The Relationships between the Turkish Stock Market and Macroeconomic Variables

Year 2024, Volume: 9 Issue: 1, 140 - 158, 29.03.2024

Elif Hilal Nazlıoğlu

https://doi.org/10.30784/epfad.1424089

Abstract

The objective of this study is to examine the relationships between stock markets and macroeconomic variables in Turkey. For this purpose, the Borsa Istanbul 100 index (BIST100), the consumer price index (TUFE), the policy interest rate and the exchange rate (dollar/TL) variables were discussed in the study at a monthly frequency for the period January 2000 - October 2023.The study used Toda - Yamamoto and Fourier Toda - Yamamoto causality tests to examine the relationships between variables using time series methods. The results show that there is a uni-directional causality from the policy rate to the stock markets in Turkey, a bi-directional causality from TUFE to Dollar/TL, and a uni-directional causality from BIST100 to Dollar/TL. No causality was found between the policy interest rate and the dollar/TL exchange rate and TUFE and BIST100. The fact that the results of the TY and FTY causality analyses are parallel is evidence that the selected variables have Fourier trends. Based on these findings, a change in the policy rate affects the BIST100, while a change in the BIST100 affects the Dollar/TL. These results provide new information for investors, policymakers, and researchers.

Keywords

Stock Market, Inflation, Interest Rate, Exchange Rate, Causality

Türkiye Pay Senedi Piyasası ve Makroekonomik Değişkenler Arasındaki İlişkiler

Abstract

Bu çalışmanın amacı Türkiye için pay senedi piyasaları ve makroekonomik değişkenler arasındaki ilişkileri incelemektir. Bu amaçla çalışmada Borsa İstanbul 100 endeksi (BIST100), tüketici fiyat endeksi (TUFE), politika faiz oranı ve döviz kuru (Dolar/TL) değişkenleri, Ocak 2000 – Ekim 2023 dönemi için aylık frekansta ele alınmıştır. Çalışmada değişkenler arasındaki ilişkileri zaman serisi yöntemleri ile incelemek için Toda - Yamamoto ve Fourier Toda-Yamamoto nedensellik testleri kullanılmıştır. Sonuçlar Türkiye’de politika faizinden pay senedi piyasalarına tek yönlü nedensellik ilişkisi, TUFE ve Dolar/TL arasında çift yönlü nedensellik ilişkisi ve BIST100’den Dolar/TL’ye tek yönlü nedensellik ilişkisi olduğunu göstermektedir. Politika faiz oranı ve Dolar/TL döviz kuru ile TUFE ve BIST100 arasından nedensellik ilişkisi bulunamamıştır. Hem TY hem de FTY nedensellik analizinden elde edilen bulguların paralel olması seçili değişkenlerin Fourier eğilimlere sahip olduğunu kanıtlamaktadır. Buradan hareketle politika faiz oranındaki bir değişim BIST100’ü etkilemekte iken BIST100’deki bir değişim Dolar/TL’yi etkilemektedir. Bu bulgular yatırımcılar, politika yapıcılar ve araştırmacılar için yeni bilgiler sağlamaktadır.

Keywords

Borsa, Enflasyon, Faiz Oranı, Döviz Kuru, Nedensellik

Ethical Statement

Etik kurul izni ve/veya yasal/özel izin alınmasına gerek olmayan bu çalışmada araştırma ve yayın etiğine uyulmuştur.

Supporting Institution

yok

Thanks

yok

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