African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4194

Full Length Research Paper

Stock prices and exchange rates dynamics: Evidence from emerging markets

Husam Rjoub
  • Husam Rjoub
  • Department of Banking and Finance, Faculty of Economics and Administrative Sciences, Near East University, Nicosia, Lefkosa, Northern Cyprus, Mersin 10, Turkey.
  • Search for this author on:
  • Google Scholar


  •  Accepted: 29 November 2011
  •  Published: 04 April 2012

Abstract

This study empirically investigates the dynamic relationship between the Turkish stock price and the exchange rates, and also considers the US stock prices as a world market, in the long- and short-run. The study analyzes the period of floating exchange rate in Turkey which spans from 2001:08 to 2009:08 via applying cointegration, Granger causality and impulse response tests. The result from the cointegration reveals that the long run relationship is maintained. Granger causality shows that there are bidirectional relationships between exchange rate and Turkish stock prices. The impulse response results indicate the shocks of Turkish stock price, exchange rates, and US stock price response within a short time; in other words, the shocks are temporary.

 

Key words: Exchange rate, stock price, vector autoregression (VAR).

Copyright © 2024 Author(s) retain the copyright of this article.

This article is published under the terms of the Creative Commons Attribution License 4.0

Back to Vol. 6 No. 13
Back to articles
SUBSCRIBE TO RSS
SUBMIT MANUSCRIPT
CONFERENCES