“…Several researches that analyze the changes of the exchange rate on stock returns, includes Yang and Chang (2008), Kohler (2010), Mingjie and Tang (2007), Agrawal, Srivastav and Srivastava (2010), Kasman, Vardar, and Tunç (2011), Chkili and Nguyen (2013), Purnomo and Rider (2012), Pan, Fok, and Liu (2007), Rahman and Uddin (2009), Kutty (2010), Zhao (2010), and Sinha and Kohli (2015), For example, the importance of the effect of exchange rate movements on stock prices can be observed in the Asian crisis of 1997-1998, which explains the dynamic relationship between stock prices and exchange rates. During the crisis period, it were observed that stock markets fell due to the depreciation of the exchange rate in developing countries.…”