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

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

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

References

  • Balduzzi Pierluigi, “Stock Returns, Inflation, and The ‘Proxy Hypothesis’: A New Look at the Data”, Economic Letters, Vol:48, No:1, April 1995, pp:47–53.
  • Boyle Glenn W. and Leslie Young, “Stock Returns, Inflation, and Interest Rates: Ex Post and Ex Ante Relationships”, International Review on Financial Analysis, Vol:1, No:1, 1992, pp:65–76.
  • Chatrath Arjun, Sanjay Ramchander and Frank Song, “Stock Prices, Inflation and Output: Evidence from India”, Journal of Asian Economics, Vol:7, No:2, Summer 1996, pp:237–245.
  • Chopin Marc and Maosen Zhong, “Stock Returns, Inflation and Macroeconomy: http://papers.ssrn.som/sol3/papers.cfm?abstract tarihi: 20.10.2008, May 10, 2000. and Short-Run Dynamics”, id=294500, indirilme
  • Choudhry Taufiq, “Inflation and Rates of Return on Stocks: Evidence from High Inflation Countries”, Journal of International Finance Markets, Institutions and Money, 11, 2001, pp: 75–96.
  • Crosby Mark, “Stocks Returns and Inflation”, Australian Economic Papers, Blackwell Publishing, Vol: 40 (2), June 2001, pp: 156–165.
  • Duman Mehmet ve Osman Karamustafa, “Türkiye’de Hisse senedi getirileri, Enflasyon ve Reel Üretim İlişkisi”, Muhasebe ve Finansman Dergisi, Sayı:21, Ocak 2004, ss:94–100.
  • Fama Eugene, “Stock Returns, Real Activity, Inflation, and Money”, American Economic Review, 71, 1981, pp:545–565.
  • Firth Michael, “The Relationship Between Stock Market Returns and Rates of Inflation”, The Journal of Finance, Vol:34, No: 3, Jun, 1979, pp:743– 749.
  • Floros Christos, “Stock Returns and Inflation in Greece”, Applied Econometrics and International Development, Vol:4, No:2, 2004.
  • Galagher L. A. and M. P. Taylor, “The Stock Return-Inflation Puzzle Revisited”, Economics Letters, Vol:75, No:2, April 2002, pp:147–156.
  • Gautam Kaul, “Stock Returns and Inflation: The Role of the Monetary Sector”, Journal of finance Economics, Vol:18, No:2, June 1987, pp:253–276.
  • Kim Jeong-Reyol, “The Stock Return-Inflation Puzzle and The Asymmetric Causality in Stock Return, Inflatin and Real Activity”, Economics Letters, Vol: 8, No:2, Agust, 2003, pp: 155–160.
  • Lee Bong-Soo, “Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation”, The Journal of Finance, 47, 1992, pp:1591– 1603.
  • Lutz Jack, “ Inflation and Timberland Returns”, Forest Research Notes, Vol:4, No:3, 3rd Qtr, 2007, pp:1–7.
  • Mandelker Gershon and Kishore Tandon, “Common Stock Returns, Real Activity, Money, and Inflation: SOme International Evidence”, Journal of International Money and Finance, Vol:4, No:2, June 1985, pp:267– 286.
  • McCarthy Joseph, Mohammad Najand and Bruce Seifert, “Empirical Test of the Proxy Hypothesis”, The Financial Review, Vol:25, No:2, May 1990, pp:251–263.
  • Najand Mohammad and Gregory Noronha, “Causal Relations among Stock Returns, Inflation, Real Activity, and Interest Rates: Evidence from Japan”, Global Finance Journal, 9(1), 1998, pp:71–80.
  • Nelson Charles R., “ Inflation and Rates of Return on Common Stocks”, The Journal of Finance, Vol:31, No:2, May, 1976, pp:471–483.
  • Sangbae Kim and Francis In, “The Relationship Between Stock Returns and Inflation: New Evidence from Wavelet analysis”, Journal of Empirical Finance, Vol:12, 2005, pp:435–444.
  • Sharpe Steven A., “Stock Prices, Expected Returns, and Inflation”, Finance and Economics Discussion Series Working Paper, No:99–2, Agust 1999.
  • Unro Lee, “ A Test of the Proxy-Effect Hypothesis: Evidence from the Pasific Basin Countries”, Quarterly Journal of Business and Economies, Vol:37, June 22 1998, pp:1–6.
  • Wahlroos Björn and Tom Berglund, “Stock Returns, Inflationary Expectations and Real Activity New Evidence”, Journal of Banking&Finance, Vol:10, No:3, October 1986, pp:377–389.
Year 2008, Volume: 12 Issue: 2, 427 - 435, 18.02.2010

