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Abstract


THE ANALYSIS OF RELATIONSHIP CAUSALITY BETWEN ECONOMIC GROWTH, EXPORT AND STOCK PRICES IN TURKEY
The aim of this study is to analyze the relationship between stock prices and economic growth, export, inflation and exchange rates in 2005:01 and 2017:12 periods. The stability of the variables was analyzed by unit root test (ADF, PP) and a structural cracking (Zivot-Andrews) unit root test. Whether there is a long-term relationship between variables was investigated by Gregory-Hansen structural fracture cointegration test. According to Gregory-Hansen cointegration test results; there is no long-term relationship between variables. The causality relationship between the variables was examined with Toda-Yamamoto, Hatemi-J (2012) Asymmetric Causality Test. According to the Toda-Yamamoto causality test, there is a two-way causality relationship between economic growth and stock prices. According to Hatemi-J (2012) asymmetric causality test; it is observed that negative shocks in economic growth have the causality towards negative shocks in the stock market. In addition, there is a causality towards positive shocks in economic growth from positive shocks in stock markets. The positive shock in the exchange rate showed that there was a causality towards negative shocks in the stock market.According to Hatemi-J (2012) asymmetric causality test; it is observed that negative shocks in economic growth have the causality towards negative shocks in the stock market. In addition, there is a causality towards positive shocks in economic growth from positive shocks in stock markets. The positive shock in the exchange rate showed that there was a causality towards negative shocks in the stock market.

Keywords
Stock Price, Economic Growth, Export, Causality Test.


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