مرکز منطقه ای اطلاع رساني علوم و فناوري - THE RELATIONSHIP BETWEEN FINANCIAL ASSET PRICES AND STOCK RETURN: AN APPLICATION ON TURKEY EVIDENCE

Abstract :

Financial impact of globalization and internationalization of capital in the world, to gain an identity, the country vulnerable to external factors outside of their economies can make the internal dynamics. Directly or indirectly, capital flowing to countries, two important variables such as interest and exchange rates can affect very seriously. Thus, the impact of the economy over the balance of payments, even with the country s economic policy has been impact. However, the study outside of these two important variables, are included in the price of gold. One of the most important reasons for this, in recent years showing a significant improvement and reserves of central banks in many developed and developing countries, and of a return below the serious demand by pushing up the price of gold, its affect on other macro-economic variables. In this study, the deposit interest rate in Turkey, the USD / TL exchange rate and international gold (ounce) prices on the Istanbul Stock Exchange (ISE) investigated the degree to affect the return on USD-based. In this context, the presence of short-and long-term relationship ADF, DF-GLS unit-root and Dolado and Lütkepohl Granger causality analysis has been tested. In addition, the ISE-based return on USD deposit interest rate, the USD / TL exchange rate and gold price series in order to determine if it contains the structural break Zivot-Andrews (1992) and Lee-Strazicich (2003) structural break tests are completed. As a result, the; USD / TL exchange rate and return on the ISE between the USD-based two-way causal relationship is present, the USD-based deposit interest rates, the return on the ISE is a unidirectional causality. Gold prices in the ISE is in the interaction with the opposite. In other words, the ISE is the investor s choice gold. This feature continues to be the safe haven of gold shows that clearly.Keywords: Gold, USD, Exchange Rate, Interest Rate, Istanbul Stock Exchange (ISE).