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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Article Information
Journal: Business and Economics Research Journal
Title of Article: The Analysis of Relationship between the Rate of Stock Return and Interest Rate with Nonlinear Methods: The Case of Turkey
Author(s): Yusuf Ekrem Akbas
Volume: 4
Number: 3
Year: 2013
Page: 21-40
ISSN: 1309-2448
Abstract

In this study, it was analyzed the structure of stationary of Istanbul Stock Exchange return rate and interest rate series and whether it’s are linear in the period of 1986:01-2012:07. It was used linearity and unit root tests developed by Caner and Hansen (2002). As a result of these tests, it was concluded that the series are non-linear and both of series have two regimes. Besides, it was concluded that both of two regimes have unit root in the series of interest rate and first regime has stationary, second regime has also unit root in Istanbul Stock Exchange return rate series. Finally, the model in which Istanbul Stock Exchange is dependent variable, interest rate is explanatory variable was analyzed whether there is a co integration with Hansen-Seo (2002) test. As a result of analysis it was determined the co integration relationship between the interest rate and Istanbul Stock Exchange return rate.

Keywords: Stock Return Rate, Interest Rate, Non-linearity, Non-Linear Unit Root Test, Non-Linear Cointegration Test, Turkey.

JEL Classification: E44, E43, C22

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