Hisse Senedi Hacminin Fiyatı Üzerindeki Asimetrik Etkisinin İncelenmesi: Tekstil Hisseleri Üzerine Bir Uygulama

Yıl 2020, , 673 - 689, 25.12.2020

Gürkan Bozma , Selim Başar

https://doi.org/10.18074/ckuiibfd.710113

Öz

Bu çalışmada 2011-2016 dönemi boyunca BIST'te işlem gören Tekstil sektörü hisse senetleri için hacim ve fiyat arasındaki doğrusal olmayan ilişki günlük veriler kullanılarak incelenmiştir. Hacmin fiyat üzerindeki asimetrik etkisini test etmek için Lineer Olmayan Otoregresif Dağıtılmış Gecikmeler (NARDL) modeli kullanılmıştır. Sınır testinden elde edilen sonuca göre, Ateks, Bossa ve Mndrs hisse senetleri için fiyat ve hacim arasında eşbütünleşik ilişki olduğu test edilmiştir. Diğer hisse senetleri için olmasa da, Ateks hisse senedi hacminin, fiyatı üzerinde uzun dönemde asimetrik etkisi olduğu görülmüştür. Son olarak, Ateks, Bossa ve Mndr'ları hisse senetlerinde kısa dönemde hacmin fiyat üzerinde asimetrik etkisi olduğu ortaya koyulmuştur.

Anahtar Kelimeler

Hisse senedi, NARDL, Hacim, Fiyat

Testing Nonlinear Effect of Volume on Price: Evidence from Textile Sector Stocks in BIST

Öz

In this paper examines the nonlinear relationship between volume and price for Textile sector stocks trading in BIST over period 2011-2016 using daily data. We use Nonlinear Autoregressive Distributed Lags (NARDL) model to test asymmetric impact of volume on price. The result from bound test indicates that null of cointegration hypothesis rejects for Ateks, Bossa and Mndrs stocks. We find significant long-run asymmetric effect of volume on price for Ateks while not for other stocks. It is also found that volume affects price asymmetrically in the short-run for Ateks, Bossa and Mndrs.

