The Dynamic Relationships between Stock Market Capitalization Rate and Interest Rate in Turkey

Dublin Core

Title

The Dynamic Relationships between Stock Market Capitalization Rate and Interest Rate in Turkey

Author

TORAMAN, Cengiz
BASARIR, Cagatay

Abstract

This paper investigates the long run and short-term relationships between stock market capitalization rate and interest rates in Turkey over the period 1998-2012. Prior to conducting the analysis in a time series, in order to test the stability of the series, a unit root test was initially applied. It is determined that both stock market capitalization rate and interest rate series are not stationary. Long-run relationship is tested by Johansen Cointegration tests and casual relationship is tested by Granger Causality tests. According to the results of the study, there is long-run relationship between stock market capitalization rate and interest rates while there is not causal relationship between stock market capitalization rate and interest rates in short term. Keywords: Stock Market Capitalization Rate, Interest Rates, Cointegration, Vector Error Correction Model (VECM), Causality.

Keywords

Article
PeerReviewed

Identifier

ISSN 978-9958-834-23-3

Publisher

International Burch University

Date

2013-05-10

Extent

1556