THE ANALYSIS OF RELATIONSHIP BETWEEN BENCHMARK INDEX AND BIST INDICES BY SIMULTANEOUS QUANTILE REGRESSION

Abstract

According to investors, interest rate and stock markets investments are substitutions and it is expected that they have negative correlation in economics theory. Benchmark Index is a type of sovereign bond interest rate which has 5-year coupon rate in Turkey. It is accepted as a proxy of market interest rate, since it is trading on secondary markets, very often. The aim of the study is to investigate the relationship between Benchmark Index and Borsa Istanbul indices which are XU100, XU30, XUTUM, XUMAL and XBANK for different parts of the indices’ conditional distribution by using simultaneous quantile regression technique. Findings indicate that the negative effect of benchmark index on Borsa Istanbul indices have different influence for high and low quantiles. The power of effect is stronger on XUMAL and XBANK indices than the others. Moreover, each index reacts differently to an economic shock on interest rate. Therefore, it is suggested that investors should revise their investment strategies in periods which the indices are low or high while they are managing their funds according to benchmark index predictions

Keywords

• Benchmark Index, Borsa Istanbul Simultaneous Quantile Regression

GÖSTERGE FAİZ ORANI DALGALANMALARI VE BİST ENDEKSLERİ ARASINDAKİ İLİŞKİNİN EŞANLI KANTİL REGRESYON İLE ANALİZİ

Abstract

İktisat teorisinde, yatırımcılar açısından birbirine ikame olarak ifade edilebilecek faiz oranı ile sermaye piyasaları arasında negatif bir korelasyon beklenmektedir. Gösterge Faiz Oranı ise, vadesi 5 yıl olan ve yıllık kupon ödemesi yapılan Devlet Tahvili faizini ifade eden faiz oranıdır. İkincil piyasalarda en fazla işlem gören tahvil çeşitlerinden biri olduğu için gösterge faiz oranı, piyasalar tarafından referans olarak kullanılmaktadır. Bu çalışmanın amacı, gösterge faiz oranı ile Borsa İstanbul endeksleri (XU100, XU30, XUTUM, XUMAL ve XBANK) arasındaki ilişkiyi endekslerin farklı kantilleri için analiz etmektir. Analiz bulgularına göre, endekslerin yüksek ya da düşük olduğu dönemlerde gösterge faiz oranı hareketleri sermaye piyasalarını negatif ve farklı şiddetlerde etkilemektedir. Etkinin şiddeti mali ve bankacılık endekslerinde daha da artmaktadır. Ayrıca, ekonomide oluşan ani bir faiz şokuna da endeksler farklı şekilde tepki vermektedir. Bu açıdan yatırımcılara, gösterge faiz oranı tahminlerine göre yatırımlarını yönlendirirken endekslerin düşük ya da yüksek olduğu dönemlerde stratejilerini revize etmeleri önerilmektedir

Keywords

• Gösterge Faiz Oranı, Borsa İstanbul, Eşanlı Kantil Regresyon Yöntemi

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