(Ampiric Analysis of Relationship Between Exchange Rate, Interest Rate and BIST100 and BIST Transportation Index)

Abstract

Purpose – This study aims to reveal the relationship between exchange rate (US Dollar), interest rate (government bond interest rate) and Borsa İstanbul Transportation (XULAS) index and Borsa İstanbul 100 (BIST 100) indices. In addition, it is desired to test the degree of consistency between the results of the study and previous studies. Most importantly, there is no study done with the transportation index, and contributing to the literature is one of the other purposes of this study. Design/methodology/approach – In the study, although the period interval was wanted to be as wide as possible, daily data belonging to the variables between the dates 04.07.2006 - 31.12.2019 were used due to the criterion of accessing the data. In the study, the relationships between the variables were analyzed using the Toda-Yomamato (1995) causality test, where the symmetric causality relationship was examined, and the Hatemi J (2012) causality tests, where the asymmetric causality relationship was examined. Findings – According to the Toda-Yamamato (1995) causality test, it is determined that there is one-way causality relations from dollar exchange rate to Borsa İstanbul100 and Transportation index. According to the results of the asymmetric causality analysis, it was found that there was a bidirectional causality from all positive and negative shocks in the dollar exchange rate (1% and10%, mostly 1%) to the positive and negative shocks in the BIST100 index. However, according to the Hatemi-J asymmetric causality analysis, bidirectional causality was determined from the positive shocks experienced in the interest rate to the positive shocks occurring in the BIST100 index. Discussion – Requirements of the US dollar exchange rate variable in Turkey BIST100 index both BIST Transportation is also a significant impact on the index have been identified, businesses and investors are considered to be an important indicator of stock price and earnings estimates. The findings revealed in the analysis revealed that the dollar rate and the BIST Transport index can be accepted as an indicator, but changes in interest rates cannot be used as an indicator to predict the BIST Transport index.