EXCHANGE RATE AND STOCK PRICE INTERACTIONS: AN EVIDENCE FROM TURKISH TRANSPORTATION SECTOR

Abstract

The aim of this study is to examine the relationship between stock values of the companies serving in the transportation sector in Turkey and exchange rate. In addition to being an alternative investment tool for transportation sector share values, it is possible that the effects of exchange rate on the share values will be different with its structure affecting both their costs and their transportation demands. Therefore, it is likely to have a nonlinear relationship between the two variables. XULAS variable formed by transportation companies in the BIST index and TL equivalent of USD which is the basic exchange rate all over the world are used in the analysis. The data consists of 971 observations on a weekly basis covering the period between 2 January 2000 and 16 September 2018. The asymmetric causality test is used to determine the unidirectional causal relationship between the shocks in the variables. The obtained results reveal a situation contrary to the general view of negative relationship. It is also hoped that the findings will be useful in developing investment strategies for existing and potential investors in the market.

Keywords

• transportation industry
• stock value
• exchange rate
• asymmetric causality