Evaluating the asymmetric effects of production, interest rate and exchange rate on the Turkish stock prices.

Authors : Hüseyin KAYA, Barış SOYBİLGEN

Pages : 293-300

Doi:10.21121/eab.556344

View : 18 | Download : 9

Publication Date : 2019-04-30

Article Type : Research Paper

Abstract :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. 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.   
Keywords : Stock Prices, macro variables, interest rate, asymmetry, exchange rate