Time varying causality between stock market and exchange rate: evidence from Turkey, Japan and England

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dc.authorscopusid55999317000
dc.authorscopusid57197394888
dc.contributor.authorZeren, Feyyaz
dc.contributor.authorKoç, Mustafa
dc.date.accessioned2022-05-11T14:33:38Z
dc.date.available2022-05-11T14:33:38Z
dc.date.issued2016
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü
dc.description.abstractIn this study, the relationship between exchange rates and stock market indices in Turkey, Japan and England was analysed by using the time varying causality test. First, by the Kapetanios unit root test that allows determining structural breaks endogenously and more than two breaks, stationary levels and break numbers of series were identified. Second, based on the belief that the result of especially long-term causality can have different consequences in different periods due to economic and political crises, a time-varying causality test with bootstrap developed by R. Scott Hacker and Abdulnasser Hatemi-J was used. As a result of the study using monthly data spanning the period of January 1990 to April 2013, there existed two-way causality for the three countries in periods when local and global crises were occurring.
dc.identifier.doi10.1080/1331677X.2016.1193950
dc.identifier.endpage705
dc.identifier.issn1331-677X
dc.identifier.issn1848-9664
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85009962832
dc.identifier.scopusqualityQ2
dc.identifier.startpage696
dc.identifier.urihttps://doi.org/10.1080/1331677X.2016.1193950
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7844
dc.identifier.volume29
dc.identifier.wosWOS:000380139300034
dc.identifier.wosqualityQ3
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorZeren, Feyyaz
dc.language.isoen
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.relation.ispartofEconomic Research-Ekonomska Istrazivanja
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectKapetanios unit root test
dc.subjecttime varying causality test
dc.subjecteconomic and global crises
dc.subjectstock market
dc.subjectexchange rate
dc.subjectUnit-Root
dc.subjectRegression Approach
dc.subjectEmerging Markets
dc.subjectPrice Index
dc.subjectCointegration
dc.subjectHypothesis
dc.subjectSeries
dc.titleTime varying causality between stock market and exchange rate: evidence from Turkey, Japan and England
dc.typeArticle

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