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HİSSE SENEDİ PİYASALARI EKONOMİK AKTİVİTEDEKİ DEĞİŞİMLERİN ÖNCÜ GÖSTERGELERİNDEN BİRİ MİDİR?

Year 2021, Volume: 4 Issue: 2, 47 - 69, 31.12.2021

Önder Büberkökü , Celal Kızıldere

https://doi.org/10.38120/banusad.984338

Abstract

Bu çalışmada Türkiye, Brezilya, G. Kore ve Hindistan’dan oluşan dört gelişen piyasa ekonomisi için hisse senedi piyasalarının ekonomik aktivitenin öncü göstergelerinden biri olup olmadığı incelenmiştir. Hisse senedi piyasalarını temsilen ilgili ülkelerin gösterge borsa endeksleri, ekonomik aktiviteyi temsilen sanayi üretim endeksleri kullanılmıştır. Analizlerde Toda-Yamamoto (1995) nedensellik testinin yanı sıra en küçük kareler yöntemi ile kantil regresyon (Quantile regression) yönteminden de yararlanılmıştır. Çalışma bulguları hisse senedi piyasalarının ekonomik aktivitedeki değişimlerin öncü göstergelerinden biri olabileceği sonucuna işaret etmektedir.

Keywords

Hisse senedi piyasaları Ekonomik aktivite Gelişen piyasa ekonomileri

References

  • Aydemir, O. (2008) “Hisse Senedi Getirileri ve Reel Sektör Arasındaki İlişki: Ampirik Bir Çalışma”, Afyon Kocatepe University Journal of Economics and Administrative, X(II): 37-55.
  • Aylward, A. ve Glen, J. (2000) “Some International Evidence on Stock Prices as Leading Indicators of Economic Activity”, Applied Financial Economics, 10: 1-14.
  • Barro, R.J. (1990) “The Stock Market and Investment”, The Review of Financial Studies, 3(1): 115-131.
  • Binswanger, M. (2000) “Stock Market Booms and Real Economic Activity: Is This Time Different?”, International Review of Economics and Finance, 9: 387–415.
  • Binswanger, M. (2004) “Stock Returns and Real Activity in the G-7 Countries: Did the Relationship Change During the 1980s?”, The Quarterly Review of Economics and Finance, 44: 237-252.
  • Blanchard, O., Rhee, C. ve Summers, L. (1993) “The Stock Market, Profit, and Investment”, Quarterly Journal of Economics, 108(1): 115-136.
  • Breush, T.S. ve Pagan, A.R. (1980) “The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics”, The Review of Economics Studies,47(1):239-253.
  • Chen, C.L., Kuan, C.M. ve Lin, C.C. (2007) “Saving and Housing of Taiwanese Households: New Evidence from Quantile Regression Analysis”, Journal of Housing Economics, 16: 102–126.
  • Chevapatrakul, T .(2014) “Monetary Environments and Stock Returns Revisited: A Quantile Regression Approach”, Economics Letters, 123: 122–126.
  • Chevapatrakul, T .(2015) “Monetary Environments and Stock Returns: International Evidence based on the Quantile Regression Technique”, International Review of Financial Analysis, 38: 83-108.
  • Choi, J.J., Hauser, S. ve Kopecky, K.J. (1999) “Does the Stock Market Predict Real Activity? Time Series Evidence from the G-7 Countries”, Journal of Banking & Finance, 23: 1771-1792.
  • Comincioli, B. (1996) “The Stock Market as a Leading Indicator: An Application of Granger Causality”, University Avenue Undergraduate Journal of Economics, 1(1): 1-14.
  • Dickey, D. ve Fuller, W. (1979) “Distribution of the Estimators for Autoregressive Time Series with Unit Root”, Journal of the American Statistical Association, 74: 427-431
  • Domian, D.L. ve Louton, D. (1997) “A Threshold Autoregressıve Analysıs of Stock Returns and Real Economic”, International Review of Economics and Finance, 6(2): 167-179.
