Analysis of Symmetric and Asymmetric Nonlinear Causal Relationship between Stock Prices and Exchange Rates for Selected Emerging Market Economies

Analysis of Symmetric and Asymmetric Nonlinear Causal Relationship between Stock Prices and Exchange Rates for Selected Emerging Market Economies

This study investigates the symmetric and the asymmetric nonlinear causal relationship between exchange rates and stock prices in BRICS and Turkey. To this end, the Mackey-Glass model allowing to test the symmetric and asymmetric nonlinear causality by identifying the types of feedbacks of the relat...

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Bibliographic Details
Main Authors: Veli YILANCI, Şeref BOZOKLU
Format: Article
Language:English
Published: Dogus University 2015-11-01
Series:Doğuş Üniversitesi Dergisi
Subjects:
Mackey-Glass Model
Symmetric and Asymmetric Causality
Stock Prices
Exchange Rates
Nonlinear Causality
Online Access:http://journal.dogus.edu.tr/index.php/duj/article/view/835/pdf_168

Internet

http://journal.dogus.edu.tr/index.php/duj/article/view/835/pdf_168

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