SEÇİLMİŞ GELİŞMEKTE OLAN ÜLKELER İÇİN HİSSE SENEDİ FİYATLARI VE DÖVİZ KURLARI ARASINDAKİ DOĞRUSAL OLMAYAN SİMETRİK VE ASİMETRİK NEDENSELLİK İLİŞKİSİNİN ANALİZİ

Abstract

Bu çalışma BRICS ülkelerinde ve Türkiye'de hisse senedi fiyatları ve döviz kurları arasındaki doğrusal olmayan simetrik ve asimetrik nedensellik ilişkisini araştırmaktadır. Bu amaçla, ilgili değişkenlerin geri bildirimlerinin türlerini saptayarak doğrusal olmayan simetrik ve asimetrik nedensellik ilişkisinin test edilmesine imkân sağlayan Mackey-Glass modeli kullanılmıştır. Doğrusal olmayan simetrik nedensellik testinin sonuçları ilişkinin varlığına ilişkin zayıf kanıtlar sunarken, testin asimetrik biçimi güçlü bir nedensellik ilişkisi olduğunu göstermektedir. Sonuç olarak, bu bulgular döviz ve hisse senedi piyasısında gürültülü işlemlerin ve spekülatif davranışların olduğunu ifade etmektedir

Keywords

• Mackey-Glass Modeli, Simetrik ve Asimetrik Nedensellik, Hisse Senedi Fiyatları, Döviz Kurları, Doğrusal Olmayan Nedensellik

ANALYSIS OF SYMMETRIC AND ASYMMETRIC NONLINEAR CAUSAL RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES FOR SELECTED EMERGING MARKET ECONOMIES

Abstract

This study investigates the symmetric and the asymmetric nonlinear causal relationship between exchange rates and stock prices in BRICS and Turkey. To this end, the Mackey-Glass model allowing to test the symmetric and asymmetric nonlinear causality by identifying the types of feedbacks of the related variables has been employed. While the results of the symmetric nonlinear causality test present little evidence for the relationship, the asymmetric counterpart of the test indicates strong evidence for the causal relationship. As a result, these findings imply the existence of the noisy tradings and speculative behaviours in both exchange rate and stock markets.

Keywords

• Mackey-Glass Model, Symmetric and Asymmetric Causality, Stock Prices, Exchange Rates, Nonlinear Causality

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