%0 Journal Article
%T AN INTERACTION OF FOREIGN EXCHANGE MARKET STRESS AND SECURITY MARKETS: AN INVESTIGATION ON BIST 100
%A Emine Kaya
%A Yelda K£¿ksal
%J -
%D 2018
%X The purpose of this study is to determine relationship between foreign exchange market stress and security markets for Turkey. Within this scope, firstly for December 2005-November 2017 time period, foreign exchange market stress index was calculated. This calculated stress index, has been successful in predicting years in which crisis broke out during research period, changes came with important events, and demand and policy differences emerged. As for the relation between foreign exchange market stress index and stock markets, VAR model was set up and Granger causality analysis was carried out. According to Granger causality analysis results, it was determined that there is unilateral causality relations from stock market to foreign exchange market. This causality relation from stock market to foreign exchange market indicates that portfolio balance approach is valid for research period for Turkey
%K D£¿viz Piyasas£¿ Bask£¿ Endeksi
%K Hisse Senedi Piyasas£¿
%K Portf£¿y Dengesi Yakla£¿£¿m£¿
%U http://dergipark.org.tr/akuiibfd/issue/41809/390969