Article detail · 2021
Comovement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach
Journal
International Journal of Finance & EconomicsISSN 1076-9307
The ISSN points to another catalog journal; the name is from the YÖKSİS record.
- Year
- 2021
- Type
- article
Data source split
- YÖKSİS YÖKSİS article record
- YÖKSİS venue International Journal of Finance & Economics
- Catalog match (ISSN) International Journal of Finance and Economics
- OpenAlex OpenAlex enrichment (abstract, citations, topics)
Abstract
OpenAlex · English
Abstract This study aims to investigate the causal relationship between the Turkish stock market returns, namely XU100, and foreign exchange rates, namely USD/TRY and EUR/TRY, in Turkey using the wavelet coherence approach. In this study, we focus on the period from April 2000 to March 2019. Our findings reveal the following: (i) While we identify substantial volatility in the exchange rate during the 2000 November (banking crisis), 2001 February (economic crisis), and 2018 July (exchange rate crisis) periods, significant volatility was observed in the Turkish stock market during the 2000 banking crisis, 2001 economic crisis, and 2008 global crisis periods; (ii) There is a negative correlation between the Turkish stock market and foreign exchange rates at different frequencies over the selected sample period; (iii) A unidirectional causality runs from the Turkish stock market to foreign exchange rates between 2000 and 2004 at a scale of 4 months and between 2008 and 2012 at a scale of 32 months; (iv) Although inconsistent results are observed for the models of USD/TRY‐XU100 and EUR/TRY‐XU100, our empirical results show that the correlations between USD/TRY and XU100 are stronger than between EUR/TRY and XU100.
Topics
Citations
OpenAlex cited_by_count. Not a WoS or Scopus citation count; those sources have no separate column here.
49 citations
OpenAlex cited_by_count (cache / database)
9 publications in the local catalog that cite this work (OpenAlex reference match; not the full global list).
- The Impacts of Foreign Portfolio Flows and Monetary Policy Responses on Stock Markets by Considering COVID-19 Pandemic: Evidence from Turkey 2022
- The impacts of foreign portfolio flows and monetary policy responses on stock markets by considering COVID-19 pandemic: Evidence from Turkey 2022
- The impacts of foreign portfolio flows and monetary policy responses on stock markets by considering COVID-19 pandemic: Evidence from Turkey 2022
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- AN ANALYSIS OF THE LONG-TERM ASYMMETRIC RELATIONSHIP BETWEEN GOLD PRICES, EXCHANGE RATES, YIELDS OF GOVERNMENT BOND, AND THE BIST100 INDEX 2024
- Diverging Paths: A Comparative Study of Oil Price Sensitivity in African Stock Markets 2026
- Diverging Paths: A Comparative Study of Oil Price Sensitivity in African Stock Markets 2026