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EXCHANGE RATES’ EFFECT ON SPOT AND FUTURES EQUITY INDEX MAR-KETS: A STUDY ON BORSA ISTANBUL

Journal Name:

  • International Journal of Commerce And Finance

Publication Year:

  • 2016

Key Words:

Author NameUniversity of Author
Abstract (2. Language): 
This paper examines the linkages between the foreign exchange rates, spot equity index and equity index futures. The study aims to investigate whether there is difference between the spot and futures markets in the scope of relation with the foreign exchange rates’ returns and which leads the other. The relationships are examined by using the vector autoregression (VAR) model, impulse-response functions, variance decomposition and Granger Causality tests. The sample of the study consists of US dollar to Turkish Lira rate (USD/TRY), Euro to Turkish Lira rate (EUR/TRY), BIST 30 Index and BIST 30 Index Futures. The data of the study includes the period between January 2011 and December 2014 with daily data range. Our results have evidence that the foreign exchange rate markets in Turkey are driven by the equity market.
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  • English

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REFERENCES

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Exchange Rates’ Effect On Spot And Futures Equity Index Mar-Kets: A Study On Borsa Istanbul 25
http://ijcf.ticaret.edu.tr
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