Effects of FX on ETF Prices: Evidence from BIST

Year 2024, Volume: 32 Issue: 59, 207 - 222, 31.01.2024

Tayfur Bayat Altuğ Murat Köktaş Selim Kayhan Gökhan Konat

https://doi.org/10.17233/sosyoekonomi.2024.01.09

Abstract

This study better investigates the possible relationship between exchange rates and ETF prices in the BIST to understand ETF investors' behaviour in the Turkish economy. Conventional and Fourier-based co-integration and causality analysis methods were employed to test models. According to findings, although the exchange rate has no direct effect on ETF prices in Türkiye, it is effective on ETF prices indirectly via the risk and share of foreign investors. The originality of the study lies in models built with additional control variables. In doing so, we measure the direct and indirect effects of the exchange rate on the Turkish economy.

Keywords

ETF, MSCI Türkiye, Fourier Toda-Yamamoto Causality Test

Döviz Kurunun BYF’ler Üzerindeki Etkileri: BİST’ten Kanıtlar

Abstract

Bu çalışma, Türkiye ekonomisinde BYF (Borsa Yatırım Fonu) yatırımcılarının davranışlarını daha iyi anlamak için döviz kurları ile BİST'teki BYF fiyatları arasındaki olası ilişkiyi araştırmaktadır. Modelleri test etmek için geleneksel ve Fourier tabanlı eş-bütünleşme ve nedensellik analizi yöntemleri kullanılmıştır. Elde edilen bulgulara göre, döviz kurunun Türkiye'deki BYF fiyatları üzerinde doğrudan bir döviz kuru bulunmamakla birlikte, yabancı yatırımcıların riski ve payı aracılığıyla BYF fiyatı üzerinde dolaylı bir etkisi bulunmaktadır. Bu çalışmanın özgünlüğü ek kontrol değişkenleri ile oluşturulan modellerde yatmaktadır. Kurulan model sayesinde döviz kurunun Türkiye ekonomisindeki doğrudan ve dolaylı etkilerini ölçme şansı oluşmuştur.

Keywords

BYF, MSCI Türkiye, Fourier Toda-Yamamoto Nedensellik Testi

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