Acceso al sitio web del Consejo de Políticas de Infraestructura

   
Redirigiendo al acceso original de articulo en 16 segundos...
ARTÍCULO
TITULO

TIME SERIES ANALYSIS FOR THE EFFECT OF EXCHANGE RATE RISK ON BIST100 INDEX: CASE OF TURKEY

Nur DILBAZ ALACAHAN    
Yagmur AKARSU    

Resumen

The exchange rates having an important effect on the global markets are very important for the developing countries. The changes and advances in money markets affect not only the individuals but also the companies aiming to invest. The objective of this study is to determine if the exchange rate has effect on the BIST 100 index in Turkey. For this purpose, in each dataset, totally 174 observations starting from January 2004 to June 2018 was used. In specification of the model, the mean index values of Borsa Istanbul 100 by the end of month were taken as dependent variable. The independent variable was chosen to be monthly mean USD exchange rate in Turkish Lira, and then regressed. According to the analysis results, there is a significant relationship between lagged values of USD exchange rate and BIST 100 index.

PÁGINAS
pp. 133 - 150
MATERIAS
ECONOMÍA

 Artículos similares

       
 
Krzysztof Drachal and Michal Pawlowski    
This study firstly applied a Bayesian symbolic regression (BSR) to the forecasting of numerous commodities? prices (spot-based ones). Moreover, some features and an initial specification of the parameters of the BSR were analysed. The conventional approa... ver más

 
Konstantinos P. Fourkiotis and Athanasios Tsadiras    
In today?s evolving global world, the pharmaceutical sector faces an emerging challenge, which is the rapid surge of the global population and the consequent growth in drug production demands. Recognizing this, our study explores the urgent need to stren... ver más
Revista: Forecasting

 
Aymane Ahajjam, Jaakko Putkonen, Emmanuel Chukwuemeka, Robert Chance and Timothy J. Pasch    
Local weather forecasts in the Arctic outside of settlements are challenging due to the dearth of ground-level observation stations and high computational costs. During winter, these forecasts are critical to help prepare for potentially hazardous weathe... ver más
Revista: Forecasting

 
Yoga Sasmita, Heri Kuswanto and Dedy Dwi Prastyo    
Standard time-series modeling requires the stability of model parameters over time. The instability of model parameters is often caused by structural breaks, leading to the formation of nonlinear models. A state-dependent model (SDM) is a more general an... ver más
Revista: Forecasting

 
Monica Alexiadou, Emmanouil Sofianos, Periklis Gogas and Theophilos Papadimitriou    
In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecuti... ver más