Stock return and monetary variables in Istanbul Securities Exchange: a cointegration analysis

Simple item page
buir.advisorMetin, Kıvılcım
dc.contributor.authorArgaƧ, A. Reha
dc.date.accessioned2016-01-08T20:18:55Z
dc.date.available2016-01-08T20:18:55Z
dc.date.issued1995
dc.descriptionAnkara : The Department of Economics and the Institute of Economics and Social Sciences of Bilkent Univ., 1995.en_US
dc.descriptionThesis(Master's) -- Bilkent University, 1995.en_US
dc.descriptionIncludes bibliographical references leaves 29-31.en_US
dc.description.abstractThis study investigates the long run relationship between stock prices and monetary variables and examines the different aspects of the relation for the period between 1988 and 1995, and for three subperiods within this range using daily data. The discrimination between the periods are made due to the strict changes in the volume of trade in ISE which indicate us a structural change.A recently developed statistical theory, i.e. the cointegration theory, which is based on the use of time series regressions and permits us to study the long-run relations of the nonstationary time series, is used for examining the relation.The results show that especially in last five years, there is a tendency to weaken the relation between monetary variables and the stock prices in Turkish stock market. This tendency can be explained by the rapid increase in the volume of trade causing an increase in the number of investors utilizing the same set of information.en_US
dc.description.provenanceMade available in DSpace on 2016-01-08T20:18:55Z (GMT). No. of bitstreams: 1 1.pdf: 78510 bytes, checksum: d85492f20c2362aa2bcf4aad49380397 (MD5)en
dc.description.statementofresponsibilityArgaƧ, A Rehaen_US
dc.format.extent31 leavesen_US
dc.identifier.urihttp://hdl.handle.net/11693/18396
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectADFen_US
dc.subjectIstanbul Securities Exchange (ISE)en_US
dc.subjectEfficient Market Hypothesis (EMH)en_US
dc.subject.lccHG5706.5.I88 A74 1995en_US
dc.subject.lcshForeign exchange rates--Econometric models.en_US
dc.subject.lcshEconometric models.en_US
dc.titleStock return and monetary variables in Istanbul Securities Exchange: a cointegration analysisen_US
dc.typeThesisen_US
thesis.degree.disciplineEconomics
thesis.degree.grantorBilkent University
thesis.degree.levelMaster's
thesis.degree.nameMA (Master of Arts)

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
B031770.pdf
Size:
2.21 MB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download

Collections

Graduate School of Economics and Social Sciences