  • European Central Bank (2012) “Economic and Monetary Development, Monthly Bulletion”, October: 47-50, https://www.ecb.europa.eu/pub /pdf/other/ mb 201210 _focus05.en.pdf, (04.02.2020).
  • Fama, E.F. (1990) “Stock Returns, Expected Returns, and Real Activity”, The Journal of Finance, 45(4): 1089-1108.
  • Guo, J. (2015) “Causal Relationship Between Stock Returns And Real Economic Growth in the pre- and Post-Crisis Period: Evidence from China”, Applied Economics, 47(1): 12-31.
  • Hassapis, C. ve Kalyvitis, S. (2002) “Investing the Links Between Growth and Real Stock Price Changes with Emprical Evidence from the G-7 Economies”, The Quarterly Review of Economics and Finance ,42: 543-575.
  • Jiranyakul, K. (2012) “The Predictive Role of Stock Market Return for Real Activity in Thailand”, MPRA Paper, No: 45670: 1-13, https://mpra.ub.uni-muenchen.de/45670/, (12.02.2020).
  • Kanas, A. ve Ioannidis, C. (2010) “Causality from Real Stock Returns to Real Activity: Evidence of Regime-Dependence”, International Journal of Finance & Economics, 15: 180-197.
  • Kang, H.H. ve Liu, S.B. (2014) “The Impact of the 2008 Financial Crisis on Housing Prices in China and Taiwan: A Quantile Regression Analysis”, Economic Modelling, 42: 356–362.
  • Kaplan, M. (2008) “The Impact of Stock Market on Real Economic Activity: Evidence from Turkey”, Journal of Applied Sciences, 8(2): 374-378.
  • Karaca, O. (2018) “Borsa Ekonominin Barometresi midir? Türkiye’de Ekonomik Aktivite ile Hisse Senedi Fiyatları Arasındaki Nedensellik İlişkisi”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36 (3): 89-106.
  • Koç, A. (2009) “Borsalar Ekonomilerin Barometresi midir?”, Dünya gazetesi, https://www.dunya.com /kose-yazisi/borsalar-ekonomilerin-barometresi-midir /55 01, (18.02.2020).
  • Koenker, R. ve Bassett, G. (1978) “Regression Quantiles”, Econometrica, 46: 33-50.
  • Krichene, N. (2003) “Modeling Stochastic Volatility with Application to Stock Returns”, IMF Working Paper, No:03/125, https://www.imf.org/en/ Publications /WP/Issues/2016/12/30 (18. 02.2020).
  • Mauro, P. (2003) “Stock Returns and Output Growth in Emerging and Advanced Economics”, Journal of Development Economics, 71: 129-153.
  • OECD (2020) “Industrial Production (Indicator) doi: 10.1787/39121c55-en”, https://data.oecd.org /industry/industrial-production.htm, (22.02.2020).
  • OECD (2020) “Inflation (CPI) (Indicator) doi: 10.1787/eee82e6e-en”, https://data.oecd.org/ price/inflation-cpi.htm, (22.02.2020).
  • Pearce, D. K. (1983) "Stock Prices and the Economy", Federal Reserve Bank of Kansas City Economic Review, 68: 7-22.
  • Phillips, P.C.B. ve Perron, P. (1988) “Testing for a Unit Root in Time Series Regression”, Biometrika, 75: 335-346
  • Rejeb, A.B. ve Boughrara, A.(2013) “Financial Liberalization and Stock Markets Efficiency: New Evidence From Emerging Economies”, Emerging Markets Review, 17: 186–208.
  • Şentürk, M., Özkan, G.S. ve Akbaş, Y.E.(2014) “The Relationship Between Economic Growth and Stock Returns: An Example from Turkey”, Doğuş Üniversitesi Dergisi, 15(2): 155-164.
  • TCMB (2015) “BİST100 Endeksi”, https://evds2.tcmb.gov.tr/, (22.02.2020).
  • Toda, H. Y. ve Yamamoto T. (1995) “Statistical Inferences in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66: 225‐250.
  • White, H. (1980) “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity”, Econometrica, 48(4): 817-838.

