The Dynamic Relationships between Stock Market Capitalization Rate and Interest Rate in Turkey

TORAMAN, Cengiz and BASARIR, Cagatay (2013) The Dynamic Relationships between Stock Market Capitalization Rate and Interest Rate in Turkey. International Conference on Economic and Social Studies, 10-11 May, 2013, Sarajevo, 1 (1). pp. 127-136. ISSN 978-9958-834-23-3

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Abstract

This paper investigates the long run and short-term relationships between stock market capitalization rate and interest rates in Turkey over the period 1998-2012. Prior to conducting the analysis in a time series, in order to test the stability of the series, a unit root test was initially applied. It is determined that both stock market capitalization rate and interest rate series are not stationary. Long-run relationship is tested by Johansen Cointegration tests and casual relationship is tested by Granger Causality tests. According to the results of the study, there is long-run relationship between stock market capitalization rate and interest rates while there is not causal relationship between stock market capitalization rate and interest rates in short term. Keywords: Stock Market Capitalization Rate, Interest Rates, Cointegration, Vector Error Correction Model (VECM), Causality.

Item Type: Article
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HC Economic History and Conditions
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HE Transportation and Communications
H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Divisions: Faculty of Economics > Management Department
Depositing User: Users 173 not found.
Date Deposited: 17 May 2013 07:30
Last Modified: 05 Aug 2013 09:13
URI: http://eprints.ibu.edu.ba/id/eprint/1556

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