Is there a long run relationship between stock returns and monetary variables: evidence from an emerging market

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dc.citation.epage649en_US
dc.citation.issueNumber6en_US
dc.citation.spage641en_US
dc.citation.volumeNumber11en_US
dc.contributor.authorMuradoğlu, G.en_US
dc.contributor.authorMetin, K.en_US
dc.contributor.authorArgaç, R.en_US
dc.date.accessioned2019-02-11T18:15:02Z
dc.date.available2019-02-11T18:15:02Z
dc.date.issued2001en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractLiterature that provides empirical evidence about the long-term relationship between stock returns and monetary variables in emerging markets is limited. In those markets, unlike in mature ones, market participants and the availability of information as well as its quality, change rapidly through time. The purpose of this study is to examine the long-term relationship between stock returns and monetary variables in an emerging market through time by using the cointegration technique. The database is set up at daily frequency of variables that are customarily used by the financial media as determinants of stock investments and the cointegration technique enables us to consider changes in long-run steady-state properties of the equilibrium relationship between the non-stationary stock prices and monetary variables. The findings of this study indicate that, overall results should not be used in formulating investment strategies because they can be misleading in the sense that the variables that explain stock prices might change through time. In the case of ISE, as the market became more mature, the influence of monetary expansion and interest rates disappeared and foreign currency prices regained their expected significance.en_US
dc.identifier.doi10.1080/09603100110094411en_US
dc.identifier.eissn1466-4305
dc.identifier.issn0960-3107
dc.identifier.urihttp://hdl.handle.net/11693/49274
dc.language.isoEnglishen_US
dc.publisherRoutledgeen_US
dc.relation.isversionofhttps://doi.org/10.1080/09603100110094411en_US
dc.source.titleApplied Financial Economicsen_US
dc.subjectStock returnsen_US
dc.subjectMonetary variablesen_US
dc.subjectEmerging marketen_US
dc.titleIs there a long run relationship between stock returns and monetary variables: evidence from an emerging marketen_US
dc.typeArticleen_US

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