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Volatility Spillover Effects Between Stock Prices and Exchange Rates in Emerging Economies: Evidence from Turkey

机译：新兴经济体股价与汇率之间的波动性溢出效应：来自土耳其的证据

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Volatility spillover effects between stock prices and exchange rates in emerging countries are a critical focus in the financial economics research arena. This paper focused to investigate the volatility spillover effects between stock prices and exchange rates of Istanbul stock exchange (ISE) by employing an exponential generalized autoregressive condition heteroskedasticity (EGARCH) model. The period of study covered 11 years (i.e. 2005 to 2015) inclusive a period of the global financial crises (i.e. from 2005 to 2009) which resulted out from subprime mortgage in United States of America (USA).Our results suggest an existence of short run relationship between stock prices and exchange rates in Istanbul stock exchange (ISE).This empirical evidence suggest that there is symmetric volatility spillover between stock prices and exchange rates of Istanbul stock exchange (ISE) for full sample employed as a result good and bad news has got a balanced effect to the market. The findings of the significant volatility spillover effects between exchange rates and stock prices suggest that, the markets are informationally efficient and one market exchange rate has significant predictive power of equal weight to another in case of two markets. Our study recommends investors and multinational firm managers to consider the general behaviour of the financial market before making decision whether to invest in or not since there is existence of relationship and volatility spillover between stock prices and exchange rates meanwhile economic policy makers both in Turkey and outside Turkey should consider these findings in their policy as one of the determinant to economic growth, as macroeconomic variable should be stable like exchange rates. Furthermore, this study may be extended after including of other variables which were not considered in this study like interest rate, inflation and agency theory.
机译：新兴国家的股票价格与汇率之间的波动性溢出效应是金融经济学研究领域的关键重点。本文集中于调查股票价格与伊斯坦布尔证券交易所（ISE）汇率之间的挥发性溢出效应通过雇用指数广泛的归共条件异质瘢痕（蜂酸）模型。 11年（即2005年至2015年）涵盖的学习期限（即2005年至2015年）全球金融危机（即2005年至2009年），这是从美利坚合众国（美国）的次级抵押贷款所产生的。我们的结果表明存在短暂的存在在伊斯坦布尔证券交易所（ISE）之间的股票价格与汇率之间的关系。本质证据表明，股票价格与伊斯坦布尔证券交易所（ISE）的汇率之间存在对称的波动性溢出，这是一个良好和坏消息所用的完整样本对市场有均衡的影响。汇率与股票价格之间的显着波动溢出效应的调查结果表明，市场上市场效率高，在两家市场的情况下，一个市场汇率对另一个市场的重量具有重要预测力。我们的研究建议投资者和跨国公司管理人员在决定是否投资或否则股票价格与汇率之间存在关系和波动溢出的决定，以便在土耳其和外部的经济政策制定者之间存在关系和波动溢出土耳其应将这些调查结果视为经济增长的决定因素之一，因为宏观经济变量应该是稳定的汇率。此外，该研究可以在包括在本研究中不考虑的其他变量之后延长，如利率，通货膨胀和机构理论。

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