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DOI :10.26650/ekoist.2024.40.1261338   IUP :10.26650/ekoist.2024.40.1261338    Tam Metin (PDF)

Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis

Onur ŞeyranlıoğluÇağlar SözenFerhat İspiroğlu

This study reveals the relationship between stock markets and interest rates. In this study, the Borsa Istanbul-100 Index (BIST-100) is used to represent the stock market, and the Turkish Lira Overnight Reference Rate (TLREF) is used to represent the interest rate. To investigate the relationship between the series, daily data between 28.12.2018- 20.10.2022 are discussed. In the analysis, the traditional co-integration tests of Engle and Granger (1987) and Johansen (1988) were used to determine the long-term relationships between the series. A long-term relationship could not be detected using the traditional co-integration test. Therefore, Granger and Yoon (2002) and Hatemi and Irandoust (2012) conducted hidden co-integration tests. The series is decomposed into positive and negative components to apply the hidden co-integration analysis. As a result of the Granger and Yoon (2002) test, a long-term relationship could not be determined between the series; As a result of the Hatemi and Irandoust (2012) test, it was observed that the cumulative positive shocks of the BIST-100 series and the positive and negative cumulative shocks of the TLREF series were associated in the long term. Hatemi-J (2012) investigated the causality relations between the series decomposed into positive and negative shocks with asymmetric causality analysis.

JEL Classification : C51 , C55 , C58

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DIŞA AKTAR



APA

Şeyranlıoğlu, O., Sözen, Ç., & İspiroğlu, F. (2024). Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis. EKOIST Journal of Econometrics and Statistics, 0(40), 22-34. https://doi.org/10.26650/ekoist.2024.40.1261338


AMA

Şeyranlıoğlu O, Sözen Ç, İspiroğlu F. Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis. EKOIST Journal of Econometrics and Statistics. 2024;0(40):22-34. https://doi.org/10.26650/ekoist.2024.40.1261338


ABNT

Şeyranlıoğlu, O.; Sözen, Ç.; İspiroğlu, F. Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis. EKOIST Journal of Econometrics and Statistics, [Publisher Location], v. 0, n. 40, p. 22-34, 2024.


Chicago: Author-Date Style

Şeyranlıoğlu, Onur, and Çağlar Sözen and Ferhat İspiroğlu. 2024. “Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis.” EKOIST Journal of Econometrics and Statistics 0, no. 40: 22-34. https://doi.org/10.26650/ekoist.2024.40.1261338


Chicago: Humanities Style

Şeyranlıoğlu, Onur, and Çağlar Sözen and Ferhat İspiroğlu. Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis.” EKOIST Journal of Econometrics and Statistics 0, no. 40 (Dec. 2024): 22-34. https://doi.org/10.26650/ekoist.2024.40.1261338


Harvard: Australian Style

Şeyranlıoğlu, O & Sözen, Ç & İspiroğlu, F 2024, 'Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis', EKOIST Journal of Econometrics and Statistics, vol. 0, no. 40, pp. 22-34, viewed 23 Dec. 2024, https://doi.org/10.26650/ekoist.2024.40.1261338


Harvard: Author-Date Style

Şeyranlıoğlu, O. and Sözen, Ç. and İspiroğlu, F. (2024) ‘Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis’, EKOIST Journal of Econometrics and Statistics, 0(40), pp. 22-34. https://doi.org/10.26650/ekoist.2024.40.1261338 (23 Dec. 2024).


MLA

Şeyranlıoğlu, Onur, and Çağlar Sözen and Ferhat İspiroğlu. Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis.” EKOIST Journal of Econometrics and Statistics, vol. 0, no. 40, 2024, pp. 22-34. [Database Container], https://doi.org/10.26650/ekoist.2024.40.1261338


Vancouver

Şeyranlıoğlu O, Sözen Ç, İspiroğlu F. Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis. EKOIST Journal of Econometrics and Statistics [Internet]. 23 Dec. 2024 [cited 23 Dec. 2024];0(40):22-34. Available from: https://doi.org/10.26650/ekoist.2024.40.1261338 doi: 10.26650/ekoist.2024.40.1261338


ISNAD

Şeyranlıoğlu, Onur - Sözen, Çağlar - İspiroğlu, Ferhat. Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis”. EKOIST Journal of Econometrics and Statistics 0/40 (Dec. 2024): 22-34. https://doi.org/10.26650/ekoist.2024.40.1261338



ZAMAN ÇİZELGESİ


Gönderim07.03.2023
Kabul20.05.2024
Çevrimiçi Yayınlanma26.06.2024

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