The paper gives an economic-history perspective of the long struggle with Inflation. It covers the early acceleration to three-digit levels, lasting 8 years; The stabilization program, based on political backing triggered sharp fall in inflationary expectation, and consequently to sharp inflation reduction to two- digit levels; The convergence to the advanced countries' levels during the "great Moderation", And Israel's resistance to the deflation-depression forces that the 2008 crisis created. The emphasis is on the forces of globalization and the building of institutions, political, regulatory, financial, budget design, and monetary, which helped stabilize prices and output.
{"title":"Israel's Triumph Over Inflation: The Long and Winding Road","authors":"A. Razin","doi":"10.3386/w23061","DOIUrl":"https://doi.org/10.3386/w23061","url":null,"abstract":"The paper gives an economic-history perspective of the long struggle with Inflation. It covers the early acceleration to three-digit levels, lasting 8 years; The stabilization program, based on political backing triggered sharp fall in inflationary expectation, and consequently to sharp inflation reduction to two- digit levels; The convergence to the advanced countries' levels during the \"great Moderation\", And Israel's resistance to the deflation-depression forces that the 2008 crisis created. The emphasis is on the forces of globalization and the building of institutions, political, regulatory, financial, budget design, and monetary, which helped stabilize prices and output.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123261151","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This article reviews empirical studies on Islamic banking and concentrates on their main findings while highlighting future research directions. The earlier literature of Islamic banking built a foundation using normative judgment, descriptive analysis, theoretical development, and appraisal of country experiences. Subsequent research focuses on the empirical investigations without extensive analytical and theoretical exploration in the area. Recent studies focus on the financial crisis, solvency, disclosure, and financial inclusion. Even with the spillover effect on the Islamic banks after the crisis, few pieces of evidence shows that the system performs less than a conventional counterpart. The paper discusses relevant issues to Islamic banking and identifies other avenues for future research.
{"title":"An Empirical Literature Survey of Islamic Banking","authors":"M. Hassan, Aliyu Sirajo","doi":"10.2139/ssrn.2980516","DOIUrl":"https://doi.org/10.2139/ssrn.2980516","url":null,"abstract":"This article reviews empirical studies on Islamic banking and concentrates on their main findings while highlighting future research directions. The earlier literature of Islamic banking built a foundation using normative judgment, descriptive analysis, theoretical development, and appraisal of country experiences. Subsequent research focuses on the empirical investigations without extensive analytical and theoretical exploration in the area. Recent studies focus on the financial crisis, solvency, disclosure, and financial inclusion. Even with the spillover effect on the Islamic banks after the crisis, few pieces of evidence shows that the system performs less than a conventional counterpart. The paper discusses relevant issues to Islamic banking and identifies other avenues for future research.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125799443","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2016-12-01DOI: 10.30541/V55I4I-IIPP.361-394
Attaullah Shah, Z. Khan
Empirical evidence to identify factors that are responsible for the sluggish development of bond and capital markets in Pakistan remains scanty. This paper is a step forward in this direction. Specifically, this paper draws on the recent developments in the area of law and finance to formulate several propositions on how judicial efficiency can have a differential impact on corporate capital structures of small and large firms. These propositions are tested using data of 370 firms listed at the Karachi Stock Exchange (KSE) and 27 districts high courts of Pakistan. The results indicate that leverage ratio decreases, when judicial efficiency decreases; however, this relationship is not statistically significant. This is due to the composition effect. Allowing judicial efficiency to interact with the included explanatory variables, the results show that worsening judicial efficiency increases leverage ratios of large firms and decreases leverage ratios of small firms, which is an indication of the fact that creditors shift credit away from small firms to large firms in the presence of inefficient judicial system. Results also indicate that the effect of inefficient courts is greater on leverage ratios of firms that have fewer tangible assets as percentage of total assets than on leverage ratios of firms that have more tangible assets. The results indicate that under inefficient judicial system creditors reduce their lending to small firms and firms with little collateral and redistribute the credit to large firms. This is why judicial inefficiency does not change volume of credit, but changes distribution of the credit. These results highlight the importance of judicial efficiency for small firms in the determination of their capital structures.
