Analysis of the relationship between Dollar dry volatility and BIST bank index

The study aimed to measure the relationship between exchange rate volatility and BIST bank index. Variables used in the model Central Bank of the Republic of Turkey Electronic Data Dissemination System (EDDS) is taken from the official site and Istanbul Stock Exchange. There are two variables in the model. Accordingly, the variables in the econometric model established; the independent variable is the US dollar and the dependent variable is the XBANK Index data. In the research period, 2000-2020 daily variables were used. ADF and PP unit root tests were used to determine whether the series was stationary. Following the applied tests, the existence of cointegration relationship between dependent and independent variable in the long term was demonstrated with the help of ARDL model. The reason for using the ARDL model is that the independent variable is stationary at I (0) level, while the dependent variable becomes stationary at I (1). As a result, US dollar exchange rate volatility in the long term between the dates specified in the bank index between Turkey and concluded that significant negative relationship between the years of 2000-2020 has been reached. Finally, it was observed that the variables used with the help of Error Correction Model moved together after 11 periods.