Evaluating the Asymmetric Effects of Production, Interest Rate and Exchange Rate on the Turkish Stock Prices


KAYA H. , Soybilgen B.

EGE ACADEMIC REVIEW, cilt.19, ss.293-300, 2019 (ESCI İndekslerine Giren Dergi) identifier

  • Cilt numarası: 19 Konu: 2
  • Basım Tarihi: 2019
  • Doi Numarası: 10.21121/eab.556344
  • Dergi Adı: EGE ACADEMIC REVIEW
  • Sayfa Sayıları: ss.293-300

Özet

The relationship between stock prices and macro variables has been studied exhaustively in the literature. However, most of the studies assume that this relationship is linear. In this paper, we evaluate the asymmetric effects of production, the interest rate and the exchange rate on Turkish stock prices using non-linear autoregressive distributed lags models. We find that there are both long-run and short-run asymmetric relationships between macro variables and Turkish stock prices. Our results indicate that non-linear models can yield more plausible results compare to linear models.