Original scientific paper
https://doi.org/10.1080/1331677X.2016.1193950
Time varying causality between stock market and exchange rate: evidence from Turkey, Japan and England
Feyyaz Zeren
Mustafa Koç
Abstract
In this study, the relationship between exchange rates and stock
market indices in Turkey, Japan and England was analysed by using
the time varying causality test. First, by the Kapetanios unit root test
that allows determining structural breaks endogenously and more
than two breaks, stationary levels and break numbers of series were
identified. Second, based on the belief that the result of especially
long-term causality can have different consequences in different
periods due to economic and political crises, a time-varying causality
test with bootstrap developed by R. Scott Hacker and Abdulnasser
Hatemi-J was used. As a result of the study using monthly data
spanning the period of January 1990 to April 2013, there existed two-way causality for the three countries in periods when local and global crises were occurring.
Keywords
Kapetanios unit root test; time varying causality test; economic and global crises; stock market; exchange rate
Hrčak ID:
171753
URI
Publication date:
22.12.2016.
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