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- Title
The Effects of Changes in Foreign Exchange Rates On ISE-100 Index.
- Authors
Anlas, Tulin
- Abstract
In this work, I explore the relationship between changes in foreign exchange rates (Euro/TL, GBP/TL, JPY/TL, CHF/TL, USD/TL, CAD/TL, SA/TL) and the main composite index at Istanbul Stock Exchange by employing monthly data spanning from January 1999 and November 2011. Based on the Augmented Dickey Fuller and other techniques of time series analysis I find that all variables in the estimation framework are non-stationary at the initial level; the stationarity is achieved at a first difference level. The results indicate that changes in domestic U.S. Dollar and Canadian dollar are positively related to changes in ISE 100 while fluctuations in domestic interest rates and Saudi Arabia Riyal have a negative impact on the index. The study also discusses implications of these results on the portfolio and traditional approaches to estimation of returns.
- Subjects
FOREIGN exchange rates; FOREIGN exchange; INTEREST rate parity theorem; FOREIGN exchange accounting; STOCK exchanges
- Publication
Journal of Applied Economics & Business Research, 2012, Vol 2, Issue 1, p34
- ISSN
1927-033X
- Publication type
Article