PAY PİYASASI İLE DÖVİZ KURLARI ARASINDA RİSK DURUMLARINDA NEDENSELLİK İLİŞKİSİ

Year 2017, Volume: 6 Issue: 12, 82 - 94, 22.08.2017

Emrah İsmail Çevik

Abstract

Finansal teori
pay senedi piyasası ile döviz kurları arasında iki yönlü ilişki olabileceğini
öne sürmekte ve bu nedenle pay piyasası ile döviz kurları arasındaki dinamik
ilişkinin araştırılması literatürde oldukça ilgi görmektedir. Bu çalışmada 2003-2016
yılları arasında BİST100 endeks getirisi ile Dolar ve Euro getirileri
arasındaki nedensellik ilişkisinin varlığı araştırılmıştır. Bu çalışmada
literatürde yer alan çalışmalardan farklı olarak, Hong vd. (2009) tarafından
geliştirilen aşağı yönlü nedensellik testi kullanılmıştır. Analiz sonuçları, döviz
kurlarından pay piyasasına yönelik nedensellik ilişkisinin olduğunu
belirtmektedir.   

Keywords

Pay piyasası, Döviz kurları, Nedensellik, BIST-100

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