Anahtar Kelimeler

Stock Market, Volume, Price, NARDL, Textile Sector

Kaynakça

• ABDULLAH, D. A. & HAYWORTH, S. C. 1993. Macroeconometrics of Stock Price Fluctuations. Quarterly Journal of Business and Economics, 32, 50-67.
• ABDULLAHI, S. A., KOUHY, R. & MUHAMMAD, Z. 2014. Trading volume and return relationship in the crude oil futures markets. Studies in Economics and Finance, 31, 426-438.
• ADRANGI, B., CHATRATH, A. & RAFFIEE, K. 1999. Inflation, output, and stock prices: Evidence from two major emerging markets. Journal of Economics and Finance, 23, 266-278.
• AGGARWAL, R. 1981. Exchange Rates and Stock Prices: A Study of U. S. Capital Market under Floating Exchange Rates. Akron Business and Economic Review, 12, 7-12.
• AHMED, H. J. A., HASSAN, A. & NASIR, A. M. 2005. The relationship between trading volume, volatility and stock market returns: A test of Mixed Distribution Hypothesis for a Pre and Post crisis on Kuala Lumpur Stock Exchange. Investment Management and Financial Innovations, 3, 146-158.
• AJAYI, R. A. & MOUGOUĖ, M. 1996. On The Dynamic Relation Between Stock Prices and Exchange Rates. Journal of Financial Research, 19, 193-207.
• AKAR, C. 2008. Hisse Senedi Fiyatlariyla Yabanci Islem Hacmi Arasinda Nedensellik: Toda-Yamamoto Yaklasimi. Muhasebe ve Finansman Dergisi.
• AL SAMMAN, H. & AL-JAFARI, M. K. 2015. Trading Volume and Stock Returns Volatility: Evidence from Industrial Firms of Oman. Asian Social Science, 11, 139.
• ALBAYRAK, A. S., ÖZTÜRK, N. & TÜYLÜOĞLU, Ş. 2012. Makroekonomik Değişkenler ile Sermaye Hareketlerinin İMKB-100 Endeksi Üzerindeki Etkisinin İncelenmesi. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi.
• ALTıNTAŞ, H. & TOMBAK, F. 2011. Türkiye’de Hisse Senedi Fiyatları ve Makro Ekonomik Değişkenler Arasındaki İlişkinin Ekonometrik Analizi: 1987-2008. Anadolu Üniversitesi Ekonomi Kongresi II, 1-21.
• ATAN, M., BOZTOSUN, D. & KAYACAN, M. 2005. Arbitraj Fiyatlama Modeli Yaklaşımın İMKB’de Test Edilmesi. 9. Ulusal Finans Sempozyumu Stratejik Finans.
• AYDEMIR, O., DEMIRTAŞ, G. & DEMIRHAN, B. 2009. Hisse Senedi Piyasasının Gelişiminde Makro Ekonomik Değişkenlerin Rolü: Panel Veri Analizi. 13. Ulusal Finans Sempozyumu.
• BAKLACI, H. & KASMAN, A. 2006. An empirical analysis of trading volume and return volatility relationship in the Turkish Stock Market. Ege Academic Review, 6, 115-125.
• BAŞAR, S. İ. 2014. Hisse Senetlerinin Fiyatları İle İşlem Hacimleri Arasındaki İlişki: Lojistik Ve Sivil Havacılık Sektörleri Üzerine Bir Uygulama. Kafkas Üniversitesi, Sosyal bilimler Enstitüsü, Yüksek Lisans Tezi.
• BAŞCI, E., ÖZYILDIRIM, S. & AYDOǦAN, K. 1996. A note on price-volume dynamics in an emerging stock market. Journal of Banking & Finance, 20, 389-400.
• BOUDOUKH, J. & RICHARDSON, M. 1993. Stock returns and inflation: A long-horizon perspective. The American economic review, 83, 1346-1355.
• BÜYÜKŞALVARCı, A. 2010. The Effects of Macroeconomics Variables on Stock Returns: Evidence from Turkey. European Journal of Social Sciences, 14, 404.
• CHANDRAPALA, P. 2011. The relationship between trading volume and stock returns. Journal of Competitiveness, 3.
• CHEN, G. M., FIRTH, M. & RUI, O. M. 2001. The dynamic relation between stock returns, trading volume, and volatility. Financial Review, 36, 153-174.
• CHOPIN, M. & ZHONG, M. 2000. Stock Returns, Inflation and Macroeconomy: The Long-and Short-Run Dynamics.
• COOK, T. & HAHN, T. 1988. The information content of discount rate announcements and their effect on market interest rates. Journal of Money, Credit and Banking, 20, 167-180.
• DIZDARLAR, H. I. & DERINDERE, S. 2008. Hisse Senedi Endeksini Etkileyen Faktörler: İMKB 100 Endeksini Etkileyen Makroekonomik Göstergeler Üzerine Bir Araştırma. Yönetim Dergisi, 19, 113-124.
• ERDEM, C., ARSLAN, C. K. & SEMA ERDEM, M. 2005. Effects of macroeconomic variables on Istanbul stock exchange indexes. Applied Financial Economics, 15, 987-994.
• FAMA, E. F. 1981. Stock returns, real activity, inflation, and money. The American Economic Review, 71, 545-565.
• FLANNERY, M. J. & JAMES, C. M. 1984. The effect of interest rate changes on the common stock returns of financial institutions. The Journal of Finance, 39, 1141-1153. FLOROS, C. & VOUGAS, D. 2007. Trading volume and returns relationship in Greek stock index futures market: GARCH vs. GMM. International Research Journal of Finance and Economics, 98-115. FOSBACK, N. G. 1992. Stock market logic. FUJIHARA, R. A. & MOUGOUÉ, M. 1997. An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets. Journal of Futures Markets, 17, 385-416. GAY JR, R. D. 2008. Effect of macroeconomic variables on stock market returns for four emerging economies: A vector regression model for Brazil, Russia, India, and China, Nova Southeastern University. GENÇTÜRK, M. 2009. Finansal Kriz Dönemlerinde Makroekonomik Faktörlerin Hisse Senedi Fiyatlarina Etkisi. Suleyman Demirel University Journal of Faculty of Economics & Administrative Sciences, 14. GESKE, R. & ROLL, R. 1983. The fiscal and monetary linkage between stock returns and inflation. The Journal of Finance, 38, 1-33. GRANGER, C. W. & MORGENSTERN, O. 1963. Spectral analysis of New York stock market prices. Kyklos, 16, 1-27. HIEMSTRA, C. & JONES, J. D. 1994. Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation. The Journal of Finance, 49, 1639-1664. HONDROYIANNIS, G. & PAPAPETROU, E. 2001. Macroeconomic influences on the stock market. Journal of Economics and Finance, 25, 33-49. KAYA, V., ÇÖMLEKÇI, İ. & KARA, O. 2013. Hisse Senedi Getirilerini Etkileyen Makroekonomik Değişkenler 2002-2012 Türkiye Örneği. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 35, 167-176. KAYALıDERE, K., KARGıN, S. & AKTAŞ, R. 2009. İMKB’de Fiyat ve Hacim Arasındaki Nedensellik İlişkisi. Celal Bayar Üniversitesi SBE Sosyal Bilimler Dergisi, 7, 115-124. KIM, K.-H. 2003. Dollar exchange rate and stock price: evidence from multivariate cointegration and error correction model. Review of Financial economics, 12, 301-313. KUMAR, B., SINGH, P. & PANDEY, A. 2009. The dynamic relationship between price and trading volume: Evidence from Indian stock market. KURIHARA, Y. 2006. The relationship between exchange rate and stock prices during the quantitative easing policy in Japan. International Journal of Business, 11, 375. LAOPODIS, N. T. 2011. Equity prices and macroeconomic fundamentals: International evidence. Journal of International Financial Markets, Institutions and Money, 21, 247-276. LEE, B.-S. & RUI, O. M. 2002. The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence. Journal of Banking & Finance, 26, 51-78. MAHAJAN, S. & SINGH, B. 2008. An empirical analysis of stock price-volume relationship in Indian stock market. Vision: The Journal of Business Perspective, 12, 1-13. MANDELKER, G. & TANDON, K. 1985. Common stock returns, real activity, money, and inflation: Some international evidence. Journal of International Money and Finance, 4, 267-286. MAYSAMI, R. C. & KOH, T. S. 2000. A vector error correction model of the Singapore stock market. International Review of Economics & Finance, 9, 79-96. MOOSA, I. A. & AL-LOUGHANI, N. E. 1995. Testing the price-volume relation in emerging Asian stock markets. Journal of Asian Economics, 6, 407-422. MUKHERJEE, T. K. & NAKA, A. 1995. Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model. Journal of Financial Research, 18, 223-237. MUMCU, F. 2005. Hisse Senedi Fiyatlarını Etkileyen Makroekonomik Faktörler: İmkb Üzerine Bir Uygulama. Süleyman Demirel Üniversitesi Sosyal Bilimler Enstitüsü, Yayımlanmamış Yüksek Lisans Tezi. OMAĞ, A. 2009. Türkiye’de 1991-2006 Döneminde Makroekonomik Değişkenlerin Hisse Senedi Fiyatlarına Etkisi. Öneri Dergisi, 8, 283-288. ÖZER, A., KAYA, A. & ÖZER, N. 2013. Hisse Senedi Fiyatlari İle Makroekonomik Değişkenlerin Etkileşimi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 26. PALMER, M. 1970. Money supply, portfolio adjustments and stock prices. Financial Analysts Journal, 19-22. PESARAN, M. H., SHIN, Y. & SMITH, R. J. 2001. Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326. RASHID, A. 2007. Stock prices and trading volume: An assessment for linear and nonlinear Granger causality. Journal of Asian Economics, 18, 595-612. SAATCIOGLU, K. & STARKS, L. T. 1998. The stock price–volume relationship in emerging stock markets: the case of Latin America. International Journal of forecasting, 14, 215-225. SADEGHI, M. 1992. Stock market response to unexpected macroeconomic news: the Australian evidence. SHIBLEE, L. S. 2009. The Impact of Inflation, GDP, Unemployment, and Money Supply on Stock Prices. SHIN, Y., YU, B. & GREENWOOD-NIMMO, M. 2014. Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. Festschrift in Honor of Peter Schmidt. Springer. SILVAPULLE, P. & CHOI, J.-S. 1999. Testing for linear and nonlinear Granger causality in the stock price-volume relation: Korean evidence. The Quarterly Review of Economics and Finance, 39, 59-76. SOENEN, L. A. & HENNIGAR, E. S. 1988. An analysis of exchange-rates and stock-prices-the united-states experience between 1980 and 1986. Akron Business and Economic Review, 19, 7-16. SOHAIL, N. & HUSSAIN, Z. 2012. Macroeconomic policies and stock returns in Pakistan: a comparative analysis of three stock exchanges. Interdisciplinary Journal of Contemporary Research in Business, 3, 905-918. SOHAIL, N. & ZAKIR, H. 2011. The Macroeconomic Variables And Stock Returns In Pakistan: The Case of Kse100 Index. Journal of Applied Research in Finance Bi-Annually, 3, 76-84. SPRINKEL, B. W. 1964. Money and stock prices, Homewood, Ill: RD Irwin. SPYROU, S. I. 2004. Are stocks a good hedge against inflation? Evidence from emerging markets. Applied Economics, 36, 41-48. UMUTLU, G. 2008. İşlem hacmi ve fiyat değişimleri arasındaki nedensellik ve dinamik ilişkiler: İMKB’de bir ampirik inceleme. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10, 231-246. WONGBANGPO, P. & SHARMA, S. C. 2002. Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. Journal of Asian Economics, 13, 27-51. YÖRÜK, N., ERDEM, C. & ERDEM, M. S. 2006. Testing for linear and nonlinear Granger Causality in the stock price–volume relation: Turkish banking firms’ evidence. Applied Financial Economics Letters, 2, 165-171. YURDAKUL, F. & AKÇORAOĞLU, A. 2006. Global Factors Stock Returns: Empirical Evidence from The Turkish Economy. Ise Review, 6, 1-18. ZÜGÜL, M. & ŞAHIN, C. 2009. İmkb 100 Endeksi İle Bazı Makroekonomik Değişkenler Arasındaki İlişkiyi İncelemeye Yönelik Bir Uygulama. Akademik Bakış, 16, 1-16.