Year 2021, Volume: 4 Issue: 2, 47 - 69, 31.12.2021

Önder Büberkökü , Celal Kızıldere

https://doi.org/10.38120/banusad.984338

Abstract

References

  • Aydemir, O. (2008) “Hisse Senedi Getirileri ve Reel Sektör Arasındaki İlişki: Ampirik Bir Çalışma”, Afyon Kocatepe University Journal of Economics and Administrative, X(II): 37-55.
  • Aylward, A. ve Glen, J. (2000) “Some International Evidence on Stock Prices as Leading Indicators of Economic Activity”, Applied Financial Economics, 10: 1-14.
  • Barro, R.J. (1990) “The Stock Market and Investment”, The Review of Financial Studies, 3(1): 115-131.
  • Binswanger, M. (2000) “Stock Market Booms and Real Economic Activity: Is This Time Different?”, International Review of Economics and Finance, 9: 387–415.
  • Binswanger, M. (2004) “Stock Returns and Real Activity in the G-7 Countries: Did the Relationship Change During the 1980s?”, The Quarterly Review of Economics and Finance, 44: 237-252.
  • Blanchard, O., Rhee, C. ve Summers, L. (1993) “The Stock Market, Profit, and Investment”, Quarterly Journal of Economics, 108(1): 115-136.
  • Breush, T.S. ve Pagan, A.R. (1980) “The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics”, The Review of Economics Studies,47(1):239-253.
  • Chen, C.L., Kuan, C.M. ve Lin, C.C. (2007) “Saving and Housing of Taiwanese Households: New Evidence from Quantile Regression Analysis”, Journal of Housing Economics, 16: 102–126.
  • Chevapatrakul, T .(2014) “Monetary Environments and Stock Returns Revisited: A Quantile Regression Approach”, Economics Letters, 123: 122–126.
  • Chevapatrakul, T .(2015) “Monetary Environments and Stock Returns: International Evidence based on the Quantile Regression Technique”, International Review of Financial Analysis, 38: 83-108.
  • Choi, J.J., Hauser, S. ve Kopecky, K.J. (1999) “Does the Stock Market Predict Real Activity? Time Series Evidence from the G-7 Countries”, Journal of Banking & Finance, 23: 1771-1792.
  • Comincioli, B. (1996) “The Stock Market as a Leading Indicator: An Application of Granger Causality”, University Avenue Undergraduate Journal of Economics, 1(1): 1-14.
  • Dickey, D. ve Fuller, W. (1979) “Distribution of the Estimators for Autoregressive Time Series with Unit Root”, Journal of the American Statistical Association, 74: 427-431
  • Domian, D.L. ve Louton, D. (1997) “A Threshold Autoregressıve Analysıs of Stock Returns and Real Economic”, International Review of Economics and Finance, 6(2): 167-179.
  • European Central Bank (2012) “Economic and Monetary Development, Monthly Bulletion”, October: 47-50, https://www.ecb.europa.eu/pub /pdf/other/ mb 201210 _focus05.en.pdf, (04.02.2020).
  • Fama, E.F. (1990) “Stock Returns, Expected Returns, and Real Activity”, The Journal of Finance, 45(4): 1089-1108.
  • Guo, J. (2015) “Causal Relationship Between Stock Returns And Real Economic Growth in the pre- and Post-Crisis Period: Evidence from China”, Applied Economics, 47(1): 12-31.
  • Hassapis, C. ve Kalyvitis, S. (2002) “Investing the Links Between Growth and Real Stock Price Changes with Emprical Evidence from the G-7 Economies”, The Quarterly Review of Economics and Finance ,42: 543-575.
