2008 Küresel Ekonomik Kriz Sonrası BIST ve Dünya Borsaları İlişkisi: Kriz İlişkileri Etkiledi mi?

Year 2016, Issue: 618, 9 - 30, 01.08.2016

Tekiner Kaya

Abstract

Eşbütünleşme analizi, literatüre kazandırıldığı tarihten bugüne, uygulamalı birçok çalışmaya yöntem olarak girmiştir. Genellikle uluslararası piyasaların, belirli bir dönemde birbirleriyle olan etkileşimlerini ya da makroekonomik değişkenlerin, belirli bir varlık üzerindeki etkisini analiz etmek amacıyla yapılan eşbütünleşme analizleri kendisine son çeyrek yüzyılda geniş bir uygulama alanı bulmuştur. Birim kök içeren ancak aynı dereceden durağan olan iki serinin doğrusal bileşiminin durağan olmasıyla bu değişkenlerin uzun dönemde birlikte hareket ettiklerini öne süren yaklaşım, bu çalışmada, kriz sonrası dönemde BIST2 (Borsa İstanbul) endeksi ile dört farklı kıtadan Hindistan Bombay-BSE, Arjantin Merval, Japonya Nikkei, Fransa-CAC ve ABD DowJones endeksleri arasındaki ilişkilerin incelenmesi amacıyla kullanılmıştır. Çalışmada yöntem olarak önce, serilerin durağanlık özellikleri Genişletilmiş Dickey-Fuller birim kök sınaması ile araştırılmıştır. Ardından, BIST ile diğer borsa endeksleri arasındaki ilişkiler, Engle-Granger İki Aşamalı Tahmin Yöntemi kullanılarak incelenmiştir. Bulgular, kriz sonrası dönemde BIST’in, Dow Jones endeksi ile eşbütünleşik seriler olduğunu; kriz öncesi dönemin aksine Fransa ve Hindistan borsaları ile gelişmelere farklı tepkiler verdiğini göstermektedir

Keywords

Engle-Granger İki Aşamalı Eşbütünleşme Testi, Uzun dönem ilişki, BIST, Durağanlık, Ekonometrik Model

The Relationship Between BIST and World Stock Indexes After 2008 Global Economic Crisis: Did the Crisis Effect This Relationship?

Abstract

Cointegration analysis has been heavily used as a methodology in empirical studies. Lately, cointegration analysis has been generally used to find out the relationship between international markets or the effects of macroeconomic variations on specific assets for a specific term. This approach proposes that the linear combination of two time series stationary at the same level and containing unit roots is stationary and these time series will have a long run equilibrium relationship. In this study, cointegration analysis is used to analyze the relationship between BIST and other stock indexes from different countries (India, Mumbai-BSE, Argentine-Merval, Japan-Nikkei, France-CAC and USA-DowJones) in the period after the 2008 crisis (2010-2011). So, the stationarity of the time series has been investigated by Augmented Dickey-Fuller (ADF) test first. Then the relationship has been analyzed via Engle-Granger (E-G) two steps cointegration methodology. Findings show that BIST and DowJones index have a strong relationship and this continues after the crisis too. While DowJones and BIST indexes are co-integrated series, France and India indexes started to give different responses to developments than BIST after the crisis

Keywords

Engle-Granger (E-G) two steps cointegration test, Long term relation, BIST, Stationary, Econometric model.

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