Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries

Remzi Gök

doi:10.18037/ausbd.550252

Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries

Öz

Bu çalışmada G7 ve E7 ülkelerine ait 1998M01- 2017M08 aylık veriler kullanarak borsa getirisi ve sanayi üretimi arasındaki ilişkinin varlığı, derecesi ve yönü, zaman ve frekans bazlı teknikler yardımıyla araştırılmıştır. Kullanılan metodun gücü, kimi zaman değişkenler arasındaki ilişkiyi ortaya çıkarmada yetersiz kalabilir. Bu doğrultuda, farklı zaman periyotlarında saklı ilişkinin gerçek dinamikleri ortaya çıkarmak için dalgacıklar analizi kullanılmıştır. Yapısal kırılmalı birim kök test sonucuna göre iki ülke değişkenleri hariç, değişkenler I(1) ya da I(0) bulunmuştur. Birim köklü değişkenler arasında kısa dönemde geçerli çift yönlü ve uzun dönemlik tek yönlü nedensellik sonucuna ulaşılmıştır. Elde edilen zaman bazlı test bulgularına göre endeks getirisinden büyümeye doğru anlamlı nedensellik ilişkisi bulunmuştur. Büyüme değişkeninden endeks getirisine doğru bazı ülkeler için anlamlı sonuçlar ortaya çıkmıştır. Anlamlı ilişkilerin hangi zaman frekanslarında geçerli olduğunu ve standart metotların ortaya çıkaramadığı anlamlı ilişkiyi bulmak için dalgacıklar metoduna başvurma ihtiyacı duyulmuştur. Yapılan analiz sonuçlarına göre tüm ülkeler için geçerli çift yönlü nedensellik ilişkisine ulaşılmıştır. Diğer taraftan, dalgacık bazlı borsa varyansının sanayi üretimi varyansından daha yüksek olduğu, ayrıca, volatilitenin büyük bir çoğunluğunun kısa dönem değişmelerle açıklanabildiği görülmüştür. Son olarak, ölçek sayısı arttıkça dalgacık varyansının azaldığı, korelasyon katsayısının ise artığı gözlemlenmiştir. Elde edilen bulgular, klasik yöntemlerin yetersiz kaldığı alanda dalgacıkların belirli zaman periyotlarında, piyasa katılımcıları ve piyasa yapıcıları için, daha önemli sonuçları ortaya koyabildiğini göstermektedir.

Anahtar Kelimeler

Dalgacıklar,Frekans,Simetrik,Granger

Kaynakça

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Ayrıntılar

Birincil Dil

Türkçe

Konular

-

Bölüm

Araştırma Makalesi

Yazarlar

Remzi Gök

Yayımlanma Tarihi

21 Mart 2019

Gönderilme Tarihi

8 Şubat 2018

Kabul Tarihi

17 Şubat 2018

Yayımlandığı Sayı

Yıl 2019 Cilt: 19 Sayı: 1

DOI

https://doi.org/10.18037/ausbd.550252

IZ

https://izlik.org/JA92RK97MC

Kaynak Göster

RIS / Bibtex

APA

Gök, R. (2019). Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 19(1), 109-136. https://doi.org/10.18037/ausbd.550252

AMA

1.Gök R. Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries. AÜSBD. 2019;19(1):109-136. doi:10.18037/ausbd.550252

Chicago

Gök, Remzi. 2019. “Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries”. Anadolu Üniversitesi Sosyal Bilimler Dergisi 19 (1): 109-36. https://doi.org/10.18037/ausbd.550252.

EndNote

Gök R (01 Mart 2019) Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries. Anadolu Üniversitesi Sosyal Bilimler Dergisi 19 1 109–136.

IEEE

[1]R. Gök, “Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries”, AÜSBD, c. 19, sy 1, ss. 109–136, Mar. 2019, doi: 10.18037/ausbd.550252.

ISNAD

Gök, Remzi. “Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries”. Anadolu Üniversitesi Sosyal Bilimler Dergisi 19/1 (01 Mart 2019): 109-136. https://doi.org/10.18037/ausbd.550252.

JAMA

1.Gök R. Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries. AÜSBD. 2019;19:109–136.

MLA

Gök, Remzi. “Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries”. Anadolu Üniversitesi Sosyal Bilimler Dergisi, c. 19, sy 1, Mart 2019, ss. 109-36, doi:10.18037/ausbd.550252.

Vancouver

1.Remzi Gök. Dynamic Wavelet-Based Causal Relationship between Equity Returns and Aggregate Economic Activity in G7 and E7 Countries. AÜSBD. 01 Mart 2019;19(1):109-36. doi:10.18037/ausbd.550252