IS THE STOCK MARKET A BAROMETER OF THE ECONOMY? THE CAUSALITY RELATIONSHIP BETWEEN ECONOMIC ACTIVITY AND STOCK PRICES IN TURKEY

Year 2018, Volume: 36 Issue: 3, 89 - 106, 27.09.2018

Orhan Karaca

https://doi.org/10.17065/huniibf.317090

Cited By: 2

Abstract

The relationship between the economy
and the stock market has long been an important subject of economic research. The
observed relationship between the fluctuations in stock prices and economic
activity has led to a widespread view that the stock market is a barometer of
the economy. This view is tested in this study. In the study, the causality
relationship between economic activity and stock prices in Turkey is investigated
using quartely data for the period 2000-2016. Toda-Yamamoto causality test is
used in the empirical analysis. The results of the causality tests show that
there is unidirectional causality running from stock prices to economic
activity in Turkey. This is a result supporting the view that the stock market is
a barometer of the economy.

Keywords

Economic activity, stock market, stock prices, causality

BORSA EKONOMİNİN BAROMETRESİ MİDİR? TÜRKİYE’DE EKONOMİK AKTİVİTE İLE HİSSE SENEDİ FİYATLARI ARASINDAKİ NEDENSELLİK İLİŞKİSİ

Abstract

Ekonomi ile borsa arasındaki ilişki
uzun zamandır önemli bir ekonomik araştırma konusu olmuştur. Hisse senedi
fiyatları ile ekonomik aktivitedeki dalgalanmalar arasında gözlenen ilişki,
borsanın ekonominin barometresi olduğu şeklinde yaygın bir görüşün ortaya
çıkmasına yol açmıştır. Bu çalışmada bu görüş test edilmiştir. Çalışmada Türkiye’deki
ekonomik aktivite ile hisse senedi fiyatları arasındaki nedensellik ilişkisi, üç
aylık veriler kullanılarak, 2000-2016 dönemi için araştırılmıştır. Ampirik
analizde Toda-Yamamoto nedensellik testi kullanılmıştır. Nedensellik testlerinin
sonuçları, Türkiye’de hisse senedi fiyatlarından ekonomik aktiviteye doğru tek
yönlü nedensellik olduğunu göstermektedir. Bu, borsanın ekonominin barometresi
olduğu görüşünü destekleyen bir sonuçtur.

Keywords

Ekonomik aktivite, borsa, hisse senedi fiyatları, nedensellik

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