ENFLASYONUN HİSSE SENEDİ GETİRİLERİNE ETKİSi: İMKB 100 ENDEKSİ ÜZERİNE BİR UYGULAMA

Year 2008, Volume: 12 Issue: 2, 427 - 435, 18.02.2010

Mukadder Horasan

Abstract

Hisse senedi getirileri ve enflasyon arasındaki iliski finans literatüründe
pek çok arastırmaya konu olmustur. Bu iliski hakkında değisken etkisi hipotezi,
iki değisken arasında iliskinin pozitif olabileceğini ileri süren Fisher tarafından
ileri sürülmüstür. Diğer arastırmacılar bu iki değisken arasında negatif bir iliski
bulmuslardır. Bu makalede Türkiye’de hisse senedi getirileri ve enflasyon
arasındaki iliski incelenmistir. Çalısmada 1990–2007 yılları arası veriler
kullanılmıstır. Zaman serisi analizi sonuçlarına göre hisse senedi getirileri ve
enflasyon arasında pozitif iliski gözlenmistir.

Anahtar Kelimeler: Hisse senedi getirileri, enflasyon

 

Abstract : The relationship between inflation and stock returns is one of the most
interested issue in finance literature. About this relationship, “Proxy-effect
hypothesis” proposed by Fisher states that the relationship between these two
variables must be positive. But other researches found a negative relationship. In
this paper the relationship between inflatiın and stock returns in Türkiye is
examinated. In this study 1990-2007 data was used. Time series analysis results
show that there is a positive relationship between stock returns and inflation.

Key Word: Stock returns, inflations

Keywords

Hisse senedi getirileri, enflasyon

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