TIME SERIES ANALYSIS FOR THE EFFECT OF EXCHANGE RATE RISK ON BIST100 INDEX: CASE OF TURKEY
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https://doi.org/10.15637/jlecon.6.009Keywords:
Exchange rate, BIST 100 Index, Time Series Analysis, TurkeyAbstract
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.
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