External shock effect on the internal linkages of Istanbul stock exchange

Ugur Ergun, Abu Hassan Shaari Md Nor, Mansor Bin Jusoh

Research output: Contribution to journalArticle

Abstract

We examine the impact of external shocks on the linkages of Istanbul stock exchange with monetary and macroeconomic indicators in Turkey. To do so, we employ the multivariate cointegration, impulse response function analyses and variance decomposition analysis using the monthly data of Istanbul stock exchange index, industrial production index, broad money supply (M3), short term interest rate and USA exchange rates for the period span from 1996 to 2008. Our analyses results indicate the absence of US Dollar effect on the internal linkages of Istanbul stock exchange and bilateral causality between Istanbul stock exchange and interest rate.

Original languageEnglish
Pages (from-to)120-125
Number of pages6
JournalEuropean Journal of Economics, Finance and Administrative Sciences
Issue number14
Publication statusPublished - Dec 2008

Fingerprint

Istanbul stock exchange
External shocks
Linkage
Exchange rates
Variance decomposition
Short-term interest rates
Money supply
Causality
Industrial production
Multivariate cointegration
Turkey
Decomposition analysis
Interest rates
Bilateral
Macroeconomic indicators
Impulse response function

Keywords

  • Cointegration
  • Granger cointegration based on VECM
  • Istanbul stock exchange
  • Monetary policy

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics, Econometrics and Finance(all)

Cite this

External shock effect on the internal linkages of Istanbul stock exchange. / Ergun, Ugur; Md Nor, Abu Hassan Shaari; Jusoh, Mansor Bin.

In: European Journal of Economics, Finance and Administrative Sciences, No. 14, 12.2008, p. 120-125.

Research output: Contribution to journalArticle

@article{655316629c4c4401aa9a9d5480d188fb,
title = "External shock effect on the internal linkages of Istanbul stock exchange",
abstract = "We examine the impact of external shocks on the linkages of Istanbul stock exchange with monetary and macroeconomic indicators in Turkey. To do so, we employ the multivariate cointegration, impulse response function analyses and variance decomposition analysis using the monthly data of Istanbul stock exchange index, industrial production index, broad money supply (M3), short term interest rate and USA exchange rates for the period span from 1996 to 2008. Our analyses results indicate the absence of US Dollar effect on the internal linkages of Istanbul stock exchange and bilateral causality between Istanbul stock exchange and interest rate.",
keywords = "Cointegration, Granger cointegration based on VECM, Istanbul stock exchange, Monetary policy",
author = "Ugur Ergun and {Md Nor}, {Abu Hassan Shaari} and Jusoh, {Mansor Bin}",
year = "2008",
month = "12",
language = "English",
pages = "120--125",
journal = "European Journal of Economics, Finance and Administrative Sciences",
issn = "1450-2275",
publisher = "EuroJournals, Inc.",
number = "14",

}

TY - JOUR

T1 - External shock effect on the internal linkages of Istanbul stock exchange

AU - Ergun, Ugur

AU - Md Nor, Abu Hassan Shaari

AU - Jusoh, Mansor Bin

PY - 2008/12

Y1 - 2008/12

N2 - We examine the impact of external shocks on the linkages of Istanbul stock exchange with monetary and macroeconomic indicators in Turkey. To do so, we employ the multivariate cointegration, impulse response function analyses and variance decomposition analysis using the monthly data of Istanbul stock exchange index, industrial production index, broad money supply (M3), short term interest rate and USA exchange rates for the period span from 1996 to 2008. Our analyses results indicate the absence of US Dollar effect on the internal linkages of Istanbul stock exchange and bilateral causality between Istanbul stock exchange and interest rate.

AB - We examine the impact of external shocks on the linkages of Istanbul stock exchange with monetary and macroeconomic indicators in Turkey. To do so, we employ the multivariate cointegration, impulse response function analyses and variance decomposition analysis using the monthly data of Istanbul stock exchange index, industrial production index, broad money supply (M3), short term interest rate and USA exchange rates for the period span from 1996 to 2008. Our analyses results indicate the absence of US Dollar effect on the internal linkages of Istanbul stock exchange and bilateral causality between Istanbul stock exchange and interest rate.

KW - Cointegration

KW - Granger cointegration based on VECM

KW - Istanbul stock exchange

KW - Monetary policy

UR - http://www.scopus.com/inward/record.url?scp=67549090131&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=67549090131&partnerID=8YFLogxK

M3 - Article

SP - 120

EP - 125

JO - European Journal of Economics, Finance and Administrative Sciences

JF - European Journal of Economics, Finance and Administrative Sciences

SN - 1450-2275

IS - 14

ER -