LINKAGES BETWEEN STOCK PRICE AND SELECTED ECONOMIC VARIABLES IN TURKEY: EVIDENCE FROM COINTEGRATION IN STAR
Abstract
After globalization, all the markets in the world are known as competitive fields, and accordingly, economic interactions emerge more strongly. Similarly, national and international economic variables can affect the Istanbul stock market. This study analyses the relationship between stock price and some selected economic variables using cointegration in STAR, Maki (2010), and KSS (2006) in Turkey from January 2000 to June 2019. Because of the difference between the results of the Maki (2010) and KSS (2006) test, it has been tried to find the model that has less constraint, and then this model has been used to analyze these relationships. Our findings support the long-run relationship between stock price and other economic variables with STAR adjustment. Findings also show that adjusting the relationship between stock price, gold price, and exchange rate take much time, while adjusting the relationship between stock price, interest rate, and inflation does not take much time. Moreover, there is a long-run causality between stock price and other variables except for interest rate. Estimating the adjustment speed of the relationship can be helpful for portfolio management and also financial risk management.
References
- AKKOCA, Ugur and Irfan CIVCIR; (2019), “Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model”, Resources Policy, 62, pp. 231-239.
- BALKE, Nathan S. and Thomas B. FOMBY; (1997), “Threshold Cointegration”, International Economic Review, 38(3), pp. 627-645.
- COŞKUN, Metin ve Muhammad KİRACI KÜRESEL; (2016), “Seçilmiş Makroekonomik Değişkenlerle Hisse Senedi Fiyatları Arasındaki İlişki: Türkiye Üzerine Ampirik Bir İnceleme”, Finans Politik & Ekonomik Yorumlar, 53, ss.61-75.
- DORNBUSCH Rudiger and Stanley FİSCHER; (1980), “Exchange Rate and the Current account”, the American Economic review, 70(5), pp. 960-971.
- FRANKEL, J.; (1983), Economic Interdependence and Flexible Exchange Rates, MIT Press.
- HANSEN, Bruce E. and Byeongseon SEO; (2002), “Testing for two-regime threshold cointegration in vector error-correction models”, Journal of Econometrics, 110, pp. 293 – 318. KAPETANIOS, George, Yongcheol SHIN and Andy SNELL; (2003), “Testing for a unit root in the Nonlinear STAR Framework”, J. Econ, 112, pp.359-379. KAPETANIOS, George, Yongcheol SHIN and Andy SNELL; (2006), “Testing for Cointegration in Nonlinear STAR Error Correction Models”, Queen Mary, University of London, 497, pp.1-24.
- KASSOURI, Yacouba and Halil ALTINBAŞ; (2020), “Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira”, Research in International Business and Finance, 52, pp. 1-18.
- Luukkonen, S., P. SAIKKONEN and D. TRASVIRTA; (1998), “Unit Roots and Smooth Transitions”, Journal of Time Series Analysis, 19(1), pp. 83–97.
- MAKI, Daiki; (2010), “An alternative procedure to test for cointegration in STAR models”, Mathematics and Computers in Simulation, 80, pp. 999–1006.
- MAKI, Daiki; (2012), “Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications”, Empir Econ, 45, pp. 605–625.
- MEHAR, Muhammad Ramzan, Mariam NAEEM, Mariam NAZEER and Sana ARSHAD; (2018), “Relationship of Economic and Financial variables with behavior of Stock Prices: A case of Pakistan Stock Exchange”, Pyrex Journal of Business and Finance Management Research, 4(5), pp.38-47.
- OKTAYER, Asuman; (2009), “Türkiye’de Finansal Serbestleşme ve Derinleşme Süreci Üzerine Nitel Bir İnceleme”, Akademik İncelemeler, 4(1), ss.73-100.
- PRATS, Maria A. and Vicente ESTEVE; (2010), “Threshold cointegration and nonlinear adjustment between stock prices and dividends”, Documento de Trabajo/Working Paper Serie Economia, 3, pp. 1-13.
- RSAY, S.; (1986), “Nonlinearity Tests for Time Series”, Biometrika, 73(2), pp. 461-466.
- SINGHAL, Shelly, Sangita CHOUDHARY and Pratap CHANDRA BISWAL; (2019), “Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico”, Resources Policy, 60, pp. 255–261.
- TURSOY, Turgut; (2017), “Causality between stock prices and exchange rates in Turkey: Empirical evidence from the ARDL bounds test and a combined cointegration approach”, International Journal of Financial Studies, 5(1), pp. 8-19.
- TURSOY, Turgut; (2019), “The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration, Financial Innovation, 5(1), pp.1-12.
- TURSOY, Turgut and Faisal FAISAL; (2018), “The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration”, Resources Policy, 55, pp.49-54.
