Dynamics of Stock Prices and Exchange Rate with Structural Breaks and Asymmetry: Evidence From Türkiye

Year 2024, Volume: 9 Issue: 3, 438 - 461, 30.09.2024

Almıla Burgaç Çil , Burhan Biçer

https://doi.org/10.30784/epfad.1516880

Abstract

This study investigates the impacts of the nominal exchange rate on Turkish stock prices using a structural break cointegration test with endogenously determined multiple structural breaks and an asymmetric cointegration test for the period of 2002-2021. The study differs from previous research on this relation in two respects. First, it takes into account structural breaks in relation to both regimes and trends (C/S/T). Second, it extends the asymmetric cointegration with multiple structural breaks. The findings of structural break cointegration capture the break dates in line with the Turkish economics dynamics and reveal the negative effects of the exchange rates on stocks, with their significance and magnitude differing in regimes. Similarly, NARDL results indicate that negative and positive exchange rate shocks exhibit asymmetric effects on stocks for both the whole period and regimes. The overall findings demonstrate that exchange rate variations have distinctive impacts on stock prices when considering structural break and asymmetrical dynamics. In this background, policymakers and foreign investors need to take into account these dynamics when dealing with Turkish financial markets.

Keywords

Stock Prices, Exchange Rate, Cointegration with Multiple Structural Breaks, NARDL

Hisse Senedi ve Döviz Kuru Dinamiklerinin Yapısal Kırılmalı ve Asimetrik İncelemesi: Türkiye’den Kanıtlar

Abstract

Bu çalışma, nominal döviz kurunun Türkiye hisse senedi fiyatları üzerindeki etkisini içsel belirlenen çoklu yapısal kırılmalı eşbütünleşme ve asimetrik eşbütünleşme testlerini kullanarak 2002-2021 dönemi için incelemektedir. Çalışma, Türkiye ekonomisinde iki değişken arasındaki ilişkiyi ele alan literatürden iki açıdan farklılaşmaktadır. İlk olarak, rejim ve trenddeki (C/S/T) çoklu yapısal kırılmaları dikkate almaktadır. İkincisi, asimetrik eşbütünleşme testini rejim ve trenddeki çoklu yapısal kırılmalarla genişletmektedir. Çoklu yapısal kırılmalı eşbütünleşme testi bulguları, Türkiye ekonomisi dinamikleriyle uyumlu kırılma tarihlerini yakalamakta ve döviz kurunun hisse senetleri üzerinde negatif etkilere sahip olduğunu göstermektedir. Etkinin büyüklüğü ve anlamlılık derecesi rejimlere göre farklılık sergilemektedir. Asimetrik eşbütünleşme test sonuçları hem tüm dönem hem de yapısal kırılmaların dikkate alındığı alt rejimler için negatif ve pozitif kur şoklarının hisse senedi üzerinde asimetrik ve genellikle negatif etkilere sahip olduğunu göstermektedir. Genel bulgular, döviz kurunun hisse senedi fiyatları üzerindeki etkisinin, yapısal kırılma ve asimetrik dinamikler dikkate alındığında hem yön hem de anlamlılık açısından farklı olabileceğine işaret etmektedir. Bu bağlamda, politika yapıcılar ve yabancı yatırımcıların Türk finansal piyasalarıyla ilgilenirken bu dinamikleri dikkate almalarının önem arz ettiği düşünülmektedir.

Keywords

Hisse Senedi Fiyatları, Döviz Kuru, Çoklu Yapısal Kırılmalı Eşbütünleşme, NARDL

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