In this paper, we examined the dynamic linkages between financial markets of Turkey by using frequency domain causality analysis, proposed by Breitung and Candelon (2006), for the weekly Turkish data from 2003 to 2015. The results show that there are volatility spillovers from stock market returns to interest rate and EURO both in the mid and long terms, and short and medium-terms to U.S. Dollar; but, from U.S. Dollar to stock market returns in the short-term. In the long-run, EURO exchange rate Granger cause to interest rate; but, interest rate Granger cause to EURO exchange rate in the short-run. On the other hand, there is no evidence of volatility spillovers from EURO and interest rate to stock market returns. Based on these results, we can conclude that there are certain degree of interdependence and volatility spillovers among the financial markets of Turkey, which have serious policy implications.

One of the important variables for investors is the price of stocks and so that the variables that affect the price of the stocks. There are many indicators and methods such as fundamental and technical analysis that investors can use in valuing these instruments. Fundamental analysis, and financial ratios are tools that are generally used in investments process. Especially price-earnings ratio and dividend yield ratio are traditional financial ratios which are used to forecast the performance of the stock. In this context, the purpose of this study is to analyze the relationships between the price, price-earnings ratio and dividend yield ratio of the companies that are listed at BIST Banking sub-sector. In this context, in line with the aim of the study monthly price, price-earnings ratio and dividend yield ratio of VAKBN; ISCTR; HALKB; GARAN; AKBNK stocks between 2008M10-2017M3 will be analyzed by VAR methodology. Results show that the relationships between the abovementioned variables changes in size and direction from bank to bank.

The relationship between exchange rate and stock indices has risen many eyebrows so far. These two fundamental financial markets have a significant role in international business all around the globe. Furthermore, exchange rate is one of the most important indicators that rules in the decision-making process in all firms. In order to understand the relationship between the two variables this paper tried to investigate the relationship between exchange rate of USD/TL and BIST-100 index in Turkish stock market. The data have been collected from January 2009 to March 2020 based on monthly data. VAR model is applied in the study to exam the connections between the variables. The findings reveal that there is only a one-way causality between the variables. Nevertheless, the impulse response results show a negative impact from the shocks of each variable to another. Dünyada kullanılan para birimleri arasında Amerikan Doları daha sık kullanılmış ve ulusal para olarak kabul edilmiştir. Bu nedenle uluslararası ticarette de yerini almış, bununla beraber ülkelerin borsa endekslerini de etkilemiştir. Bu çalışmanın amacı BİST-100 endeksi ile döviz kurları arasında kısa dönemde bir ilişki olup olmadığını, VAR modeli ile araştırmaktır. Bu amaçla, USD/TL kuru paritesinin BİST-100 endeksine etkisi incelenmiştir. Veri seti olarak 2009 yılının Ocak ayından 2020 yılının Mart ayına kadar aylık veriler kullanılmıştır. Yapılan analiz sonucunda elde edilen bulgulara göre BİST-100 endeksi ile USD/TL kuru arasında tek yönlü nedensellik ilişkisi tespit edilmiştir. Bununla beraber etki-tepki fonksiyonları anlamlı olup her iki değişkenin de birbirlerinden gelen şoklarda negatif tepki verdikleri gözlemlenmiştir.

The aim of this study was to investigate the causal relations between COVID-19 economic supports and Bitcoin markets. For this purpose, we first determined the degree of the integration of variables by implementing Fourier Augmented Dickey–Fuller unit root tests. Then, we carried out both linear (Bootstrap Toda–Yamamoto) and non-linear (Fractional Frequency Flexible Fourier form Toda–Yamamoto) causality tests to consider the nonlinearities in variables, to determine if the effects of multiple structural breaks were temporary or permanent, and to evaluate the unidirectional causality running from COVID-19-related economic supports and the price, volatility, and trading volume of Bitcoin. Our study included 158 countries, and we used daily data over the period from 1 January 2020 and 10 March 2022. The findings of this study provide evidence of unidirectional causalities running from COVID-19-related economic supports to the price, volatility, and trading volume of Bitcoin in most of the countries in the sample. The application of non-linear causality tests helped us obtain more evidence about these causalities. Some of these causalities were found to be permanent, and some of them were found to be temporary. The results of the study indicate that COVID-19-related economic supports can be considered a major driver of the surge in the Bitcoin market during the pandemic.

The study aims to determine the asymmetric relationships between Borsa Istanbul sector index volatilities and economic policy uncertainties of different regions and countries. For this purpose, the relationships between the European Region, Germany, France, England, Italy and Global Economic Policy Uncertainty Indices and Borsa Istanbul 30, Services, Financial, Industrial and Technology sector indices volatilities were analyzed using the Hatemi-J Asymmetric Causality Test. The most important finding obtained from the study is that there is a causal relationship between the increases experienced in all economic policy uncertainty indices and the increases experienced in sector index volatilities. However, no causal relationship was determined between the decreases experienced in economic policy uncertainty indices and the decreases experienced in sector index volatilities. Another finding from the study is that there are asymmetric relationships between all economic policy uncertainty indices and sector index volatilities, while the industrial sector index volatility has an asymmetric relationship with all economic policy uncertainty indices.