TÜRKİYE'DE HİSSE SENEDİ FİYATLARI İLE SEÇİLMİŞ EKONOMİK DEĞİŞKENLER ARASINDAKİ İLİŞKİLER: STAR EŞBÜTÜNLEŞME TESTİ BULGULARI
Abstract
Küreselleşme sonrasında dünyadaki tüm piyasalar rekabet alanı olarak bilinmekte ve buna bağlı olarak ekonomik etkileşimler daha güçlü bir şekilde ortaya çıkmaktadır. Benzer şekilde, Borsa İstanbul da hem ulusal hem de uluslararası ekonomik değişkenlerden etkilenebilmektedir. Bu çalışma, Türkiye ekonomisi Ocak 2000-Haziran 2019 dönemi hisse senedi fiyatları ile bazı seçilmiş ekonomik değişkenler arasındaki ilişkiyi STAR tipi eşbütünleşme testi, Maki (2010) and KSS (2006) ile analiz etmektedir. Maki (2010) ve KSS (2006) test sonuçları arasındaki farklılıktan dolayı daha az kısıta sahip olan model bulunmaya çalışılmış ve seçilmiş olan model bu ilişkilerin analizinde kullanılmıştır. Bulgularımız, hisse senedi fiyatları ile diğer ekonomik değişkenler arasında STAR düzeltme ile uzun dönemli bir ilişkinin varlığını desteklemektedir. Ayrıca bulgular hisse senedi fiyatları ile altın fiyatı ve döviz kuru arasındaki ilişki düzeltmesinin çok zaman aldığını ve hisse senedi fiyatı ile faiz oranı ve enflasyon arasındaki ilişki düzeltmesinin çok zaman almadığını göstermektedir. Faiz oranı dışında, hisse senedi fiyatı ile diğer ekonomik değişkenler arasında uzun dönemli nedensellik bulunmaktadır. Dengeye dönme hızının tahmin edilmesi, Portföy Yönetimi ve ayrıca Finansal Risk Yönetimi için yararlı olabilir.
References
- AKKOCA, Ugur and Irfan CIVCIR; (2019), “Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model”, Resources Policy, 62, pp. 231-239.
- BALKE, Nathan S. and Thomas B. FOMBY; (1997), “Threshold Cointegration”, International Economic Review, 38(3), pp. 627-645.
- COŞKUN, Metin ve Muhammad KİRACI KÜRESEL; (2016), “Seçilmiş Makroekonomik Değişkenlerle Hisse Senedi Fiyatları Arasındaki İlişki: Türkiye Üzerine Ampirik Bir İnceleme”, Finans Politik & Ekonomik Yorumlar, 53, ss.61-75.
- DORNBUSCH Rudiger and Stanley FİSCHER; (1980), “Exchange Rate and the Current account”, the American Economic review, 70(5), pp. 960-971.
- FRANKEL, J.; (1983), Economic Interdependence and Flexible Exchange Rates, MIT Press.
- HANSEN, Bruce E. and Byeongseon SEO; (2002), “Testing for two-regime threshold cointegration in vector error-correction models”, Journal of Econometrics, 110, pp. 293 – 318. KAPETANIOS, George, Yongcheol SHIN and Andy SNELL; (2003), “Testing for a unit root in the Nonlinear STAR Framework”, J. Econ, 112, pp.359-379. KAPETANIOS, George, Yongcheol SHIN and Andy SNELL; (2006), “Testing for Cointegration in Nonlinear STAR Error Correction Models”, Queen Mary, University of London, 497, pp.1-24.
- KASSOURI, Yacouba and Halil ALTINBAŞ; (2020), “Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira”, Research in International Business and Finance, 52, pp. 1-18.
- Luukkonen, S., P. SAIKKONEN and D. TRASVIRTA; (1998), “Unit Roots and Smooth Transitions”, Journal of Time Series Analysis, 19(1), pp. 83–97.
- MAKI, Daiki; (2010), “An alternative procedure to test for cointegration in STAR models”, Mathematics and Computers in Simulation, 80, pp. 999–1006.
- MAKI, Daiki; (2012), “Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications”, Empir Econ, 45, pp. 605–625.
- MEHAR, Muhammad Ramzan, Mariam NAEEM, Mariam NAZEER and Sana ARSHAD; (2018), “Relationship of Economic and Financial variables with behavior of Stock Prices: A case of Pakistan Stock Exchange”, Pyrex Journal of Business and Finance Management Research, 4(5), pp.38-47.
- OKTAYER, Asuman; (2009), “Türkiye’de Finansal Serbestleşme ve Derinleşme Süreci Üzerine Nitel Bir İnceleme”, Akademik İncelemeler, 4(1), ss.73-100.
- PRATS, Maria A. and Vicente ESTEVE; (2010), “Threshold cointegration and nonlinear adjustment between stock prices and dividends”, Documento de Trabajo/Working Paper Serie Economia, 3, pp. 1-13.
- RSAY, S.; (1986), “Nonlinearity Tests for Time Series”, Biometrika, 73(2), pp. 461-466.
- SINGHAL, Shelly, Sangita CHOUDHARY and Pratap CHANDRA BISWAL; (2019), “Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico”, Resources Policy, 60, pp. 255–261.
- TURSOY, Turgut; (2017), “Causality between stock prices and exchange rates in Turkey: Empirical evidence from the ARDL bounds test and a combined cointegration approach”, International Journal of Financial Studies, 5(1), pp. 8-19.
- TURSOY, Turgut; (2019), “The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration, Financial Innovation, 5(1), pp.1-12.
- TURSOY, Turgut and Faisal FAISAL; (2018), “The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration”, Resources Policy, 55, pp.49-54.
Details
| Primary Language | English |
|---|---|
| Journal Section | Makaleler |
| Authors | |
| Early Pub Date | August 28, 2022 |
| Publication Date | August 30, 2022 |
| Acceptance Date | June 2, 2022 |
| Published in Issue | Year 2022 Issue: 62 |
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