TY  - JOUR
T1  - Hisse Senedi Piyasası Oynaklığı Konjonktür Dalgalanmalarını Nasıl Etkiler? Türkiye’den Asimetrik Kanıtlar
TT  - How Does Stock Market Volatility Affect Business Cycles? Asymmetric Evidence from Türkiye
AU  - Karagöl, Veysel
PY  - 2023
DA  - September
Y2  - 2023
DO  - 10.30784/epfad.1303396
JF  - Ekonomi Politika ve Finans Araştırmaları Dergisi
JO  - EPF Journal
PB  - Economic and Financial Research Association
WT  - DergiPark
SN  - 2587-151X
SP  - 467
EP  - 481
VL  - 8
IS  - 3
LA  - tr
AB  - Bu çalışmanın amacı, 1998-2022 çeyreklik dönemi için, Türkiye’de hisse senedi piyasası oynaklığının konjonktür dalgalanmalarını nasıl etkilediğini araştırmaktır. Hisse senedi piyasası oynaklığını ve konjonktür dalgalanmalarını temsilen, sırasıyla, Borsa İstanbul 100 endeksi getiri serisi (RBIST) ve trendden arındırılmış reel Gayri Safi Yurtiçi Hasıla (BC) değişkenleri kullanılmıştır. Bu oynaklığın, konjonktür dalgalanmalarının genişleme ve daralma aşamalarındaki etkilerini ayrıştırabilmek adına asimetrik yöntemlerden yararlanılmıştır. İlk olarak Markov rejim değişim GARCH (MS-GARCH) yöntemiyle konjonktür dalgalanmaları, genişleme ve daralma rejimleri altında incelenmiştir. MS-GARCH yönteminin bulgularına göre, RBIST, BC’yi her iki aşamada da negatif etkilemektedir. Ancak 2000’li yılların başında yaşanan Bankacılık Krizi, Küresel Finansal Kriz, 2016 ve 2018 Döviz krizleri ile son yaşanan Covid-19 Pandemisi gibi daralma aşamalarında söz konusu etki nispeten daha büyüktür. İkinci olarak ise bulguları daha güçlü kılmak adına, doğrusal olmayan ARDL (NARDL) yöntemi uygulanmıştır. NARDL yönteminin bulguları, kısa dönemde, MS-GARCH yönteminden elde edilen bulguları desteklemektedir. Kısa dönemde RBIST’in pozitif ve negatif bileşenlerinin, BC üzerindeki etkisi negatif, ancak uzun dönemde pozitif ve simetriktir. Genel olarak çalışmanın bulguları, politika yapıcıların, hisse senedi piyasasındaki oynaklık ile konjonktür dalgalanmaları arasındaki ilişkinin doğrusal olmayan özelliklerini dikkate alması gerektiğini göstermektedir.
KW  - Hisse Senedi Piyasası Oynaklığı
KW  - Konjonktür Dalgalanmaları
KW  - MS-GARCH
KW  - NARDL
KW  - Türkiye
N2  - This study aims to investigate how stock market volatility affects business cycles in Turkey for the quarterly period 1998-2022. Borsa Istanbul 100 index return series (RBIST) and detrended real Gross Domestic Product (BC) are employed to proxy stock market volatility and business cycles, respectively. Asymmetric methods are used to decompose the effects of this volatility in the expansion and contraction phases of business cycles. First, business cycles are examined under the expansion and contraction regimes by the Markov regime-switching GARCH (MS-GARCH) method. According to the findings of the MS-GARCH method, RBIST negatively affects BC in both phases. However, this effect is relatively greater during contraction phases such as the Banking Crisis in the early 2000s, the Global Financial Crisis, the 2016 and 2018 Currency Crises, and the recent Covid-19 Pandemic. Second, the non-linear ARDL (NARDL) method is applied to robust the findings. The findings of the NARDL method in the short run corroborate the findings obtained from the MS-GARCH method. The positive and negative components of RBIST have a negative effect on BC in the short run, but it is positive and symmetric in the long run. Overall, the findings of the study suggest that policymakers should consider the non-linear characteristics of the relationship between stock market volatility and business cycles.
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UR  - https://doi.org/10.30784/epfad.1303396
L1  - https://dergipark.org.tr/en/download/article-file/3168888
ER  -