{"title":"Importance of Judicial Efficiency in Capital Structure Decisions of Small Firms: Evidence from Pakistan","authors":"Attaullah Shah, Z. Khan","doi":"10.30541/V55I4I-IIPP.361-394","DOIUrl":"https://doi.org/10.30541/V55I4I-IIPP.361-394","url":null,"abstract":"Empirical evidence to identify factors that are responsible for the sluggish development of bond and capital markets in Pakistan remains scanty. This paper is a step forward in this direction. Specifically, this paper draws on the recent developments in the area of law and finance to formulate several propositions on how judicial efficiency can have a differential impact on corporate capital structures of small and large firms. These propositions are tested using data of 370 firms listed at the Karachi Stock Exchange (KSE) and 27 districts high courts of Pakistan. The results indicate that leverage ratio decreases, when judicial efficiency decreases; however, this relationship is not statistically significant. This is due to the composition effect. Allowing judicial efficiency to interact with the included explanatory variables, the results show that worsening judicial efficiency increases leverage ratios of large firms and decreases leverage ratios of small firms, which is an indication of the fact that creditors shift credit away from small firms to large firms in the presence of inefficient judicial system. Results also indicate that the effect of inefficient courts is greater on leverage ratios of firms that have fewer tangible assets as percentage of total assets than on leverage ratios of firms that have more tangible assets. The results indicate that under inefficient judicial system creditors reduce their lending to small firms and firms with little collateral and redistribute the credit to large firms. This is why judicial inefficiency does not change volume of credit, but changes distribution of the credit. These results highlight the importance of judicial efficiency for small firms in the determination of their capital structures.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125828506","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper reviews the World Trade Organization's analysis of developments in China's trade policy during 2012–14. The review overlaps with the continuing Great Recession and with China's determination to foster a sustainable rate of economic growth. Developments in the country's trade policy include the launching of the Shanghai pilot free trade zone. China faces a series of trade policy-related challenges including the complex process necessary to internationalise the renminbi.
{"title":"Reviewing Trade Policy in China During the Transition to Balanced Economic Growth","authors":"José R. Sánchez-Fung","doi":"10.1111/twec.12476","DOIUrl":"https://doi.org/10.1111/twec.12476","url":null,"abstract":"The paper reviews the World Trade Organization's analysis of developments in China's trade policy during 2012–14. The review overlaps with the continuing Great Recession and with China's determination to foster a sustainable rate of economic growth. Developments in the country's trade policy include the launching of the Shanghai pilot free trade zone. China faces a series of trade policy-related challenges including the complex process necessary to internationalise the renminbi.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"115 1-2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114013047","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
During the stock market turmoil and later on in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) suspended trading in futures products at the Karachi Stock Exchange (KSE) due to their proven destabilizing role in Global Financial Crises (GFC). On July 27th 2009, the Single Stock Futures (SSFs) were re-launched with stringent regulations for their trading in stock market. In this study, an attempt is made to identify changes in the volatility dynamics of underlying stocks after resumption of SSFs in KSE with tighter regulations than before and whether stringent regulations are justified or not. Specifically, the study decomposes volatility into systematic and unsystematic risk components and investigates the inherent changes in the underlying stocks’ volatility subsequent to the resumption of SSFs. The findings suggest that the decrease in the systematic and unsystematic risk cannot be attributed to the firms’ contract listing, but contemporaneous market, industry or macroeconomic changes. The findings may imply that stringent regulations are unjustified, which may reduce the liquidity and efficiency of the market and do no good to the market
{"title":"Resumption of Single Stock Futures (SSFs) with Stringent Regulations and Their Impact on the Risk Characteristics of the Underlying Stocks","authors":"I. Malik, Attaullah Shah","doi":"10.22547/BER/8.2.1","DOIUrl":"https://doi.org/10.22547/BER/8.2.1","url":null,"abstract":"During the stock market turmoil and later on in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) suspended trading in futures products at the Karachi Stock Exchange (KSE) due to their proven destabilizing role in Global Financial Crises (GFC). On July 27th 2009, the Single Stock Futures (SSFs) were re-launched with stringent regulations for their trading in stock market. In this study, an attempt is made to identify changes in the volatility dynamics of underlying stocks after resumption of SSFs in KSE with tighter regulations than before and whether stringent regulations are justified or not. Specifically, the study decomposes volatility into systematic and unsystematic risk components and investigates the inherent changes in the underlying stocks’ volatility subsequent to the resumption of SSFs. The findings suggest that the decrease in the systematic and unsystematic risk cannot be attributed to the firms’ contract listing, but contemporaneous market, industry or macroeconomic changes. The findings may imply that stringent regulations are unjustified, which may reduce the liquidity and efficiency of the market and do no good to the market","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125419545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2016-06-04DOI: 10.24191/JEEIR.V4I2.9082
Saif Siddiqui, S. Sheikh
Shariah indices can be used to construct socially reliable investment products that are attractive for those, who do not wish to invest in undesired business. National Stock Exchange of India introduced Nifty 50 Shariah and Nifty 500 Shariah indices to provide alternative indices for Shariah compliant companies. The study is an attempt to reveal the relationship between Nifty 50 Shariah and Nifty 500 Shariah with their underlying indices, Nifty 50 and Nifty 500.For this purpose a period of 01/01/2007 to 31/12/2015 is taken. Based on various objectives, techniques like Descriptive statistics, Correlation, Co-integration test, 3SLS and GMM estimation are used.It is concluded that return of Shariah Indices are better and risk is lesser, than underlying indices. These indices are the better option for portfolios.
