The effect of real effective exchange rate on bist petroleum, plastics, chemicals index

The purpose of this study is to test whether the competitive exchange rate, which is measured by real effective exchange rate in here, has an effect on the return of the chemistry industry in the stock exchange or not. The study consists of three sections that the effect of real effective exchange rate on the BIST Chemistry Industry. In the first section of the study, descriptions about exchange rates, types of exchange rates, factors that affect exchange rates and its history are examined. In the second section, description of Istanbul Stock Exchange, companies that are traded in chemistry industry and distribution of companies based on their group of products are tried to be explained. Besides, variables that are affected from real effective exchange rate and cost and risk factors that affect chemistry industry are also explained. In the third and the last section of the study, cost and risk factors that affect the chemistry, petrolium and plastik index are analyzed between the periods of 2013-2022. Log-log, quasi differenced and first difference models are formed as constant elasticity models in the study. In addition to Gauss-Markov assumption heteroskedasticity problem is also considered fort he variables in the research. Besides, in order to getr id off the heteroskedasticity, auto correlation and time trend problems log-log model is quasi differenced based on Cohrane-Orcutt and then standart errors of the coefficients of variables Heteroskedasticity Auto Correlation (HAC) developed by Newey-West is used and this model is used as the final model in our study. As a result of the study, it found that the percentage change in real effective exchange rate has no effect on the return of the chemistry industry index and the direction of this effect is very near to zero is tested with the two hypotheses that are formed in this study. It is proved with the test of these two hypotheses that percentage change in the competitive exchage rate (real effective exchange rate) does not have any effect to the return of chemistry industry.