HARMONIC ANALYSIS OF THE LONG-TERM COINTEGRATION BETWEEN PETKIM STOCK PRICES AND USD/TL EXCHANGE RATES

Summary: This study employs harmonic analysis to investigate the relationship between Petkim stock prices and the USD/TL exchange rate. The harmonic analysis is a robust analytical method in modern time series analysis, particularly suitable for data exhibiting stationary characteristics without any apparent trend. This approach emphasizes the importance of considering both linear, nonlinear, and periodic components to fully understand and predict the dynamics of the financial market, demonstrating significant implications for econometric modeling. The dynamics between stock prices and exchange rates attract attention due to their profound impact on economic indicators and investment strategies in the volatile world of financial markets. Our study covers the period from May 1, 2023, to March 29, 2024, marked by significant economic events and policy changes potentially affecting Turkey's capital and currency markets. Consequently, a model with a parabolic (quadratic) trend for both factors and small amplitude sinusoidal and cosinusoidal departures around this trend has been constructed.