The effect of the relationship between Istanbul Stock exchange sector indices and exchange rates on assets in Turkey in time of crisis

With globalization, economic crises, changes in Exchange rates, war periods and natural disasters affect many countries' stock markets. Istanbul Stock Exchange(ISE) is also affected by the high number of foreign shareholding in Istanbul Stock Exchange (ISE) and the fact that it is a developing country. In this study, the relationship between the Istanbul Stock Exchange (ISE) 100 Index, sector indices and exchange rates (EUR/TRY, USD/TRY and EUR/USD) aimed to investigate the change in the crisis period in Turkey. Fort he period 02/1997- 11/2018, the data of ISE 100 index and 22 sector index and foreign Exchange rates (EUR/TRY, USD/TRY and EUR/USD) were used. To investigate stationary, traditional unit root tests ADF(1979), Phillips- Peron (1988) and KPSS (1992) were used. In order to determine the structural breaks in the series; Zivot and Andrews (1992), Lumsdaine and Papell (1992), Lee and Strazicich (2003,2004) and Carrion-i Silvestre (2009) were carried out by unit root tests. The long-term relationship between the series were investigated by cointegration test that are Gregory and Hansen (1992), Hatemi-J (2008) and Maki (2012). As a result, the break dates obtained in the structural breaks unit root and cointegration test results applied to the series are examined; 1998 Russia crisis, November 2000 and Frebruary 2001 banking crises and 2008 housing loan crisis dates were the result of the study of structural breaks. In addition, the break dates outside the crisis were investigated. It is concluded that some of the cases formed a break on the indices. These are the 1999 Earthquakes of Gölcük and Düzce in the Marmara Region, due to Turkey's geopolitical position, which experienced tension between the US-Iraq war in 2003 and the US central bank decided to raise interest rates in May 2004.