Abstract

References

  • Balduzzi Pierluigi, “Stock Returns, Inflation, and The ‘Proxy Hypothesis’: A New Look at the Data”, Economic Letters, Vol:48, No:1, April 1995, pp:47–53.
  • Boyle Glenn W. and Leslie Young, “Stock Returns, Inflation, and Interest Rates: Ex Post and Ex Ante Relationships”, International Review on Financial Analysis, Vol:1, No:1, 1992, pp:65–76.
  • Chatrath Arjun, Sanjay Ramchander and Frank Song, “Stock Prices, Inflation and Output: Evidence from India”, Journal of Asian Economics, Vol:7, No:2, Summer 1996, pp:237–245.
  • Chopin Marc and Maosen Zhong, “Stock Returns, Inflation and Macroeconomy: http://papers.ssrn.som/sol3/papers.cfm?abstract tarihi: 20.10.2008, May 10, 2000. and Short-Run Dynamics”, id=294500, indirilme
  • Choudhry Taufiq, “Inflation and Rates of Return on Stocks: Evidence from High Inflation Countries”, Journal of International Finance Markets, Institutions and Money, 11, 2001, pp: 75–96.
  • Crosby Mark, “Stocks Returns and Inflation”, Australian Economic Papers, Blackwell Publishing, Vol: 40 (2), June 2001, pp: 156–165.
  • Duman Mehmet ve Osman Karamustafa, “Türkiye’de Hisse senedi getirileri, Enflasyon ve Reel Üretim İlişkisi”, Muhasebe ve Finansman Dergisi, Sayı:21, Ocak 2004, ss:94–100.
  • Fama Eugene, “Stock Returns, Real Activity, Inflation, and Money”, American Economic Review, 71, 1981, pp:545–565.
  • Firth Michael, “The Relationship Between Stock Market Returns and Rates of Inflation”, The Journal of Finance, Vol:34, No: 3, Jun, 1979, pp:743– 749.
  • Floros Christos, “Stock Returns and Inflation in Greece”, Applied Econometrics and International Development, Vol:4, No:2, 2004.
  • Galagher L. A. and M. P. Taylor, “The Stock Return-Inflation Puzzle Revisited”, Economics Letters, Vol:75, No:2, April 2002, pp:147–156.
  • Gautam Kaul, “Stock Returns and Inflation: The Role of the Monetary Sector”, Journal of finance Economics, Vol:18, No:2, June 1987, pp:253–276.
  • Kim Jeong-Reyol, “The Stock Return-Inflation Puzzle and The Asymmetric Causality in Stock Return, Inflatin and Real Activity”, Economics Letters, Vol: 8, No:2, Agust, 2003, pp: 155–160.
  • Lee Bong-Soo, “Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation”, The Journal of Finance, 47, 1992, pp:1591– 1603.
  • Lutz Jack, “ Inflation and Timberland Returns”, Forest Research Notes, Vol:4, No:3, 3rd Qtr, 2007, pp:1–7.
  • Mandelker Gershon and Kishore Tandon, “Common Stock Returns, Real Activity, Money, and Inflation: SOme International Evidence”, Journal of International Money and Finance, Vol:4, No:2, June 1985, pp:267– 286.
  • McCarthy Joseph, Mohammad Najand and Bruce Seifert, “Empirical Test of the Proxy Hypothesis”, The Financial Review, Vol:25, No:2, May 1990, pp:251–263.
  • Najand Mohammad and Gregory Noronha, “Causal Relations among Stock Returns, Inflation, Real Activity, and Interest Rates: Evidence from Japan”, Global Finance Journal, 9(1), 1998, pp:71–80.
  • Nelson Charles R., “ Inflation and Rates of Return on Common Stocks”, The Journal of Finance, Vol:31, No:2, May, 1976, pp:471–483.
  • Sangbae Kim and Francis In, “The Relationship Between Stock Returns and Inflation: New Evidence from Wavelet analysis”, Journal of Empirical Finance, Vol:12, 2005, pp:435–444.
  • Sharpe Steven A., “Stock Prices, Expected Returns, and Inflation”, Finance and Economics Discussion Series Working Paper, No:99–2, Agust 1999.
  • Unro Lee, “ A Test of the Proxy-Effect Hypothesis: Evidence from the Pasific Basin Countries”, Quarterly Journal of Business and Economies, Vol:37, June 22 1998, pp:1–6.
  • Wahlroos Björn and Tom Berglund, “Stock Returns, Inflationary Expectations and Real Activity New Evidence”, Journal of Banking&Finance, Vol:10, No:3, October 1986, pp:377–389.
There are 23 citations in total.

Details

Primary Language tr; en
Journal Section Makaleler
Authors

Mukadder Horasan This is me

Publication Date February 18, 2010
Published in Issue Year 2008 Volume: 12 Issue: 2

Cite

APA Horasan, M. (2010). ENFLASYONUN HİSSE SENEDİ GETİRİLERİNE ETKİSi: İMKB 100 ENDEKSİ ÜZERİNE BİR UYGULAMA. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 12(2), 427-435.

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