Stock Returns Economic Growth Interest Rates and the 2001 Crisis in Turkey

Date

2010-01-01

Author

Ülkem, Başdaş
Soytaş, Uğur

Metadata

Show full item record

Item Usage Stats

154
views

0
downloads

This paper investigates the relationship between economic growth and stock returns accounting for the interest rates and inflation in Turkey between 1997:1 and 2008:6. The Toda-Yamamoto procedure is used to test long run Granger causality between real stock returns, real activity, and interest rates. Empirical results show that over the period we study causality running from stock returns to real growth and from interest rates to real growth. After the 2001 crisis the link between real growth and real stock returns disappears completely. Hence, financial crisis seems to sever the link between stock market and the macroeconomy.

Subject Keywords

Toda-Yamamoto Procedure, Crisis, Economic Growth, Stock Returns

URI

http://www.eel.my100megs.com/
https://hdl.handle.net/11511/81193

Journal

Empirical Economics Letters

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

Stock market liquidity analysis: evidence from the İstanbul Stock Exchange Özdemir, Duygu; Gaygısız Lajunen, Esma; Department of Economics (2011) The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is c...
Exchange rate pass-through to domestic prices in Turkish economy Alper, Koray; Gaygısız Lajunen, Esma; Department of Economics (2003) In this study, determinants and the evolution of the exchange rate passthrough to domestic inflation in the Turkish economy is analyzed. The analyses cover the 1987-2003 period. In the analyses, single equation أError Correction Modelsؤ are used to estimate the exchange rate pass-through. Estimation results suggest that alike other emerging countries, the degree of exchange rate passthrough to domestic prices is high and the pass-through is completed in a very short time span. Estimations results also indic...
Deviations from PPP and UIP in a financially open economy: The Turkish evidence Özmen, Erdal (Informa UK Limited, 2004-07-01) This paper investigates the interrelations between purchasing power parity (PPP) and uncovered interest parity (UIP) in Turkey using Johansen cointegration analysis for a system containing Turkish and US inflation rates, interest rates, and exchange rate. The results of a structural model obtained by data-acceptable over-identifying restrictions over the cointegration space suggest the existence of two cointegration vectors representing UIP and PPP with proportionality and symmetry conditions, respectively....
Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey Soytaş, Uğur; Oran, Adil (2011-01-01) This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung-Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, ou...
Stock market returns in an emerging financial market: Turkish case study Gazioglu, Saziye (Informa UK Limited, 2008-01-01) Increased globalization in financial markets implies that the percentage of all shares under foreign ownership in domestic stock markets has been rising. The recent speculative attacks on the foreign exchange market in November 2000, followed by February 2001, led Turkey into a deep economic crisis. Real stock returns as an important indicator for a forthcoming or pending financial crisis, using net capital flows have already been established in Gazioglu (2003). In this article we explore the effects of cap...

Citation Formats

B. Ülkem and U. Soytaş, “Stock Returns Economic Growth Interest Rates and the 2001 Crisis in Turkey,” Empirical Economics Letters, pp. 1–7, 2010, Accessed: 00, 2021. [Online]. Available: http://www.eel.my100megs.com/.