Examining the Relationship between Consumer Confidence Index and Borsa Istanbul Sector Indices

Yıl 2018, Cilt: 33 Sayı: 1, 235 - 259, 20.04.2018

Sinem Eyüboğlu , Kemal Eyüboğlu

https://doi.org/10.24988/deuiibf.2018331715

Öz

Decisions of consumers based on psychological factors affect the income of the companies and thus the financial markets. In this respect, there should be a close relationship between consumer confidence and macroeconomic parameters. Consumer Confidence Index is one of the leading indicators of consumers’ expectation about economy. In this paper the relationship between the consumer confidence index and 18 Borsa Istanbul indexes has been examined for the period of 2006:01-2016:11. The cointegration relationship between the variables determined to be stationary at different orders is examined by the Bound Test. Results showed that there is a long-term relationship between the Consumer Confidence Index and all stock indexes in the study. In addition, it is determined that the increase in the consumer confidence index affects 9 index’ returns positively in the short term. Causality results show that stock indices are the cause of consumer confidence.

Anahtar Kelimeler

Consumer Confidence, Sector Indices, Bound Test, Toda-Yamamoto Causality Test

Tüketici Güven Endeksi İle Borsa İstanbul Sektör Endeksleri Arasındaki İlişkinin Araştırılması

Öz

Tüketicilerin psikolojik faktörlere bağlı olarak aldıkları kararlar şirketlerin gelirlerini ve buna bağlı olarak finansal piyasaları etkiler. Bu açıdan tüketici davranışı ile makroekonomik parametreler arasında yakın ilişki olmalıdır. Tüketicilerin ekonomiye ilişkin beklentilerini ölçen göstergelerin başında ise Tüketici Güven Endeksi (TGE) gelmektedir. Bu çalışmada 2006:01-2016:11 dönemi için TGE ile 18 Borsa İstanbul endeks getirisi arasındaki ilişki incelenmiştir. Farklı seviyede durağan olduğu belirlenen seriler arasındaki eşbütünleşme ilişkisi ise Sınır Testi ile araştırılmıştır. Yapılan analizler sonucunda TGE ile çalışmada yer alan tüm endeksler arasında uzun dönem ilişki olduğu belirlenmiştir. İlaveten kısa dönemde TGE’de meydana gelen artışların 9 endeks getirisini olumlu yönde etkilediği tespit edilmiştir. Nedensellik sonuçları ise pay senedi endekslerinin tüketici güvenin nedeni olduğunu ortaya koymuştur.

Anahtar Kelimeler

Tüketici Güveni, Sektör Endeksleri, Sınır Testi, Toda ve Yamamoto Nedensellik Testi

Kaynakça

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