty of Economics and Administrative Sciences,
Celal Bayar University, Uncubozköy Kampüsü, Manisa Tel : (0236) 233 0657/233
3865 - Fax :(0236) 233 2729, E-mail: kasmansk2002@yahoo.com
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1. Introduction
Emerging markets have recently been of great importance to the
worldwide investment community. The market capitalization, volatility, and
returns have increased dramatically in these markets. While emerging markets
are more volatile than developed markets, they tend to be relatively uncorrelated
with each other and with developed markets. Many global investors choose to
diversify their funds across these markets to reduce portfolio risk.
Unfortunately, financial crisis characterized by dramatic fluctuations in stock