{"title":"Modelling the Return of Shariah with Underlying Indices of National Stock Exchange of India: A Case of 3SLS and GMM Estimation","authors":"Saif Siddiqui, S. Sheikh","doi":"10.24191/JEEIR.V4I2.9082","DOIUrl":"https://doi.org/10.24191/JEEIR.V4I2.9082","url":null,"abstract":"Shariah indices can be used to construct socially reliable investment products that are attractive for those, who do not wish to invest in undesired business. National Stock Exchange of India introduced Nifty 50 Shariah and Nifty 500 Shariah indices to provide alternative indices for Shariah compliant companies. The study is an attempt to reveal the relationship between Nifty 50 Shariah and Nifty 500 Shariah with their underlying indices, Nifty 50 and Nifty 500.For this purpose a period of 01/01/2007 to 31/12/2015 is taken. Based on various objectives, techniques like Descriptive statistics, Correlation, Co-integration test, 3SLS and GMM estimation are used.It is concluded that return of Shariah Indices are better and risk is lesser, than underlying indices. These indices are the better option for portfolios.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128687224","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose: This paper seeks to review the effects of home regulatory institutions on outward FDI (OFDI) in the context of China and discuss the extent to which they can be extended to other emerging markets. We especially compare these empirical studies with theoretical discussions in each category, identify research gaps, and suggest future research ideas. Practical implications are discussed. Design/methodology/approach: It focuses specifically on three categories of regulatory institutions, including overall institutional development, liberalization of OFDI policies, and state ownership (and its closely approximate forms). Using a systematic review, this paper has reviewed 26 empirical studies (23 quantitative and 3 qualitative studies) published in peer-reviewed journals. Findings: These studies suggest that overall institutional development towards a market economy in general leads to increased OFDI, but this effect is contingent on the stage of such development and the capabilities of Chinese multinationals. Liberalized and supportive OFDI policies also facilitate OFDI activities, but only into selective areas. Findings on state ownership have been mixed. Originality/value: This review offers a full picture of empirical evidence on how multiple levels of regulatory institutions affect OFDI from China. In this way, we can identify the research gaps between theoretical discussions on home institutions and OFDI and empirical evidence. Thus we make suggestions for future directions of studies.
{"title":"Regulatory Institutions and Chinese Outward FDI: An Empirical Review","authors":"V. Z. Chen, Yuanyuan Li, S. Hambright","doi":"10.2139/SSRN.2551236","DOIUrl":"https://doi.org/10.2139/SSRN.2551236","url":null,"abstract":"Purpose: This paper seeks to review the effects of home regulatory institutions on outward FDI (OFDI) in the context of China and discuss the extent to which they can be extended to other emerging markets. We especially compare these empirical studies with theoretical discussions in each category, identify research gaps, and suggest future research ideas. Practical implications are discussed. Design/methodology/approach: It focuses specifically on three categories of regulatory institutions, including overall institutional development, liberalization of OFDI policies, and state ownership (and its closely approximate forms). Using a systematic review, this paper has reviewed 26 empirical studies (23 quantitative and 3 qualitative studies) published in peer-reviewed journals. Findings: These studies suggest that overall institutional development towards a market economy in general leads to increased OFDI, but this effect is contingent on the stage of such development and the capabilities of Chinese multinationals. Liberalized and supportive OFDI policies also facilitate OFDI activities, but only into selective areas. Findings on state ownership have been mixed. Originality/value: This review offers a full picture of empirical evidence on how multiple levels of regulatory institutions affect OFDI from China. In this way, we can identify the research gaps between theoretical discussions on home institutions and OFDI and empirical evidence. Thus we make suggestions for future directions of studies.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131498327","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper investigates a cross-sectional risk-reward relationship (Sharpe-Lintner-Mossin paradigm), Fama and French (1992) size effect and conditional CAPM (Pettengill, 1995). It adopted Fama and Macbeth (1973) methodology and used data of listed Korean stock (KOSPI). Without considering conditional CAPM, I saw no evidence to support Sharpe Lintner-Mossin paradigm. Equally the role of size was statistically proven to be insignificant. Even though they exist a few discrepancies between this findings and those of Fletcher (1997) the result of conditional CAPM are same (Pettengill et al., 1995). That is, beta is significantly positive in up market and significant negative in down market. The effects in both up and down markets was found to be asymmetrical. The empirical findings backed by other previous studies found CAPM breathing and not dead as suggested by others findings.
