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Cointegration Analysis Between Stock Exchange and TL/FX Saving Deposits, Gold, Housing Markets in Turkey

Author

Listed:
  • Coşkun, Yener

    (Sermaye Piyasası Kurulu)

  • Ümit, A. Öznur

    (Ondokuz Mayis University)

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.

Suggested Citation

  • Coşkun, Yener & Ümit, A. Öznur, 2016. "Cointegration Analysis Between Stock Exchange and TL/FX Saving Deposits, Gold, Housing Markets in Turkey," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 47-69, January.
    • Handle: RePEc:ris:buecrj:0213
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    Citations

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    Cited by:

    1. Coskun, Yener & Seven, Unal, 2016. "Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi (Book Chapter) [Efficient Market Hypothesis and Weak Form Efficiency Analysis of Borsa Istanbul (Book Chapter)]," MPRA Paper 80263, University Library of Munich, Germany.
    2. Yener Coskun & Unal Seven & H. Murat Ertugrul & Talat Ulussever, 2017. "Capital market and economic growth nexus: Evidence from Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 17(1), pages 1-19–29.
    3. Faris Alshubiri, 2021. "The stock market capitalisation and financial growth nexus: an empirical study of western European countries," Future Business Journal, Springer, vol. 7(1), pages 1-20, December.
    4. Ali K k olak & Figen B y kak n & Necla Ilter Kucukcolak, 2019. "Cointegration of Equity and Gold Markets: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 32-40.

    More about this item

    Keywords

    Borsa İstanbul; Exchange Rate; Housing; Cointegration; Structural Break;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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