  • Jiranyakul, K. (2012) “The Predictive Role of Stock Market Return for Real Activity in Thailand”, MPRA Paper, No: 45670: 1-13, https://mpra.ub.uni-muenchen.de/45670/, (12.02.2020).
  • Kanas, A. ve Ioannidis, C. (2010) “Causality from Real Stock Returns to Real Activity: Evidence of Regime-Dependence”, International Journal of Finance & Economics, 15: 180-197.
  • Kang, H.H. ve Liu, S.B. (2014) “The Impact of the 2008 Financial Crisis on Housing Prices in China and Taiwan: A Quantile Regression Analysis”, Economic Modelling, 42: 356–362.
  • Kaplan, M. (2008) “The Impact of Stock Market on Real Economic Activity: Evidence from Turkey”, Journal of Applied Sciences, 8(2): 374-378.
  • Karaca, O. (2018) “Borsa Ekonominin Barometresi midir? Türkiye’de Ekonomik Aktivite ile Hisse Senedi Fiyatları Arasındaki Nedensellik İlişkisi”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 36 (3): 89-106.
  • Koç, A. (2009) “Borsalar Ekonomilerin Barometresi midir?”, Dünya gazetesi, https://www.dunya.com /kose-yazisi/borsalar-ekonomilerin-barometresi-midir /55 01, (18.02.2020).
  • Koenker, R. ve Bassett, G. (1978) “Regression Quantiles”, Econometrica, 46: 33-50.
  • Krichene, N. (2003) “Modeling Stochastic Volatility with Application to Stock Returns”, IMF Working Paper, No:03/125, https://www.imf.org/en/ Publications /WP/Issues/2016/12/30 (18. 02.2020).
  • Mauro, P. (2003) “Stock Returns and Output Growth in Emerging and Advanced Economics”, Journal of Development Economics, 71: 129-153.
  • OECD (2020) “Industrial Production (Indicator) doi: 10.1787/39121c55-en”, https://data.oecd.org /industry/industrial-production.htm, (22.02.2020).
  • OECD (2020) “Inflation (CPI) (Indicator) doi: 10.1787/eee82e6e-en”, https://data.oecd.org/ price/inflation-cpi.htm, (22.02.2020).
  • Pearce, D. K. (1983) "Stock Prices and the Economy", Federal Reserve Bank of Kansas City Economic Review, 68: 7-22.
  • Phillips, P.C.B. ve Perron, P. (1988) “Testing for a Unit Root in Time Series Regression”, Biometrika, 75: 335-346
  • Rejeb, A.B. ve Boughrara, A.(2013) “Financial Liberalization and Stock Markets Efficiency: New Evidence From Emerging Economies”, Emerging Markets Review, 17: 186–208.
  • Şentürk, M., Özkan, G.S. ve Akbaş, Y.E.(2014) “The Relationship Between Economic Growth and Stock Returns: An Example from Turkey”, Doğuş Üniversitesi Dergisi, 15(2): 155-164.
  • TCMB (2015) “BİST100 Endeksi”, https://evds2.tcmb.gov.tr/, (22.02.2020).
  • Toda, H. Y. ve Yamamoto T. (1995) “Statistical Inferences in Vector Autoregressions with Possibly Integrated Processes”, Journal of Econometrics, 66: 225‐250.
  • White, H. (1980) “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity”, Econometrica, 48(4): 817-838.
There are 36 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Önder Büberkökü 0000-0002-7140-557X

Celal Kızıldere 0000-0001-9904-0472

Publication Date December 31, 2021
Published in Issue Year 2021 Volume: 4 Issue: 2

Cite

APA Büberkökü, Ö., & Kızıldere, C. (2021). HİSSE SENEDİ PİYASALARI EKONOMİK AKTİVİTEDEKİ DEĞİŞİMLERİN ÖNCÜ GÖSTERGELERİNDEN BİRİ MİDİR?. Bandırma Onyedi Eylül Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, 4(2), 47-69. https://doi.org/10.38120/banusad.984338
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