本文研究了横截面风险-报酬关系(Sharpe-Lintner-Mossin范式)、Fama和French(1992)、规模效应和条件CAPM (Pettengill, 1995)。采用Fama和Macbeth(1973)的方法，使用韩国综合股价指数(KOSPI)的数据。如果不考虑条件CAPM，我认为没有证据支持Sharpe Lintner-Mossin范式。同样，规模的作用在统计上被证明是不显著的。尽管这一发现与Fletcher(1997)的发现存在一些差异，但条件CAPM的结果是相同的(Pettengill et al.， 1995)。也就是说，贝塔在市场上涨时显著为正，在市场下跌时显著为负。研究发现，涨跌市场的影响都是不对称的。其他先前研究支持的实证发现发现CAPM呼吸，而不是像其他研究结果所表明的那样死亡。
{"title":"Theoretical and Empirical Asset Pricing: Evidence of Korean Economy.","authors":"Tasoh Martin Toh","doi":"10.2139/ssrn.2762048","DOIUrl":"https://doi.org/10.2139/ssrn.2762048","url":null,"abstract":"This paper investigates a cross-sectional risk-reward relationship (Sharpe-Lintner-Mossin paradigm), Fama and French (1992) size effect and conditional CAPM (Pettengill, 1995). It adopted Fama and Macbeth (1973) methodology and used data of listed Korean stock (KOSPI). Without considering conditional CAPM, I saw no evidence to support Sharpe Lintner-Mossin paradigm. Equally the role of size was statistically proven to be insignificant. Even though they exist a few discrepancies between this findings and those of Fletcher (1997) the result of conditional CAPM are same (Pettengill et al., 1995). That is, beta is significantly positive in up market and significant negative in down market. The effects in both up and down markets was found to be asymmetrical. The empirical findings backed by other previous studies found CAPM breathing and not dead as suggested by others findings.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124327945","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2016-04-01DOI: 10.20409/BERJ.2016116804
Yener Coskun, Oznur Umit
The paper asks whether the return of Borsa Istanbul100 index has long term relations with U.S. Dollar to Turkish Lira (TL) exchange rate, London Bullion Market Association (LMBA) gold fixing price, interest rate on TL saving deposit, and real house price index over the period of 2000:01-2014:07 in Turkey. We first test stationary of time series through Augmented Dickey Fuller, Phillips-Perron, Zivot-Andrews, and Lee-Strazicich unit root tests. Then, we perform Johansen cointegration test and multiple structural breaks cointegration test of Maki (2012). Johansen cointegration test suggests that there is a long term relationship among the variables, but Maki cointegration estimation do not provide evidence for the existence of cointegration. According to the latter result, we may argue that TL/FX saving deposits, gold, and housing markets in Turkey, having probably different investment dynamics and investor profile, may not integrate or compete with stock market under the impacts of structural breaks. This outcome may also imply that the policies on the development of stock market and contributions of stock market to the growth may have some structural limitations.
