Econometric analysis of the relationship between selected industry indices and exchange rates

The partnerships, which were made together with the development of international markets, have established a close relationship between the exchange rate and shares, which is one of the macroeconomic variables due to investments and capital movements. Foreign exchange rates are a symbol of the countries' commercial power, as well as their political and economic power. Therefore, the relationship between stock and exchange rates in developing countries can change investment and interest. In the first part of the study, the financial system and financial markets are mentioned. In the second section, the definition of foreign exchange rate and the exchange rate varieties were mentioned in macroeconomic factors affecting stock prices; the relationship between monetary supply, inflation, interest rate, GDP and exchange rates. In the third part of the study, information about securities stocks and indexes found in the world and Turkey has been provided. In the fourth part of the study, there is a detailed literature study that examines the relationship between the stock price and the exchange rate from macroeconomic factors. The test and analysis used in our study was then briefly explained and the relationship between BIST Banka and BIST Tourism industry indices and exchange rates was examined. Therefore, the Extended Dickey Fuller Test (ADF) unit root test was first performed. ARDL and NARDL integration analyzes were conducted in order to investigate the relationship between the indexes and exchange rates. As a result of the analysis carried out, an association between the variable XTZRM dependent variable and the GBP independent variable was determined from the ARDL match result. Asymmetrical co-integration relationship between XTZRM and GBP has been established according to the NARDL co-integration relationship. It was reached that a shock at the independent variable GBP had a positive effect on the XTRZM dependent variable.