BRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik Analizi
This study investigates the causality relationship between the real exchange rate index and stock prices in Brazil, Russia, India, China, and South Africa (BRICS) countries over the period from March 2003 to June 2018. The relationship between the variables was made with symmetrical and asymmetrical...
| Main Authors: | , |
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| Format: | Article |
| Language: | deu |
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Celal Bayar University
2020-12-01
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| Series: | Yönetim ve Ekonomi |
| Subjects: |
| _version_ | 1797908727287775232 |
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| author | Mehmet SONGUR Burak SERTKAYA |
| author_facet | Mehmet SONGUR Burak SERTKAYA |
| author_sort | Mehmet SONGUR |
| collection | DOAJ |
| description | This study investigates the causality relationship between the real exchange rate index and stock prices in Brazil, Russia, India, China, and South Africa (BRICS) countries over the period from March 2003 to June 2018. The relationship between the variables was made with symmetrical and asymmetrical causality tests within the framework of traditional approach and portfolio balance approach. Accordingly, Hacker-Hatemi-J (2006) test was used for symmetric analysis and Hatemi-J (2012) causality test was used for asymmetric analysis. According to the results of the analysis, the causality relationship between the mentioned variables is different in BRICS countries. The findings do not provide definitive evidence in favor of the traditional approach or portfolio balance approach. Also, it can be stated that there are noisy transactions in these two markets |
| first_indexed | 2024-04-10T10:57:09Z |
| format | Article |
| id | doaj.art-1ddae475d31a4e19b4389335aa7fcf56 |
| institution | Directory Open Access Journal |
| issn | 1302-0064 1302-0064 |
| language | deu |
| last_indexed | 2024-04-10T10:57:09Z |
| publishDate | 2020-12-01 |
| publisher | Celal Bayar University |
| record_format | Article |
| series | Yönetim ve Ekonomi |
| spelling | doaj.art-1ddae475d31a4e19b4389335aa7fcf562023-02-15T16:19:50ZdeuCelal Bayar UniversityYönetim ve Ekonomi1302-00641302-00642020-12-0127357358610.18657/yonveek.763848BRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik AnaliziMehmet SONGURBurak SERTKAYAThis study investigates the causality relationship between the real exchange rate index and stock prices in Brazil, Russia, India, China, and South Africa (BRICS) countries over the period from March 2003 to June 2018. The relationship between the variables was made with symmetrical and asymmetrical causality tests within the framework of traditional approach and portfolio balance approach. Accordingly, Hacker-Hatemi-J (2006) test was used for symmetric analysis and Hatemi-J (2012) causality test was used for asymmetric analysis. According to the results of the analysis, the causality relationship between the mentioned variables is different in BRICS countries. The findings do not provide definitive evidence in favor of the traditional approach or portfolio balance approach. Also, it can be stated that there are noisy transactions in these two marketsbricsstock pricesreal effective exchange ratesymmetric and asymmetric causality analysis |
| spellingShingle | Mehmet SONGUR Burak SERTKAYA BRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik Analizi Yönetim ve Ekonomi brics stock prices real effective exchange rate symmetric and asymmetric causality analysis |
| title | BRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik Analizi |
| title_full | BRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik Analizi |
| title_fullStr | BRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik Analizi |
| title_full_unstemmed | BRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik Analizi |
| title_short | BRICS Ülkelerinde Hisse Senedi Fiyatları ile Reel Döviz Kuru Endeksi Arasındaki İlişki: Simetrik ve Asimetrik Nedensellik Analizi |
| title_sort | brics ulkelerinde hisse senedi fiyatlari ile reel doviz kuru endeksi arasindaki iliski simetrik ve asimetrik nedensellik analizi |
| topic | brics stock prices real effective exchange rate symmetric and asymmetric causality analysis |
| work_keys_str_mv | AT mehmetsongur bricsulkelerindehissesenedifiyatlarıilereeldovizkuruendeksiarasındakiiliskisimetrikveasimetriknedensellikanalizi AT buraksertkaya bricsulkelerindehissesenedifiyatlarıilereeldovizkuruendeksiarasındakiiliskisimetrikveasimetriknedensellikanalizi |