{"title":"Türkiye’De Hisse Senedi Ile Döviz, Mevduat, Altın, Konut Piyasaları Arasındaki Eşbütünleşme İlişkilerinin Analizi (Cointegration Analysis between Stock Exchange and TL/FX Saving Deposits, Gold, Housing Markets in Turkey)","authors":"Yener Coskun, Oznur Umit","doi":"10.20409/BERJ.2016116804","DOIUrl":"https://doi.org/10.20409/BERJ.2016116804","url":null,"abstract":"The paper asks whether the return of Borsa Istanbul100 index has long term relations with U.S. Dollar to Turkish Lira (TL) exchange rate, London Bullion Market Association (LMBA) gold fixing price, interest rate on TL saving deposit, and real house price index over the period of 2000:01-2014:07 in Turkey. We first test stationary of time series through Augmented Dickey Fuller, Phillips-Perron, Zivot-Andrews, and Lee-Strazicich unit root tests. Then, we perform Johansen cointegration test and multiple structural breaks cointegration test of Maki (2012). Johansen cointegration test suggests that there is a long term relationship among the variables, but Maki cointegration estimation do not provide evidence for the existence of cointegration. According to the latter result, we may argue that TL/FX saving deposits, gold, and housing markets in Turkey, having probably different investment dynamics and investor profile, may not integrate or compete with stock market under the impacts of structural breaks. This outcome may also imply that the policies on the development of stock market and contributions of stock market to the growth may have some structural limitations.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132754209","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Bu calismada Turkiye’de pay senetleri fiyatlari ile doviz kurlari arasindaki iliski, VAR metodu (vektor oto regresyon modeli) kullanilarak arastirilmistir. Doviz kurlari ve pay senedi fiyatlarindan olusan degiskenler arasinda dogrusal bir baginti olup olmadiginin tespiti amaciyla bu model kullanilmistir. Bu amacla, doviz kurlari, BIST Banka ve BIST Sinai endeksleri ele alinmistir. Veriler Ocak 2011’den Aralik 2014’e kadar olan doneme ait gunluk degismeleri icermektedir. Turkiye’de en fazla islem yapilan doviz kurlari ABD dolari ve Euro oldugu icin, bu kurlar tercih edilmistir. This paper examines the linkages between the exchange rates and equity indexes including the diversity of sector. We use VAR model (the vector auto regression model) which is an econometric model used to capture the linear interdependencies among variables, exchange rates and equity indexes. The sample of the study consists of USD/TL, Euro/TL, BIST Bank and BIST Industry. The data of the study includes the January 2011 and December 2014with daily data range.
土耳其的工资支付系统（Pay Senetleri fiyatlari ile doviz kurlari arasindaki iliski）、VAR 方法（vektor oto regresyon modeli）已被广泛应用。该模型的优点是可视化和可支付性。目前，BIST Banka 和 BIST Sinai 已成为全球最大的银行。2011年10月至2014年1月的数据显示，BIST银行已成为全球最大的银行之一。土耳其对 ABD 和 Euro oldugu icin（欧洲老龄化问题专家）的研究结果表明，土耳其对 ABD 和 Euro oldugu icin（欧洲老龄化问题专家）的研究取得了重大进展。 本文研究了汇率与股票指数（包括行业多样性）之间的联系。我们使用了 VAR 模型（向量自动回归模型），这是一种计量经济学模型，用于捕捉变量、汇率和股票指数之间的线性相互依存关系。研究样本包括美元/土耳其里拉、欧元/土耳其里拉、BIST 银行和 BIST 工业。研究数据包括 2011 年 1 月至 2014 年 12 月的每日数据。
{"title":"Euro ve ABD Doları Kurları ile Pay Senedi Endeksleri Arasındaki İlişkinin İncelenmesi: Borsa İstanbul Verileri Üzerine Ampirik Bir Çalışma (Examining the Relationship between Euro/TL, USD/TL and Equity Indexes: An Empirical Study on Borsa İstanbul)","authors":"Ayben Koy, Hicabi Ersoy","doi":"10.20525/IJFBS.V5I2.269","DOIUrl":"https://doi.org/10.20525/IJFBS.V5I2.269","url":null,"abstract":"Bu calismada Turkiye’de pay senetleri fiyatlari ile doviz kurlari arasindaki iliski, VAR metodu (vektor oto regresyon modeli) kullanilarak arastirilmistir. Doviz kurlari ve pay senedi fiyatlarindan olusan degiskenler arasinda dogrusal bir baginti olup olmadiginin tespiti amaciyla bu model kullanilmistir. Bu amacla, doviz kurlari, BIST Banka ve BIST Sinai endeksleri ele alinmistir. Veriler Ocak 2011’den Aralik 2014’e kadar olan doneme ait gunluk degismeleri icermektedir. Turkiye’de en fazla islem yapilan doviz kurlari ABD dolari ve Euro oldugu icin, bu kurlar tercih edilmistir. This paper examines the linkages between the exchange rates and equity indexes including the diversity of sector. We use VAR model (the vector auto regression model) which is an econometric model used to capture the linear interdependencies among variables, exchange rates and equity indexes. The sample of the study consists of USD/TL, Euro/TL, BIST Bank and BIST Industry. The data of the study includes the January 2011 and December 2014with daily data range.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"931 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126628610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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