The purpose of this work is to reveal the effects of gold, petroleum and exchange rates on stock market index in Turkey. The research covers the period of January 2010-December 2017. In the research, Borsa Istanbul 100 Index, gold ounce ask price, crude oil price and the dollar ask price are used as exchange rate. While the Stock Exchange Istanbul 100 Index is determined as the dependent variable; gold, oil and exchange rate are determined as independent variables. Data series are formed within the selected time period taking up on a monthly basis. Cointegration analysis is applied to the series and the relationship between the variables are tried to be determined. Short-term relationships are analyzed by implementing Unrestricted VAR model. At this stage, Granger causality test is performed for dual causality. As a result of the study, it is concluded that there is no long-term relationship between gold, oil, foreign exchange and stock exchange index. As a result of Granger Causality Test, it is concluded that there is no Granger causality within gold, petroleum and stock market index. On the other hand, foreign exchange is the granger cause of stock index.
Gold, Oil, Foreign Exchange, Gold Index Interdependence, Oil Index Interdependence, Foreign Exchange Index Interdependence, Causality
|Yazar :||- Ayşen KONUŞKAN, Turan KOCABIYIK|